Systematic Risks And Macroeconomic Factors In Chinese Banking Industry

The global financial crisis in 2008 made government departments and related organizations realize that the risk of financial institutions may have an incalculable impact on the entire financial industry and the real economy.Therefore,scholars began to take the systemic risks of financial institutions as the focus of their research.As the world's second largest economy,China's financial market has increasingly been the focus of the world.Thus,this paper studies the systemic risk measurement and related influencing factors of China's listed commercial banks.First of all,in terms of measurement methods,this paper uses the systemic risk index(SRISK)to measure the systemic risk level of 16 listed commercial banks during 2002 and 2017,and further to obtain a systemic risk ranking of SRISK%.Secondly,in terms of influencing factors,we mainly conduct panel regressions on the factors affecting the systemic risk of commercial banks,such as bank size,leverage ratio,non-interest income,return on net assets and GDP growth rate and make corresponding analysis.We can get some conclusions:On the whole,SRISK of China's state-owned commercial banks in 2012-2017 are much larger than that of joint-stock commercial banks,while SRISK of joint-stock commercial banks are much larger than SRISK of city commercial banks.The systemic risk ranking obtained by calculating the SRISK%of commercial banks are also constantly changing,among which joint-stock commercial banks have the largest changes in the systemic risk rankings.The specific trend of change is that state-owned commercial banks' systemic risk rankings are continuously declining,while the systemic importance of joint-stock commercial banks and city commercial banks are continuously increasing.Second,there is a significant relationship between systemic risks of various types of commercial banks and bank size,leverage ratio,non-interest income,and financial resources.The proportion of deposits on the systemic risk of state-owned commercial banks,joint-stock commercial banks and city commercial banks are all significant.That is,the higher the proportion of deposits,the higher the SRISK of commercial banks.TheThe scale of banks has a significant positive impact on the systemic risks of state-owned commercial banks,joint-stock commercial banks,and city commercial banks.That is,the greater the scale of banks,the higher the systematic risk of commercial banks.The leverage ratio has a significant positive effect on the systemic risks of state-owned commercial banks,joint-stock commercial banks,and city commercial banks.That is,the higher the leverage ratio,the higher the SRISK of commercial banks.The return on net assets has a significant negative effect on the systemic risk of state-owned commercial banks.The year-on-year growth rate of GDP had a significant positive effect on the systemic risks of joint-stock commercial banks,and the impact on state-owned commercial banks and city commercial banks was not significant.Non-interest income has a significant positive impact on the systemic risks of state-owned commercial banks and joint-stock commercial banks,and has asignificant negative impact on city commercial banks.