Measurement And Transmission Of Banking Industry Systemic Risk In Countries Along "The Belt And Road"

The banking industry risk and risk conduction is a key issue that the academia has always been concerned about.Since "The Belt and Road" initiative was proposed in 2013,It's has attracted the public's attention.The gradual implement of "The Belt and Road" initiative will surely lead to a stronger linkage between the countries along "The Belt and Road",as well as the conduction of risks.Therefore,the study on banking industry systemic risk measurement and conduction of countries along "The Belt and Road" has important theoretical and practical significance.The paper first reviews the systemic risk theory and risk conduction channel and summarizes the preliminary studies on risk measurement and conduction,to provide a theoretical basis for empirical research.Then we choose 24 Sample countries with 305 sample banks,and based on the balance sheets data and market data of 305 sample banks from 2005Q1 to 2017Q3,we measures the systemic risk of banking industry by using Contingent Claim Analysis,and further introduced the systemic default distance index into VAR model to depict the conduction of banking systemic risk among the sample countries.The main conclusions are as follows:Firstly,the systemic risk of Chinese banking industry soared since "new norma".Secondly,the risk situation of sample countries were influenced by the worldwide risk events such as the global financial crisis and the European debt crisis,as well as the domestic political,economy and financial environment,thus the risk situation of sample countries show individualized features.The risk level of banking industry in Southeast Asia and Central Europe countries is relatively lower than the risk level of South Asia,West Asia and North Africa.In addition,the sensitivity of different countries or regions to different risk shocks is quite differently,the banking industry of Southeast Asia and Central Europe suffers more from external risk shocks,while the banking industry of West Asia and North Africa suffers more from turbulent domestic political and economic situation.Thirdly,there exist complex unidirectional risk conduction among sample countries,mainly expressed as the conduction from relatively developed economies to relatively underdeveloped economies.The sensitivity of a region to the impact of external risk is positively related to the distance between the two regions,the economic and financial connection and the International financial force of shock country,and have a negative correlation to the banking industry stability of affected regions;and In the structural shocks,contribution of different regions also has a positive correlation with the distance between two regions,the economic and financial connection and the International financial force of shock country.Thus,we should focus on reducing the systemic risk level of domestic banking industry,take precautions against the negative impact of risk shocks,from different sources,to countries along "The Belt and Road",according to the risk characteristics of different countries.;primarily preventing against the conduction of banking sector risk from developed regions to developing regions;Promoting the establishment of coordinated and effective banking regulatory cooperation alliance,to practically maintain the financial security of countries along "The Belt and Road".