Research On Cross-Market Contagion Of Liquidity Risk Of Commercial Banks In China

The world today is developing rapidly,and the world is changing rapidly,especially in the financial sector.Since the US subprime mortgage crisis in 2007,the academic community has paid more attention to liquidity risk and its cross-market contagion.The Basel Committee on Banking Supervision has also accelerated policy formulation and institutional reform.In the international context,China's policy on liquidity risk is also progressing in continuous development and adjustment.Although China's financial industry has always been a separate operation in the law,with the upgrading of the financial industry,the continuous innovation of financial products,and the deepening of financial liberalization,banks and other financial institutions have been closely linked through various indirect channels.This means that cross-market contagion of risks is becoming easier and more likely,and financial crises are likely to occur at all times,so it is necessary to study cross-market contagion of liquidity risks.Whether the banking industry is due to the needs of its own stable operation or due to regulatory requirements,it is of great theoretical and practical significance to study the liquidity risk of commercial banks across the market.This paper firstly studies the ways and measures of cross-market contagion of liquidity risk,and then uses SVAR model to empirically analyze the interbank borrowing market,bond market,stock market and foreign exchange market,and then perform impulse response and variance decomposition on this basis.To explore the short-term cross-market risk contagion of the bond market,stock market and foreign exchange market in different periods in China's interbank borrowing market,use the spillover index to reflect the intensity of infection,and construct a cross-net spillover index to reflect the net spillover between the two markets.The effect,combined with the timing chart of the spillover index,comprehensively examines the possibility and intensity of cross-market contagion of liquidity risk of commercial banks in China.The innovations of this paper are as follows: First,the innovation of the research object,including the 2013 money shortage incident in China during the research period,and also including the big bull market in 2015,can compare the liquidity risk of commercial banks across the market in different periods.The changing characteristics of infection make the empirical results more significant and substantial.The second is the innovation of the measurement method.This paper uses the spill index method to study the intensity of risk contagion.At the same time,it also combines the SVAR model to enhance the empirical effect.Research shows that,first,when the stock market declines,the negative impact of the interbank borrowing market on the stock market is greater than the other two periods;the bond market is mainly positively impacted when the stock market falls,and is more positive than other periods;The foreign exchange market is suffering from a positive impact during the money shortage period over other periods.Second,whether in the period of money shortage or the period of stock market ups and downs,the interbank borrowing market has the biggest impact on the stock market,followed by the foreign exchange market and the bond market.Third,the spillover effect is not static and will fluctuate over time and major events.During the money shortage period and the stock market decline,the interbank borrowing market has a greater impact on all other markets.During the stock market rise period,the interbank borrowing market is vulnerable to all other markets.