The Impact Of Industrial Structure Of Bank Loans On Systemic Risk

In recent years,systemic risk has gradually become a problem that cannot be ignored in the China.A large number of studies on systemic risks have emerged at home and abroad,and researches on systemic risk measurement of banks are particularly rich.However,most of the literature on systemic risk of banks is concentrated in listed banks,and there is a lack of discussion on unlisted banks.In addition,in recent years,China's economy has entered a new normal,and many enterprises in backward industries are experiencing financial distress,which has led to an increase in loan default risk.Therefore,if banks do not adjust the structure of loans in time,they may suffer losses.It can be seen that the industrial structure of loans is an important factor affecting the systemic risk of commercial banks.Under the background of China's implementation of supply-side reforms and implementation of capacity-raising to promote the upgrading of industrial structure and entering the "13th Five-Year Plan" period from the "12th Five-Year Plan" period,the study of the industrial structure of loans on the systemic risks of commercial banks is necessary.Therefore,this paper uses the SRISK index proposed by Brownlees and Engle(2017),combined with the K-nearest neighbor algorithm,to measure the systemic risk of 120 listed and unlisted commercial banks in China from 2011 to 2017.At the same time,this paper will also examine the changes in the industrial structure of loans in recent years,and establish a panel regression model to examine the impact of commercial bank's industrial structure of loans on systemic risk.Specifically,this article mainly proposes and answers the following questions:(1)How to measure the systemic risk of unlisted banks? After considering the systemic risks of unlisted banks,what is the distribution of systemic risks of Chinese commercial banks? After measuring the systemic risks of Chinese commercial banks using the SRISK index improved by the K-nearest neighbor algorithm,this paper finds that:(i)Systemic risk in China is concentrated in listed banks,but the systemic risk of unlisted banks cannot be ignored.(ii)State-owned banks have the highest proportion of systemic risk,followed by joint-stock banks,and finally city commercial banks.However,in recent years,the proportion of systemic risk of state-owned banks has been declining,joint-stock banks has remained stable,and the proportion of systemic risks of city commercial banks has been rising.Therefore,the systemic risk of urban commercial banks is particularly worthy of attention.(2)From "12th Five-Year Plan" period to "13th Five-Year Plan" period,has the systemic risk of commercial banks and the structure of the loan industry changed significantly? By establishing a regression model,this paper finds that the systemic risk of commercial banks during the “13th Five-Year Plan” period has increased significantly compared with the “12th Five-Year Plan” period.In addition,from the “12th FiveYear Plan” period to the “13th Five-Year Plan” period,the proportion of loans in the Manufacturing,Wholesale and retail,Leasing and commercial services and Administration of water,environment,and public facilities has changed significantly,with the proportion of Manufacturing,Wholesale and retailsignificant declining,and the proportion of loans in the Leasing and commercial services and Administration of water,environment,and public facilities increased significantly,and the proportion of loans in other industries did not change significantly.(3)Does the commercial bank's loan industry structure have an impact on systemic risks? At present,loans of commercial banks in China are mainly concentrated in eight industries including Manufacturing,Utilities,Construction,Wholesale and retail trades,Transport,storage,and postal services,Real estate,Leasing and commercial services,Administration of water,environment,and public facilities.In addition,the increase in the proportion of loans in Manufacturing and other industries will reduce the systemic risk of commercial banks,while the increase in the proportion of loans in the Real estate,Leasing and commercial services will lead to an increase in the systemic risks of commercial banks.(4)If the commercial banks' loan industrial structure does have an impact on systemic risk,will the transition from the “12th Five-Year Plan” period to the “13th Five-Year Plan” period have an additional effect on this impact? By adding an interactive item in the model,this paper finds that the transition from the “12th Five-Year Plan” to the “13th Five-Year Plan” strengthens the negative impact of manufacturing loans on systemic risks by,but the transition from the “12th Five-Year Plan” period to the “13th Five-Year Plan” period weakened the negative impact of real estate loans on systemic risks.Finally,the paper also studies the issues related to regional systemic risks.This paper finds that the systemic risk levels of the provinces from the “12th Five-Year Plan” period to the “13th Five-Year Plan” period have significantly increased.From the perspective of regional distribution of systemic risk,China's systemic risk is mainly concentrated in the eastern coastal areas,showing a trend of decreasing systemic risk from coastal to inland,from eastern to western.The province's total GDP growth rate and the growth rate of the tertiary industry will reduce the level of systemic risk,and the improvement of the “service” level of the provincial industrial structure will also help to reduce the level of systemic risk.Therefore,an important measure to prevent regional financial risks is to develop the province's economy,especially the development of the service industry.