Research On The Effectiveness Of Macroprudential Supervision In China

Under the impact of the global financial crisis in 2008,countries gradually realized that micro-prudential supervision could not guarantee the stability of the entire financial system,and thus turned to macro-prudential supervision.China is also actively exploring the establishment of a macro-prudential regulatory framework to conduct supervision from a macro perspective to prevent systemic risk which arises from financially prosperous cycles and institutional correlations.As countries gradually promote the implementation of macroprudential supervision,its effectiveness has attracted wide attention.At present,the study on the effectiveness of macroprudential supervision has not yet reached a consensus conclusion,mainly aimed at whether it can effectively reduce credit growth rate and real estate prices.This paper based on the perspective of banking systemic risk,empirically analyzes the effectiveness of China's macroprudential supervision on the suppression of systemic risk of banks,in order to provide a useful reference for the regulatory authorities to improve macroprudential supervision.This paper adopts the research method combining literature analysis and empirical analysis.Taking the panel data of 16 listed banks in China as a sample,it first uses the dynamic quantile method and CoVaR model to measure the systematic risk spillover of each bank as well as analyze the trends and characteristics of different types of banks' own risks and systemic risk spillovers.Then,based on the perspective of bank systemic risk,the paper selects capital adequacy ratio?provision coverage ratio?liquidity ratio and deposit reserve ratio as the measurement indexes of macro-prudential supervision,through the establishment of system GMM model,empirically studies the effect of China's macro-prudential supervision on restraining the systemic risk of banks.The research results show that China's state-owned holding banks have relatively small risks,but the risk spillover intensity of the banking system is relatively greater.At the same time,it also needs to pay attention to the risk spillover of joint-stock banks and city commercial banks;Bank systemic risk spillovers show fluctuations and are affected by market conditions;under the specific sample conditions of this paper,capital adequacy ratio?provision coverage ratio?liquidity ratio and deposit reserve ratio all effectively reduce the systemic risk of banks under different significance levels,demonstrating the effectiveness of most macroprudential tools in China and the system GMM model passes the robustness test.Finally,based on the research and analysis of this paper,the corresponding policy recommendations are proposed to improve the effectiveness of China's macro-prudential supervision.