A Study On The Impact Of Term Mismatch Of Assets And Liabilities Of Banks On Systematic Risk Of Banks

When financial institutions suffer from internal factors or external shocks,their risk spillovers and diffusion make the related institutions and even the whole financial system paralyzed.The occurrence of systemic risk will bring tremendous impact on the stable growth of the economic environment,lead to the bankruptcy of many financial institutions.Also,financial institutions can't effectively provide services for the real economy.Therefore,it is necessary to identify the causes of systemic risk and its transmission path.Unlike other countries,the main body of financial institutions in China is banks.Therefore,it is urgent and necessary to study the nature and characteristics of systemic risk of banks and understand the main factors affecting systemic risk of banks.Especially the impact of the mismatch of the maturity of bank's assets and liabilities on systemic risk.This paper analyses the systemic risk of banks from the perspective of bank relevance.Based on the daily earnings data of 16 listed banks,this paper establishes the VAR model with half a year as the cut-off point,and uses the variance-covariance matrix of the residual of the VAR model to do DAG analysis,so as to construct the association network map of listed banks in China.Then,through the isomorphic relationship between complex networks and systemic risk of banks,the bank network is analyzed by four indicators:network diameter,average path length,network density and average agglomeration coefficient.It is found that China's listed banks'affiliated networks have"small world phenomenon" and "scale-free characteristics".The network characteristics show that the nature of systemic risk of banks is that when systemically important banks are impacted,the risk will spread to the whole banking system at the shortest distance and the fastest speed,thus triggering systemic risk of banks.Therefore,it is necessary to identify systemically important banks and the factors that have an important impact on them.This paper focuses on the impact of maturity mismatch of assets and liabilities on systemic risk of banks with different maturities.It chooses scale,leverage ratio,non-performing loan ratio,average return rate of stocks and standard deviation of return rate of stocks as control variables of individual characteristics of banks.It chooses the maturity mismatch of different maturities as explanatory variables,and chooses the input and output characteristics of each bank.The sum of eigenvectors is used as the explanatory variable to construct the panel model of random effects.The results of panel model show that compared with the mismatches of other maturities,the short-term mismatches of assets and liabilities have the most significant impact on important systemic banks.That is,the short-term mismatches of assets and liabilities will increase the centrality of banks,and then affect the systemic risk of banks.At the same time,it is found that the channel of short-term asset-liability maturity mismatch affecting bank systemic risk is credit channel and information channel.At last,the paper gives policy proposals from two perspectives for the empirical results.One is from the perspective of regulators to strengthen the supervision of systemically important banks and to strengthen the supervision of the maturity mismatch of banks' assets and liabilities.The other is from the perspective of banks to put forward relevant suggestions to strengthen the ability of banks to cope with their own risks from credit and information channels.