Research On The Systemic Risk And The Asymmetric Spillover Effect Of Chinese Commercial Banks

With the development of our country's financial industry,Banks are increasingly tied to each other's credit operations.In the event of an economic downturn or a housing bust,individual bank's risk will spread throughout the banking system,further affecting the real economy,which led to systemic financial risk.Therefore,it is more practical to study the risk spillover effect of individual bank to the whole banking system.In this paper,we combine DCC-GARCH method with CoVaR method to measure the dynamic correlation coefficient and risk contribution of 16 listed commercial Banks to the banking system.On this basis,this paper takes the Shanghai and Shenzhen 300 Index yield rate as a variable to measure the financial market conditions,and introduces Markov GARCH model to recognize the high and low volatility periods to financial markets and to explore the asymmetry of the dynamic correlation between commercial Banks and the banking system and the contribution of systemic absolute risk to the banking system under different market volatility periods.The main conclusions are as follows:(1)Under different market volatility periods,the dynamic correlation and the risk spillover effect between commercial Banks and the banking industry have signifieant asymmetry.In the high financial market volatility period,the mean of the dynamic correlation and the risk spillover effect between commercial Banks and the banking industry are bigger than the low volatility period's.And the marginal risk contribution during periods of high volatility is more than twice that during periods of low volatility.(2)In the comparison of different types of Banks we found,in terms of the overall trend,the dynamic correlation and risk spillover between joint-stock commercial Banks and the banking industry rank first,no matter in the period of high volatility or low volatility.The dynamic correlation and the risk spillover effect between state-owned commercial Banks and the banking industry are the lowest among the three types of commercial Banks in the period of low volatility.However,in the period of high volatility,there will be a significant rise,rising to higher than the city commercial Banks.Meanwhile,the dynanic correlation and the risk spillover effect between urban commercial Banks and the banking industry rank second among the three types of commercial Banks in the period of low volatility.However,during the period of high market volatility,they will decline somewhat,lower than the state-owned commercial Banks and become the lowest among the three types of Banks.(3)The Banks with the highest systemic risk contributions also change during different periods of market volatility.In the period of low market volatility,the three Banks with the highest risk contribution are Industrial Bank,China Merchants Bank and Huaxia Bank.However,in the period of high market volatility,the three Banks with the highest risk contribution are Pudong Development Bank,Industrial Bank and Huaxia Bank.The innovation of this paper lies in:(1)On the basis of measuring dynamic correlation coefficient and risk contribution of 16 listed commercial Bahks to the banking industry with the DCC-GARCH-CoVaR model This paper breaks through the general research thinking that starts from market data or fundamental information,measures systemic risk and then selects systemically ilportant Banks as the regulatory focus,consider the market conditions.(2)This paper takes the yield of HS300 as the variable to measure the state of financial market.According to the state transition probability results of MS-GARCH model,the financial market is divided into low volatility period and high volatility period.Based on the market segmentation results,this paper studies the asymmetry of systemic risk of 16 commercial Banks in different periods of the market.The results show that the risk spillover effect of each commercial bank on the banking system has a significant asymmetry in the market conditions of bank types and other aspects.The research perspective is novel.According to the empirical results,the differential regulatory strategy proposed is more effective than the regulatory nodel that only measures the important Banks of the system from the holistic perspective.These fildings are helpful for commercial Banks to establish a comprehensive and scientific risk supervision mechanism and can promote steady macroeconomic growth.