Study On Systematic Risks And Influencing Factors Of Commercial Banks From The Perspective Of Macro-prudence

International practice shows that systemic financial risks not only endanger financial stability,but also cause huge losses to macroeconomic and social wealth.Commercial banks are the most important financial subsystem in China's financial system.During the period of unprecedented great changes in China's economy,the systemic risk supervision of banking industry should become the focus of macro-prudential supervision,so as to better deal with the new changes of interest rate marketization,exchange rate marketization,free capital flow,RMB internationalization,change of growth mode and Sino-US trade frictions.New challenges.In recent years,"strengthening financial supervision and preventing systemic risks has become one of the main lines of China's financial work.Based on the above research background,this paper studies the systemic risk and its influencing factors of commercial banks from the macro-prudential perspective.The core purpose is to construct the measurement and judgment methods of systemic risk in China's banking industry,so as to make certain contributions to effectively identify,calculate,prevent and resolve systemic risk.In view of the limitation of using market data such as stock price to measure the systemic risk of banking industry under the condition that the financial market of our country starts late,the historical data are relatively few and the stability and persistence are not ideal,this paper refers to the latest domestic and foreign literature,and on the basis of considering the causes of systemic risk,and proceeding from the actual situation of our country,puts forward the idea of including banking opportunities.The comprehensive index model of systemic risk in four dimensions,i.e.structure,real economy,foreign exchange shock and financial market,is used to judge the size of systemic risk.From the perspective of macro-prudential supervision,policy tools such as counter-cyclical cushioning of capital are adopted to prevent and resolve systemic risk,which can not only comprehensively grasp the overall risk of the banking industry,but also make up part of the risk.Monitoring and analysis.According to the model analysis,the comprehensive index model(BSRI)constructed in this paper can better reflect the changes of systemic risk in China's banking industry.Before 2015,the BSRI index was mostly in a moderate and low risk situation.In the first half of 2015,the BSRI index maintained a relatively high level due to the downturn of the real economy and the drastic fluctuation of the capital market.With the introduction of reform measures such as supply-side reform of real economy and strict financial supervision,the BSRI index began to stabilize gradually in the second half of 2015,but the risk can not be ignored.Generally speaking,the comprehensive index model describes the systemic risk of Chinese banks better.In order to effectively prevent and mitigate systemic risks,we must introduce a macro-prudential regulatory framework.Vertically,it is to prevent the pro-cyclicality of the banking system;horizontally,it is to strengthen the management of systemically important banks to prevent the "Too big to fall" problems.For this reason,this paper starts with counter-cyclical buffer capital,an important macro-prudential regulatory tool,linking it with BSRI index,estimating the systemic risk state by using smooth transition autoregressive model,and then dynamically calculating counter-cyclical buffer capital.This method is more flexible than the method of linking the single credit/GDP index.It can provide useful suggestions for the effective supervision of regulatory authorities and improve the effect of counter-cyclical macro-prudential supervision.