The Empirical Study On The Impact Of Commercial Bank Loan Concentration On Systematic Risk

From the current development of China's financial industry,the stability of the banking industry is very important for the stability of the entire financial system.As the main body of indirect financing channels,the current main source of profit is the deposit and loan spread.Loan business is the main source of income for commercial banks.The rational and effective allocation of loan resources can increase the bank's ability to obtain profits and enhance the commercial bank's ability to resist risks.Commercial banks tend to invest their loans in certain high-quality customers,advantageous industries and economically developed regions,resulting in uneven distribution of credit resources,affecting the stability of bank operations,and thus affecting the risk level of the entire fin ancial system.This paper sorts out the research results of domestic and foreign scholars on the impact of commercial bank loan concentration on systemic risk,and summarizes the research status of previous topics on this program.Theoretically,the infection mechanism of the two influences is analyzed.It is believed that there are three different situations in the relationship between them,namely positive correlation,negative correlation and irrelevance.In the empirical research,the quarterly data of 16 commercial banks listed on the Shanghai and Shenzhen Stock Exchanges were selected from 2014-2018,and the long-term marginal expectation shortfall LRMES was used as the explanatory variable to focus on the industry concentration,regional concentration and customer concentration of loans.As an explanatory variable,an empirical test was performed on all samples and grouped samples.It is found that the impact of different types of commercial bank loan concentration level on systemic risk is different: from the perspective of the whole sample,the industry and regional concentration of full-sample commercial bank loans is significantly positively correlated with the systematic risk contribution level LRMES,indicating that the higher the concentration of commercial bank loans in the industry and region,the higher the systemic risk level.The concentration of full-sample loan customers is significantly negatively correlated with the degree of systemic risk contribution LRMES,indicating that the increase in the concentration of commercial bank loan customers will reduce the level of systemic risk to a certain extent;from the group regression results,for state-owned banks,state-owned The industry and customer concentration status of bank loans is significantly negativel y correlated with the systematic risk contribution LRMES,indicating that the increase in industry and customer concentration of state-owned bank loans will reduce the level of systemic risk to some extent.The regional concentration of state-owned bank loans is significantly positively correlated with the level of systemic risk contribution LRMES,which means that the increase in concentration of state-owned bank loans will lead to an increase in systemic risk levels.For non-state-owned banks,the impact of the concentration of non-state-owned commercial bank loan industry on the overall systemic risk situation is positive.The regional concentration of non-state-owned loans has no significant impact on the level of systemic risk,and the impact of non-state-owned bank concentration on systemic risk levels is negatively correlated.Finally,based on the research conclusions obtained,combined with the current economic and financial development situation in China,we put forward targeted policy recommendations.