Research On The Measurement And Influencing Factors Of Risk Spillover Effects Of Listed Commercial Banks In My Country

The global financial crisis in 2008 made us deeply realize that the risk of a financial institution will affect other financial institutions through the risk spillover effect and this risk continuously accumulate and spread in the transmission process.Bank is the core of China's financial system,so we should study risk spillover effect of the bank.Firstly,we defines the risk spillover effect,and analyzes the causes of its formation and the risk status quo of China's banking industry,so as to provide a theoretical basis for the measurement of the risk spillover effect of bank.By selecting the closing prices of 14 commercial banking stocks in the past 10 years as sample data,combined with quantile regression technology,using CoVaR model that changes over time or does not change with time respectively to calculate each listed Banks risk spillover effects on the entire banking system.On this basis,the factors affecting the risk spillover effects of listed commercial banks in China are explored from the macroeconomic and micro-company levels.The empirical results show that: 1?The risk measured by the CoVaR model is greater than that measured by VaR,and the CoVaR model can be used to more accurately;2?Large state-owned commercial Banks have a large risk spillover effect on the banking system,joint-stock commercial Banks have a secondary impact,and urban commercial Banks have a smaller risk spillover effect;3.?Bank asset size,return on assets,leverage ratio,non-performing loan ratio,ratio of funds to be withdrawn,and business complexity have a significant positive impact on the spillover effect,and the GDP growth rate has a significant negative impact on its risk spillover effect,indicating that the better the macroeconomics,the lower the bank's risk spillover.