Research On The Spillover Effect Of Non-interest Income From Listed Commercial Banks On Systemic Risk In My Country

The integration of financial innovation and financial technology let China's financial industry,which is in the process of accelerating marketization,faces various challenges.The competition from Internet finance has reduced the market share of traditional banking industry,and the increasingly market-oriented interest rate formation mechanism has made the income,which is traditionally dominated by interest margin,of traditional banking industry reduced continuously,forcing the banking industry to carry out business transformation and develop non-interest income business to expand the income source.The continuous innovation of business model and the lag of regulation,give commercial banks the opportunity to obtain rapid growth in revenue.However,opportunities and challenges coexist,risks and benefits go hand in hand,the booming non-interest income business makes commercial banks,participating in the increasingly complex inter-bank market,face more and more risks,which lays a hidden danger of systematic risk to the complex and fragile financial system.This paper studies the spillover effect of systemic risk from non-interest income and its interaction with the inter-bank market from the theoretical and empirical perspectives.After literature review,this paper analyzes theoretically how the non-interest income business and its risks are transmitted and amplified through the inter-bank market,and finally give rise to the spillover effects on the systemic risk.It is concluded that the non-interest income not only has the role of risk dispersion,but also has a certain role of risk accumulation due to the risk characteristics of different sectors.On the one hand,by participating in the inter-bank market,Commercial banks can reduce the liquidity risk,on the other hand,it will also take the risk through the inter-bank market,and the bank's own risk will be amplified through the inter-bank market infection,and finally produce the systemic risk spillover effect.On the basis of theoretical analysis,this paper made the regression analysis through establishing fixed effect model.By selecting commercial banks' market and financial report data from the year of 2007-2019 as data source,using GARCH-CoVaR model to measure systematic risk spillover level,using PNII and inter-bank assets and liabilities and other related indicators as explanatory variables.The empirical results are as follows:(1)from overall China's listed commercial banks' perspective,the development of non-interest income business will negatively affect the banking systematic risk spillover.(2)The interaction between non-interest income and inter-bank assets has a positive spillover effect on systemic risk.(3)Inter-bank liabilities can reduce systemic risk.But the effect will change after distinguishing the factors of bank scale.Finally,according to the theoretical and empirical results,the research leads to conclusions,and puts forward policy suggestions.