Research On Risk Spillover Effects Of Listed Commercial Banks In China

As the pace of financial liberalization accelerates,the relationship network between banks in China is becoming more and more complex,which makes the risk overflow effect of banks more extensive and may lead to the transformation of local risks into large-scale systemic financial risks.Therefore,it is particularly important to analyze the correlation between banks in China and study the risk spillover effect and influencing factors of banks.In order to avoid the defect of measuring the risk spillover effect using the quantile regression method and the Copula function method,this paper constructs a GARCH-Copula-Co Va R model to study the risk spillover effect of China’s banking industry.The author selected 16 listed commercial banks in China as a sample,first quantified the correlation between banks,and then measured the risk spillover effect of each listed commercial bank on the banking system and the risk spillover effect between listed commercial banks(using ICBC as the example)Representative),and finally explore the factors that affect the risk spillover effect of banks.The empirical results show that:1.The GARCH-Copula-Co Va R model can more effectively characterize the risk spillover between financial institutions and can more accurately measure the risk spillover effect;2.The tail correlation between banks in China has obvious asymmetric characteristics,The lower tail correlation is stronger than the upper tail correlation,indicating that the inter-bank tail correlation is stronger when the market falls sharply,and the lower tail loss is higher than the upper tail return;among them,the association of China Everbright Bank,China Merchants Bank,and China CITIC Bank with state-owned banks is greater.3.The Va R of large state-owned banks is significantly smaller than that of joint-stock banks,showing good risk prevention capabilities,but large state-owned banks have the greatest risk spillover effect on the banking system,followed by joint-stock banks,and finally city commercial banks;4.Among listed commercial banks The risk spillover effects are quite different.ICBC has a large risk spillover effect on other large state-owned banks and a small risk spillover effect on non-state-owned banks.Further,the author uses the GARCH-Co Va R model to calculate the time-varying risk spillover effect value,explore the influencing factors of the bank risk spillover effect,and find the bank ’ s asset scale,non-performing loan rate and other micro-variables as well as the inter-bank lending rate and GDP growth rate Macro variables are important factors that determine the risk spillover effect of banks on the entire banking system.Among them,the scale of bank assets and the interbank borrowing rate have a greater impact on risk spillover effects.The relevant conclusions of the empirical research in this paper not only establish the theoretical basis for investment entities to evade financial risks,but also provide empiricalsupport for regulatory agencies to prevent and control bank risks.