Research On The Impact Of International Oil Price Fluctuation On System Risk Of Chinese Listed Banks

Oil is an important strategic resource for economic development,especially for a big oil importing country like China,the fluctuation of oil prices has a huge impact.From the perspective of industrial costs,China,as an emerging market country,mainly relies on traditional industries to lay the foundation before developing the tertiary industry and high-end manufacturing.The scale of my country's existing industrial industry is still huge,and oil,as an important input factor in the industry,its price changes will affect the industrial industry,and then affect its related banks.From the perspective of the financial market,due to the further development of my country's financial market,the Chinese government is also gradually opening up foreign investment channels.Some domestic investors have access to foreign energy financial markets through domestic banks.However,due to the lack of market entry barriers and relevant institutional supervision,some investors with weaker risk tolerance have entered the overseas energy futures market.At the beginning of 2020,oil futures prices plummeted to a negative value,causing serious losses to related investors and banks.Among them,the Bank of China's "Crude Oil Bao" business suffered severe damage,which not only affected the stock price of Bank of China,but also caused panic in overseas investment in the oil market.Major Banks have closed down related overseas oil futures investment intermediary businesses.From this incident,we can see that not only at the real economy level,but also at the financial level,the degree of connection between the oil market and domestic banks has greatly deepened compared to the past.In the past,the literature mainly focused on the relationship between oil prices and oil exporting countries and banks in developed countries.Most of the research objects selected oil prices and bank operating indicators,and there was less research on bank risks and oil price shocks.And most of the literature believes that rising oil prices are beneficial to oil exporting countries but not to oil importing countries.This paper selects China as the representative of emerging market countries,and studies the relationship between oil prices and the risks of oil importing countries,which makes up for the scope of relevant research to a certain extent.In addition,this article selects bank risks instead of bank operating indicators as the research object,which can establish the relationship between oil price shocks and bank risks,and then make certain suggestions for preventing and deflating major financial risks.This paper selects 16 listed banks in China as the research sample,collects the monthly returns of these bank stocks from January 2011 to December 2019,and uses quantile regression methods to estimate the risks of the Chinese banking sector.The PVAR method is used to decompose oil shocks into four shocks: supply,global demand,oil specific demand,and oil speculation.The results showed that the bank risk increased slightly in the second month after the shock to oil supply,from the third month to the tenth month turned into a negative impact.The impact of global demand shocks on the risks of the banking sector was significantly negative and recovered after ten months.Oil-specific demand shocks briefly and quickly reduced the banking sector's risks in the first three months,and returned to normal from the fourth month.The impact of oil speculation shocks was not significant in the first four months,and the risk level of banks increased from the fifth to the eighth month.In addition,the results of the group discussion of banks showed that the impact of oil shocks on state-owned banks was not significant,but it significantly affected the risk level of non-state-owned banks,indicating that non-state-owned banks were more sensitive to oil shocks.