The Study Of The Contagion Effect In Chinese Banking System

From the1970s, there has been168bank risks in developing and developed countries,including117systemic risks and51non-systemicrisks,the lose valued10%GDP. The influence of subprime crisis in2008and European debt crisis in2009has swept the globe. Against this backdrop, reseachers hope to find suitable means to discriminate the banking systemic risk. For this reasons,this paper makes a minute study of the banking systemic risk,usiing mathematical analysis and empirical analysis. Concretely speaking, on the micro level,the author researches the mechanism of banking risk using a mathematical model,it concludes that the withdrawal behaviour of depositor can affect the emerge of banking crisis;on the Meso level, from the view of macro prudential,the author analysises the contagion effect in banking system, the recognition for systemically important bank and their contagion effect are emphatically studied; on the Macro level,the contagion effect between international finance market and chinese banking industry. The conclusions in this paper are:(1)The study about the mechanism of banking risk shows thatif some bank appears payoff risk,the massage will be found by some depositors,some vigilant people will withdraw earlier,because of herd behavior,more and more depositors will withdraw earlier,which makes the situation of bank’s payoff wores.The bank will be fail in the end,if there are non performing loan, the banking crisis will emerge ealier.(2)The simulation result for the contagion effect in banking system shows that the complicated debtor-creditor relationship between banks will have contagion effect when one bank is in crisis,and may lead banking systemic risk. Concretely speaking,if the crisised bank’s credit loss rate is less than30%,the crisis has no bad effect for the whole bank system whehter the bank is an systemically important bank;if the figure is more than50%,the contagion effect will be stronger,and a banking systemic risk will happen,in case the in case the crisised bank is an an systemically important bank, in contrast with that,a local risk will occur,or the banking systemic risk emergence will be slower.In a world.whether the bank is an systemically important bank has significantl influence for the contagion effect.(3)The paper studies a empirical research about the Copula dependency of14listed banks’s daily return,it finds that there are7systemically important bank in chinese banking system,they are Bank of China, Industrial and Commercial Bank of China, Agricultural Bank of China, Bank of Communication, Minsheng Bankand China Citic Bank,the contagion effect is very strong,their risks will destroy the whole banking system even the whole financial industry.