Research On The Induction Mechanism Of China Banking Systemic Risk And Supervision

Systemic financial risk supervision has become the most important task of the current economic and financial work,financial security rose to an important part of national security,to prevent systemic financial risk is the eternal theme of financial work.In the case of indirect financing in China,the banking industry is still the most important part of the financial industry.As a subsystem of the financial system,how to prevent systemic risk of banking industry is of great importance.In order to achieve the initiative to prevent and resolve the banking system risk,achieve"early treatment",that requires scientific prevention,so the early identification and early warning,early discovery "has become the most important work,in other words,what is the banking systemic risk highlights the significance.Defining the systemic risk and its inducing mechanism,then the daily supervision has a clear object and corresponding regulatory tools.In contrast,the outbreak of United States subprnme crisis in 2007,soon evolved into the global financial crisis,its basic reason is that,beginning from the subprime loan market,non-performing loans of banking increased significantly,caused by one industry credit risk,financial institutions holding derivatives based on subprime loans among each other,resulting in non-perform,ing assets and the impact of institution failures infect between financial institutions,and even transnational spread rapidly,causing liquidity risk in the inter-bank market,eventually rose to overall systemic risk.This is in sharp contrast,the original concept of supervision still insist on deregulation,market discipline;the regulatory measures taken to is still individual security based micro prudential supervision,the relief,understanding,induced by infection of systemic risk are at an early stage,especially macro prudential supervision on the systemic risk mainly begins after the subprime crisis.Based on the financail system vulnerability theory and the complexity theory,the paper analyzes the generation and infection of the risk and the systemic risk.Then On the basis of combing the existing literature,this paper defines the definition of systemic risk in banking industry,and set up the theoretical context and analytical logic of the systemic risk,and then analyzes the current situation of systemic risk in China's banking industry and the macro prudential work that has been adopted.Based on fully prepared above,this paper set up the China banking industry risk early-warning index system,analyzes the influencing factors of banking systemic risk,alternative indicators include different aspects of macroeconomic,banking and inter-bank market level,the real estate industry,comprehensively analyse the macro economy impact on the overall banking system,the banking industry its operation and influence,the real estate industry impact effect,and the impact from the interbank market price shocks.Through the econometric analysis method,the paper establishes China banking systemic risk early-warning index system,4 indicators selected,which belongs to credit risk and liquidity risk by risk dimensions;belongs to macro,meso and micro three main space dimensions;belongs to leading,current and frequency different time dimension.The model has good prediction ability through the test.In view of the above conclusions,credit risk and liquidity risk are the main inducing factors of the systemic risk in China banking industry,and further in-depth analysis of induced contagion is made.First of all,according to the credit risk,choose the real estate industry as the sources of credit risk,because the real estate industry is the largest representative industry of China's banking credit assets,through empirical analysis,finds that real estate price fluctuations has the significant effect on the banking systemic risk,and through the sensitivity analysis,finds the banking systemic risk reach the peack level after the price fell the 3 quarter.Then,according to the liquidity risk,the article first analyzes the current situation of China banking industry de-leveraging,this is probably the biggest risk of liquidity shocks causing the current China banking systemic risk,because de-leveraging directly affects the structure of assets and liabilities,further affect the liquidity level of single bank and the banking system,which may lead to the risk of collapse of a bank in de-leveraging process,and spread through the interbank market,the two standards proposed in this paper,to prevent the occurrence of"Minsky moment"in C.hina banking de-leveraging process.In view of the fact that indirect financing occupies the main part,the interbank market remains the main infectious channel of China banking systemic risk,the paper establishes the network structure of inter bank market in China,carrys out the theoretical derivation of the inter-bank market risk contagion mechanism based on network,and further through MATLAB programming,simulates the network transmission process,analyzing the characteristics of infected failing banks by infectious results.Finally,combined with the above empirical conclusions,this paper gives some suggestions on the systemic risk supervision of China banking industry.In the process of writing,this paper adopts the methods of theoretical analysis,statistical analysis,comparative analysis and case analysis.The innovation of this paper includes:the first is hypothesis innovation,the measure of bank failure in the face of external shocks,the previous studies adopts capital adequacy as a standard,this paper uses cash payment adequacy as the measure standards,at the same time,taking into account the bank holding cash,and makes a distinction between narrow and broad money,that more in line with the actual situation of liquidity risk impact.The second is theoretical innovation.based on the actual transaction data,this paper constructs the actual interbank market network structure in China.On this basis,through the.simulation of mathematical language programming,the theoretical deduction of inter bank network transmission is carried out,and the crisis contagion simulation in varying degrees is carried out according to the assumption that the bank assets can be changed.The third is conclusion innovation.This paper constructs the systemic risk index of China banking with FR model,achieves early warning of China banking systemic risk from time and space two dimensional,through the systemic risk early warning index system of banking industry,it is concluded that the systemic risk of China banking industry mainly comes from credit risk and liquidity risk.The fourth innovation is analytical thinking.For the first time in China by using the Fisher-Mxnsky-Koo methord to analyse China banking industry de-leveraging,and two crnteria for distinguishing and preventing the de-leveraging of banking industry are given.