| In the past decade since the outbreak of the global financial crisis,China’s economic and financial system have been tested to the utmost equally.From the reform of the exchange rate formation mechanism to the liberation of interest rates,from curbing housing prices to the sharp fall in financial markets,from the “deleveraging” policy to Sino-US trade frictions,all issues constantly challenge the immature Chinese finance.Since China’s reform and opening up,its economy has grown at a high speed.With the development of the economy,some industries have accumulated a large number of problems.Especially after global financial crisis in 2008,China has taken some measures to resist financial risks and stimulate economic growth through a series of expansionary policies.Although those policies played a positive role in stabilizing economic growth in the short term,it has accumulated many risks.The drastic fluctuations in capital market and imbalance in the economic structure are two typical results of risk exposure.At present,China’s economy has entered a critical period of transformation and upgrading.In such period the new economic growth momentum has not yet been fully established,the old economic growth is gradually adjusted and the endogenous power is insufficient.Some potential risks accumulated in the early stage have begun to appear.With the Changes in the economic environment,not only the stock risks accumulated during the economic upswing need to be resolved,but also the incremental risk of adjusting the economic structure.If risks gradually accumulate and evolve into systemic problems,it is likely to lead to disastrous consequences such as financial shocks,and will cause harm to economic and social development and national security.As the important role commercial banks played in the indirect financing system in China,the change of credit risk of commercial banks has become the core of China’s financial risk prevention and response.Therefore,it is of great theoretical and practical significance to explore how to prepare for the extreme circumstances,how to analyze the generation mechanism of bank credit risk,and how to deal with them effectively.The dissertation chooses the systemic commercial bank credit risk as the research object.Based on the balance sheet of commercial banks,the dissertation mainly focuses on analyzing the main risks of major assets of commercial banks,discussing the generation mechanism of risk for different types of assets.The purpose of the dissertation is to understand the systemic credit risk faced by China’s banking industry deeply,to explore the possible harms and impacts comprehensively,which could be more favorable to lay a solid foundation for theoretical research and policy practice.On the basis of above understanding,the dissertation first proposes the framework and perspective of identification and mechanism of the credit risk of banks,and summarizes the relevant literature and research status.Next,based on the bank’s balance sheet,major credit risk sources and its influencing factors are identified and analyzed from the perspective of different credit relations entities such as non-financial enterprise departments,resident departments,government departments,and financial institutions using different tools and methods.Then,the dissertation provides some relevant policy recommendations.There are six parts of the dissertation in structure:Chapter 1 is an introduction.It is used to clarify the research issues,background and significance of the paper.On this basis,it further puts forward the research ideas and framework of the paper from the perspective of bank’s balance sheet.Meanwhile,this chapter summarizes the main innovations and shortcomings of the paper.Chapter 2 provides an overview of relevant research and literature review.Specifically,this paper systematically reviews the impact of changes in the leverage ratio of non-financial enterprises,resident departments and government departments on bank credit risk,risk contagion between financial institutions,and the relationship between risk contagion and bank credit risk.Chapter 3 discusses the relationship between the leverage ratio of non-financial companies,residential sectors and the credit risk of commercial banks.In terms of research idea,the leverage ratio of enterprises and residents is the core issue,then focusing on the impact of changes in leverage on bank credit risk.According to the characteristics of non-financial enterprises,on one hand,the empirical analysis is adopted to the impact of non-financial enterprise leverage on bank non-performing loan ratio,asset quality,capital adequacy ratio and bank credit.On the other hand,the impact of non-financial enterprise credit risk and the default losses on commercial banks is analyzed through the study of specific cases.In terms of the residential sector,we focus on the characteristics of changes in the leverage ratio of the resident sector.Mainly presented in the part are the characteristics as well as trends of the change of the leverage ratio of the residential sector,and an preliminary analysis about the impact of the rapid increase in the leverage ratio of the Chinese residential sector on bank credit risk in recent years.In Chapter 4,emphasis is placed on the impact of government debt replacement policy on commercial bank credit risk.As a major impact of government debt policy changes on commercial banks in recent years,this chapter will systematically analyze this impact.Specifically,a DSGE model,which will include the financial sector,will be constructed to empirically analyze the impact of government debt replacement on the profits,assets term structure,and overall credit risk of commercial banks,to conduct a preliminary empirical analysis and simulate of the overall impact of debt replacement on bank credit risk.Chapter 5 focuses on the impact of risk exposures between banks and banks and other non-bank financial institutions on bank credit assets.As an important part of the bank balance sheet,the asset-liability linkages among financial institutions can be further classified into the inter-bank credit relationships and the links between banks and other non-bank financial institutions.For the relationship between banks and other non-bank financial institutions,we will use the VAR-MVGARCH(1,1)-BEKK model for systematical measurement and positivism.For the risk spillover between banks,a theoretical model of financial network will be constructed for analysis and simulation in this paper.Chapter 6 is the conclusion.In this chapter,we are going to summarize the main ideas of the above chapters and to give corresponding policy implications.Based on the analysis above,this paper gets the following main conclusions:First,the research shows that the commercial bank credit risk is a multidimensional,multi-level concept in the current economic and financial environment.Based on the credit data of different levels,considering the identification and analysis of bank credit risk from the bank’s balance sheet perspective will be helpful to have a better understanding of credit risk and improve the scientific and effective prevention of credit risk.Second,the risk changes of non-financial enterprises are still the main source of commercial bank credit risk in China.Especially when China’s economic growth has entered the "new normal",the rising leverage ratio of the residential sector and small and micro enterprises will be an important factor affecting bank credit risk.In addition,the proportion of corresponding credit assets in the residential sector is not high now,but the impact of the rapidly rising leverage of the residential sector on bank credit risk may not be overlooked.Third,as the main source that government debt risk affects the bank credit risk,the government debt replacement policy has already had a significant impact on the commercial bank credit risk in recent years.The increase in bank capital occupation,the decline in profits and the lack of new credit capacity are the main performance,and these effects continues.Theoretically,the impact of debt replacement should be assessed from a more systematic perspective.Fourth,the interrelationship between financial institutions is an indispensable aspect of understanding and analyzing bank credit risk.The credit risk faced by a single institution will spread to other institutions through different channels and generate systemic risks through the direct and indirect linkages of institutions.Empirical estimates and theoretical analysis show that the relevance of financial institutions is rising rapidly in recent years and has become one of the sources of credit risk diffusion.Moreover,the impact of asset price fluctuations and related expected changes is more secretive,faster,more widespread,and more disruptive.Taking the credit risk generation mechanism of commercial banks as the research object,based on the bank’s balance sheet,the paper analyzes the identification,evolution and impact of bank credit risk in different dimensions and different departments.The innovations are mainly reflected in the following aspects:First,based on the balance sheet of commercial banks,this paper discusses the credit risk among non-financial enterprises,residential departments,government departments and the risk contagion among financial institutions.It can grasp the identification,generation mechanism,evolution and impact of bank credit risk from a macro perspective.It can also see how bank credit risk can be derived from the dynamic association of risks among different sectors of the economy.The microlevel aggregates and spreads to the macro-level.Second,This paper constructs a dynamic stochastic general equilibrium(DSGE)model to analyze the mechanism of debt replacement policy affecting the economy and the impact of the policy on bank credit risk,and compares the effects of the policy in different situations,so as to provide support for evaluating the overall impact of government debt policy on bank credit.The marginal contribution of this method lies in the following: firstly,it is further expanded in the analytical framework of Kirchner-Wijnbergen(2012)and Kwaak-Wijnbergen(2014).The assets held by commercial banks include not only loans to enterprises and government bonds,but also local government debt included in replacement.In addition,the model also includes short-term loans from commercial banks to the government.In this way,we can make a detailed analysis of the short-term repayment of debt replaced by long-term bond.Secondly,we can analyze and compare the spillover effects of debt replacement under different economic scenarios,so as to provide suggestions for more effective implementation of this policy in the future.Third,this paper divides the relationship between financial institutions into two categories,one is the direct connection between banks,and the other is the indirect connection between banks and non-banks.Based on the financial network model and the VAR-MVGARCH(1,1)-BEKK model,the empirical analysis and dynamic simulation of credit risk contagion and diffusion are carried out,and the linkage relationship between non-bank financial institutions and commercial banks is empirically estimated and measured.Specifically,based on the perspective of interrelatedness,this paper uses principal component analysis and VARMVGARCH(1,1)-BEKK model to measure the systemic risk of bank system,and tests the risk transmission among different industries or markets in the system.Principal Component Analysis(PCA)has the advantage of better showing the timevarying characteristics of systemic risk at the yield dimension.VAR-MVGARCH(1,1)-BEKK model takes into account the possible changes in the direction of risk transmission with certain policy events at the volatility dimension.Due to the limitations of time and space,there are still many shortcomings in the research process and the problems to be further investigated,mainly reflected in the following points:Firstly,the impact on the credit risk of non-financial enterprises needs further analysis.Relevant empirical research focuses more on the leverage ratio of nonfinancial enterprises,and the analysis of the impact of their corresponding commercial credit,liquidity,enterprise nature and other issues on bank credit can be further refined.Secondly,the analysis of the impact of changes in the leverage ratio of the resident sector on bank credit in this paper mainly stays in the stage of description and preliminary analysis.Because our country’s residential sector has always been a relatively stable sector with a high savings rate.Both the rapid change of residents’ leverage ratio and the series are short,and in addition to the lack of micro data,make the comprehensive and systematic empirical analysis much more difficult,which needs to be further strengthened.Thirdly,the analysis of the four types of local credit risk is relatively detailed in this paper,but the comprehensive judgment of the final overall risk is still not perfect.The analysis and measurement of overall credit risk are not shown in depth.In addition,combined with the credit risk problem of commercial banks,it is also necessary to consider the changes of the debtors in the general equilibrium framework for comprehensive dynamic analysis.Those have not been expanded in the paper,yet. |
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