Bank System Risk Transmission Mechanism Of Our Country Based On Macro-prudential

Recently years, forecasting systemic risk contagion of a country or region is becoming more urgent andimportant, whether there is systemic risk becomes an important content on the measure of a region or country’sfinancial security. The rapid development and increasingly sophisticated financial system in our country putsforward a new subject of financial regulation to our country. Put macro-prudential in the financial regulatorysystem organically can better avoid a wide range of risk contagion caused by the risk of externalities, if the risktransmission between Banks evolved into a systemic risk that may cause big loss, seriously may let the entirefinancial system lose its basic functions. So researching the bank systemic risk contagion has its specialsignificance.In this paper, the related concepts of bank systemic risk are given firstly. Then I use matrix method toconstruct system risk contagion model of our country’s banks. In empirical research, several major banks’ loanand store trade data is used, and Eviews and Spss are involved when calculate. Using least square method andrelative entropy method to analyze the systemic risk contagion that caused by the failed bank under differentdamage level. The result shows that the transmission process of the two methods is different, and the leastsquare method has better effect.Secondly, consider that the macro-economic variables have influence on the bank’s ability to resist risks.So in this paper, the four variables including the gross domestic product, the price of the stock index, the realestate price index and the one-year deposit and lending spreads are involved in the scenario simulation toinvestigate the influence of regulators’ financial crisis intervention policy on bank risk contagion. The complexbusiness transactions between Banks will lead to this phenomenon, if a bank solvency is poor, the bank whichhave trade with this one especially the bank that have a lot of business will be affected even bankruptcy. Whenforecast the risk infection, due to the linearity between these four macroeconomic variable, firstly principalcomponent analysis of them was carried out, using the regression equation to get accurate regression equation of four variables and the banks’ owner equity; Then, using stress test to find the values of four variables whenthe owner’s equity is worst, lately calculate banks’ owner equity.Finally test the risk of infection between banks whose result shows that principal component-quantilemethod can effectively solve the problem of variable of multicollinearity.