Research On The Risk Contagion Effect Between Commercial Banks Of Different Scales

Since the 2008 financial crisis,the growth rate of economic fluctuates up and down in China,step by step towards the middle-high speed development level.Afterthe rapid economic growth by more than 9% in the financial crisis,macroeconomic is gradually tightening and the nominal growth rates of investment growthare decreasing frommore than 30% in 2011 to 10% in June,2015;at the same time,non-performing loansof commercial banks are gradually rising.As the economy structure transition,structural shocks between commercial banks are also quietly changing.This paperselects five banks as samplesaccording to the scales of commercial banks,and divides the time zone into the two parts based on the mid 2010,namely,the first period and the second period,researchingthe risk contagion effects by the two periods between the bank sampleson different scale.First,by the Granger causalityof VAR model based on the yield sequences ofsample banks finds risk transmission effect ofthe first period more intense than that of the second period.The risk contagion effects of the most bank samples on the first period show significant two-way relationshipsof transmission between banks,and industrial and commercial bank and the bank of China arein the center of risk transmission process.Considering the current structure of the relationship between the banksamples,bythe variance decompositionbased on building the SVAR model researches the contribution of yield varingby the structure impact from the bank samples,andgives the conclusion that contribution of SIBs(Systemically important Banks)is lower than that of theegional banks,otherwise,contribution of regional banks being higher than that of the SIBs,in addition,the contribution of bank of Beijing is greater than that of the bank of ningbo.To further researching of nonlinear risk relationshipbetween bank samples,by building Copula function based on sequences of daily yield rates and sequences of time-varying VaR showsthat the risk contagion effectsare more apparent between the same-size banksamples.By constructing Gumbel and Clayton Copulas based on yield sequences ofthe bank samplesresearches sequence dependency through the upward tail dependence and the downwardone and it is concluded that the tail dependence of the first period of is greater than that of the second period.For the research ofthe risk contagion effects based on the extreme loss occuring between banks,this paper studies the risk contagion effectsby generatingGARCH-VaR sequencesaccording to the yield sequences of downward tail extreme-value distribution ofbank samples,and finds the downward tail dependence of the Claytonof he second period is significantly greater than that of the first period based on the time-varying VaR series,that is,after the slowing dwon of the economic,the links are more closely between bank samples when the sequences of the extreme loss appear.Through the analysis of the tail dependence based on the yield sequences and that of the extreme loss,it is found the dependence is more closely when banks face the losses and the risk contagion effectsare more significant.By constructing a SVAR model and Copula function,and giving the conclusions as follows:(1)Granger causality test,by building the SVAR model,is based on earnings rate sequences of banks and it is found that SIBs are in the core position of the the link of the commercial banking risk contagion,and the bond effectof the first period is weaker than that of the second period;by the variance decomposition based on the SVAR,SIBs encounter the relatively fierce shockof regional banks,whereas regional banks encounter the shock effect is weaker by SIBs.(2)By the tail dependence analysis on Copula functionbased on bank earnings ratio sequences knows that the contagion effect of the first period risk is stronger than that of the second period,but by the Copula tail analysis based on sequencesof the extreme loss distribution finds the risk contagion effect of the second periodon the commercial banks of the different scales is stronger than that of the first period,namely,from the perspective of earnings,infectious relationship of commercial banks in the first period being stronger than that of the second perod,and from the perspective of loss,the first period being stronger than the second period.With the slowdown of the economic growth in China and the coming of the new normal background,the problems and conflicts existing in the economic development gradually expose and the factors hindering the economic development are more complex.Contagion effect between the risk loss sequenceson the commercial banksof different scalesis gradually increasing.In addition,no matter from the perspective of the earning rates or sequencesof the VaR(Value at Risk),the tail dependence based on the Copulafunction,risk contagion effect is more significant between commercial banks on the same scale.