Research On The Measurement Of Chinese Bank’s Systemic Importance And The Influencing Factors

The US Subprime Crisis triggered a global financial crisis and caused a great impact on the global economy and the financial system.In the reflection of the crisis,governments and scholars have found that there are some problems in the theory and practice of financial supervision.The traditional micro-prudential supervision is mainly to ensure the stability of a financial institution.Due to the increasingly close ties between various financial institutions,the risk of a financial institution is more easily spread to the other financial institutions.Micro-prudential supervision can not meet the current regulatory requirements.Therefore,we need to establish a regulatory framework that uses macro-prudential supervision.In marco-prudential supervision,we should emphasize the regulation of the systemically important banks,reduce the moral hazard caused by "Too Big to Fail" At present,there is no international uniform standard for measuring bank’s systemic importance and identifying systemically important banks.Due to large financial institutions play an important role in the entire financial system,accurate identification of Chinese systemically important banks help the stability of Chinese financial system.The paper researches the measurement of Chinese bank’s systemic importance and the influencing factors.On the measurement of Chinese bank’s systemic importance,the paper uses the SRISK method to measure the systemic importance of 16 Chinese listed commercial banks in 2007-2015,and analyzes the systemic importance of Chinese commercial banks.The main conclusions are as follows.First,Chinese state-owned commercial banks rank at the forefront of systemic importance,followed by joint-stock commercial banks and urban commercial banks.Second,the systemic importance of state-owned commercial banks is declining,and the systemic importance of joint-stock commercial banks and urban commercial banks is on the rise.Third,according to the definition of systemically important bank,five state-owned commercial banks in our country are defined as systemically important banks.In joint-stock commercial banks,Industrial Bank,Shanghai Pudong Development Bank and China Merchants Bank are mostly defined as systemically important banks.Forth,the actual leverage of Chinese commercial banks is significantly higher than the applicable leverage.High leverage will lead to the concentration of risk and affect the entire financial system and the development of the real economy.On the basis of the measurement of Chinese bank’s systemic importance,the paper empirically analyzes the impact of bank size,leverage,non-interest income,correlation and financing sources on Chinese bank’s systemic importance.The main conclusions are as follows.First,there is a significant positive relationship between Chinese bank’s systemic importance and bank size,leverage,correlation and deposit ratio.Second,there is a significant negative relationship between Chinese bank’s systemic importance and the proportion of non-interest income.