Study On The Spillover Of Systemic Risk Of Listed Banks In China And Its Influencing Factors

After the global financial crisis in 2008,the issue of systemic risk came into the research field of scholars and regulators around the world.The crisis from the collapse of a bank to the rapid spread of the whole system has made people understand the negative externalities and spillovers of systemic risk.Therefore,the study of systemic risk is of great significance.Due to the special status of commercial Banks in the financial system,with the gradual progress of interest rate liberalization and economic globalization,the systematic risks of Banks are constantly accumulating.Therefore,it is urgent to study the systematic risks of Banks,which can provide new ideas and suggestions for macro-prudential supervision and lay a new foundation for the sound operation of the banking system.Based on the domestic and foreign scholars on the basis of carding literature summary,auxiliary banking systemic risk characteristics and genetic theory to analyze the mechanism of the influence factors,then measure based on DCC-MGARCH model 16 listed Banks in the fourth quarter of 2010 to 2018 in the third quarter of dynamic systemic risk overflow value delta Co VaR,and comparative analysis,its size and then select eight variables using panel model empirical explore factors that influence the banking systemic risk overflow last theory combined with empirical,conforms to the empirical results and the situation of our country put forward policy suggestions.Through the measurement of the systemic risk spillover of 16 listed Banks and the exploration of the influencing factors,the main conclusions are as follows:under the time window selected in this paper,when other variables remain unchanged,systemic risk spillovers of Banks are positively correlated with term spread,total asset return rate,loan-to-deposit ratio,non-performing loan ratio and leverage ratio,and negatively correlated with GDP growth rate,scale and capital adequacy ratio,respectively.Combined with the analysis of theoretical mechanism and empirieal model,the paper puts forward relevant policy suggestions,mainly including strengthening the anti-risk ability of individual Banks,establishing early warning system of Banks,and establishing perfect supervision system of Banks.