Study On The Effect Of Non-Interest Income On Commercial Banks' Systemic Risk In China

Since China has entered new era,the development of the financial industry has also shown some new feature,the linkages among financial institutions have been continuously enhanced,and the risks among financial institutions have shown strong externalities and linkage.In particular,the financial crisis in 2008 and the spread of the European debt crisis in 2012 made the systemic risk a serious threat to the global economy.People began to realize that the risk of focusing solely on a single economic entity has not been able to meet the requirements of today's economic environment.We should put more attention on systemic risk.Moreover,with the internationalization and integration of finance and the advancement of technological and financial innovations,the income structure of banks has also been constantly changing.Gradually,the single loan-and-deposit business has moved towards diversification mode.Among them,Non-interest business is one of the most important and fastest-growing businesses.With the continuous expansion of the total amount of non-interest business,the bank's risk management and cost management have been greatly improved.As for the influence of non-interest income of commercial banks on the banking industry's overall systemic risk,how do non-interest incomes of large commercial banks and joint-stock commercial banks and city commercial banks have different influences on systemic risk? These are important issues worth studying when commercial banks develop non-interest income business.In order to investigate whether China's listed commercial banks can improve their returns through the development of non-interest income business to reduce the systemic risk of the banking industry,this paper studies the issue from the theoretical and empirical aspects,in order to improve the income structure of commercial banks,enhance the risk management of commercial banks,maintain the long-term stability of the financial system and realize the sustainable development of commercial banks.This thesis is described in the following five parts:Part 1,related concepts and theories.This part mainly elaborates the connotation of non-interest income,the connotation of systemic risk and its formation theory and the relationship between non-interest income and systemic risk.Part 2,analysis of the status of non-interest income business in commercial banks.Firstly,it reviews the development of non-interest business of commercial banks in China.Secondly,it analyzes the scale of non-interest business of commercial banks in China.Finally,the listed commercial banks are divided into two sample groups: large commercial banks and medium-sized commercial banks,we analyze the structure of commercial banks from the perspectives of these two sample groups respectively.Part 3,systemic risk measurement of listed commercial banks in China.Through the comparative analysis of each method,?CoVaR method based on quantile regression was used to measure the systemic risk of banks.Secondly,the daily closing price data of China's listed commercial banks and the index of Mainland China Bank 300 index were selected,them calculated stock daily return and index daily return on the logarithmic scale.Finally,we concluded commercial banks' ?CoVaR.Part 4,the empirical study on non-interest income and systemic risk in China's listed commercial banks.Firstly,this paper selects conditional value-at-risk calculated in the previous chapter as the explanatory variable and selects the ratio of non-interest income to operating income as the explanatory variable.Meanwhile,we introduce the ratio of loan assets,leverage,total assets Return rate,logarithmic scale of total assets and baking industry's sentiment index as the control variables.Secondly,based on the Hausman test,we constructed random effect model and fixed effect model,and then we conduct an empirical analysis in the perspectives of listed commercial banks,large commercial banks and medium-sized commercial banks.The empirical results show that: the proportion of ono-interest income of listed commercial banks has a significant negative impact on the commercial bank's systemic risk,thus the development of commercial bank's non-interest business helps to enrich the bank's business types and optimize the income structure.The proportion of non-interest income of large commercial banks has a significant negative effect on the systematic risk of banks.Compared with listed commercial banks,the absolute value of non-interest income of large commercial banks is larger,indicating that the ratio of non-interest income of large commercial banks has a more significant impact on bank's systemic risk.The non-interest income of medium-sized banks cannot significantly reduce bank's systemic risk.Part 5,research conclusion and suggestions.According to the empirical results,we put forward some specific suggestions: Firstly,authority should strengthen legal supervision of the banking industry.Secondly,banks should establish an effective internal control system.Thirdly,based on bank's current situation,banks should choose the non-interest income business which suitable for their further development.Fourthly should build up ties with non-banking financial institutions.Finally,banks should build their own specialized personnel.