Research On The Impact Of China's Monetary Policy On The Systemic Risk Of Commercial Banks

The outbreak of the US financial crisis in 2008 caused tremendous damage to the world economy and global financial stability.As a result,governments in various countries gradually incorporated systemic risks and safeguarded financial stability into the regulatory framework.As far as our country is concerned,as China is currently in a special period of economic restructuring and upgrading,together with the fragility of the financial system,the risks faced by the banking industry have increased and gradually emerged.If they are not supervised,they will trigger potential systemic risk.And if the monetary policy is not properly handled,it will increase the possibility of a crisis.Therefore,the study of the impact of monetary policy on the systemic risk of commercial banks is of great significance to PBOC's monetary policy operations and the maintenance of China's financial stability.In this context,this article focuses on the impact of China's monetary policy on the systemic risks of commercial banks.This paper uses the CoVaR method to measure the systemic risk of commercial banks.And theoretically analyzed the impact of monetary policy on the systemic risk of commercial banks.On the basis of the foregoing analysis,two quantitative monetary policy tools and two price-based tools were selected,and a dynamic panel model including systemic risk and monetary policy variables,macroeconomic variables,and bank's own characteristic variables was constructed.We use the system GMM method for empirical analysis to verify the impact of China's monetary policy on the systemic risk of commercial banks.In addition,by adding the dummy variables of monetary policy stance and system importance characteristics,the asymmetric effect of monetary policy stance on the systemic risk of commercial banks and the impact of monetary policy on systemic risk of different systemically important banks are further analyzed.According to the empirical results of the systemic risk measured by the CoVaR method,it is found that the systemic risk level of most small and medium-sized banks is higher than the systemic risk level of large state-owned banks,and the systemic risk of commercial banks has a clear “procyclicality”.Combined with theoretical analysis,it is found that under loose monetary policy,the bank's own risk level has increased,and risk and losses have been transmitted to other banks and other financial institutions through the interbank market and other channels,bringing potential systemic risks.Through the empirical test of the dynamic panel model,we further concluded that:(1)Loose monetary policies do enlarge the systemic risk level of commercial banks;(2)Different monetary policy instruments have different effects on the systemic risk level of commercial banks.In the current situation where China's interest rate mechanism is not completely market-oriented and the financial market is underdeveloped,price-based monetary policy instruments have a greater impact on the systemic risk level of commercial banks;(3)Loose monetary policy is a systemic aspect of commercial banks.The amplification effect of risk is stronger than the reduction effect of tightening monetary policy;(4)Under the same loose monetary policy control,the systemic risk level of systemically important banks is relatively high.The innovation of this paper lies in the combination of theoretical analysis and model empirical analysis.It analyzes the evolution of systemic risk under the use of different monetary policy tools and enriches the existing literature.