An Empirical Study On The Impact Of Asset Price Fluctuation On The Vulnerability Of China's Commercial Bank System

There is a close relationship between asset price volatility and financial stability,especially with the vulnerability of commercial banking system.China Banking Regulatory Commission also emphasized the prevention and control of financial risks to a more important position,and put forward the guidance of "paying close attention to bond market fluctuations" and "preventing real estate sector risks".It can be seen that it is of great significance to explore the impact of asset price fluctuations on the vulnerability of China's commercial banking system.In this paper,seventeen listed commercial banks are selected to study the impact of asset price fluctuations on the vulnerability of China's commercial banks by using the data from the fourth quarter of 2010 to the first quarter of 2018.The purpose is to provide a reference for the stable operation of the commercial banking system in China and to give full play to the important supporting role of the commercial banking system in promoting the development of the economy.On the basis of summarizing related research results,this paper first used factor analysis and vulnerability scoring method to measure the vulnerability of banks.The results showed that the degree of vulnerability decreased during the period of study.Secondly,the VEC model was constructed by selecting Shanghai Composite Index,which represented the fluctuation of stock price,and the selling price of commercial house,which represented the fluctuation of house price,as the factor of asset price fluctuation,and the value of vulnerability as the factor of the vulnerability of banks.The results showed that the volatility of stock and house prices had an impact on the vulnerability of banks and the volatility of stock prices had a more significant impact on the vulnerability in the short term,while the volatility of the house price fluctuations had a huge impact on the vulnerability in the long term.Then,the cointegration equation was selected as the stress test model,and the extreme scenarios were constructed by using historical data to study the impact of these two kinds of asset extreme volatility.The stress test results showed that the vulnerability of banks was obvious when asset prices were hit,and most of them were higher than the value of vulnerability caused by their own factors,resulting in that the bank was in an unstable state.Therefore,based on the research results,this paper puts forward three suggestions to reduce the vulnerability level of China's commercial bank system caused by asset price fluctuation.The first is to standardize the method of measuring the vulnerability of the commercial bank system,and to measure the vulnerability of the commercial bank system in China on a regular basis.The second is to improve the understanding of the risk of asset price fluctuation,to pay attention to the risk of short-term volatility of stock price and long-term fluctuation of real estate price,and the third is to pay attention to and guard against the abnormal fluctuation of asset price all the time,and to standardize the stress test system.