Research On The Systemic Risk Of Chinese Commercial Banks From The Perspective Of External Impact

In the post financial crisis era,the uncertainty of China's macroeconomic situation is increasingly prominent.External economic variables such as economic growth,stock market and real estate market fluctuate.The changes of these factors require the banking industry to have stronger risk management and control ability,and require the regulatory agencies to make policies in a more macro perspective.Therefore,whether for the banking industry itself or regulators,it is of great significance to study the impact of external economic variables on the systemic risk of banks.Under the background of bank risk theory,this paper combs the impact mechanism of economic growth,real estate market and stock market on the systemic risk of commercial banks,and carries out empirical analysis.Firstly,the systematic risk value of commercial banks in China is calculated by establishing CCA model.The results show that the risk of urban commercial banks is greater than that of four state-owned banks and national joint-stock commercial banks.Secondly,VAR model is established to study the impact of economic growth,real estate market and stock market on the systemic risk of banks.From the empirical results of impulse response,economic growth has a significant negative impact on the cumulative impulse of bank default distance,that is,it has a significant positive impact on the systemic risk of banks;the impact of stock market has a significant negative impact on the short-term systemic risk of banks,and a positive impact on the long-term;the systemic risk of banks in the short-term under the positive impact of the real estate market The systematic risk changes negatively,but in the long run,it has a positive response to the real estate market.In addition,from the results of variance decomposition,in the long run,the stock market has the strongest explanatory power to the systemic risk of commercial banks,which is 22%;the second is the level of economic development and the real estate market,which are all about 12%.In addition,Granger causality test shows that economic growth,real estate market and stock market are all the reasons for the systematic risk changes of commercial banks.Finally,according to the empirical results and the current situation of risk supervision of commercial banks in China,this paper puts forward relevant policy recommendations,and makes prospects for the follow-up research.This paper provides a reference for the establishment of the banking system risk external early warning system,and provides an empirical basis for banking supervision.