| Although the causes of each financial crisis are different,almost all are related to the excessive use of debt leverage by various economic sectors.Therefore,the importance of debt leverage in systemic risks is becoming more and more widely known,and it is necessary to explore the interactive relationship between the two.The level of corporate leverage is closely related to financial leverage.At the same time,considering the important position of commercial banks in China’s financial system,this article aims to study the impact of commercial banks’ leverage on their systemic risk spillover levels.First,according to the "Measures for the Management of Commercial Bank Leverage(Revised Edition)" issued by the China Banking Regulatory Commission in 2015,the leverage ratios of 14 listed commercial banks in China from 2011 to 2018 were estimated,and their status and trends were analyzed.Second,based on dynamic GARCH-The CoVaR model measures the level of systemic risk spillover of China’s 14 listed commercial banks,analyzes its static ranking and dynamic characteristics;finally,constructs a panel regression model for the leverage ratio of China’s commercial banks to the level of systemic risk spillover Empirical analysis of the impact.Research shows that since 2011,the average leverage ratio of 14 commercial banks has shown a volatile upward trend,and non-credit businesses and interbank liabilities have gradually become a key way for some banks to increase leverage.The level of systemic risk spillover of commercial banks presents obvious time-varying characteristics,and the level of systemic risk spillover of state-owned banks is generally higher than that of joint-stock banks and city commercial banks,with Industrial and Commercial Bank of China having the highest level.And the higher the level of leverage of commercial banks,the greater the risk spillover effects,which has a pro-economic cyclical effect.During the period of tightening monetary policy,the systematic risk spillover effect of commercial banks from leverage ratio will increase significantly.In order to effectively prevent systemic risks through deleveraging,it’s recommended that the supervisory authorities continue to strengthen the supervision of businesses related to increasing the leverage ratio,implement countercyclical supervision,and coordinate with corresponding monetary policies to reduce The level of systemic risk spillover of commercial banks is to prevent systemic financial risks caused by the leverage ratio of commercial banks. |
