Interest Rate Marketization, Asset Price Volatility And Banking Systemic Risk

In recent years,interest rate marketization reforms have continued to develop in depth.The market has played a role in the pricing mechanism to reduce the deposit and loan spreads of commercial banks,which has caused a huge impact on the traditional bank deposit and loan business.In order to maintain competitiveness,commercial banks will compete for market resources by increasing deposit interest rates and lowering loan interest rates.However,these competitive methods reduce the profit margins of banks,and the stability of bank operations also declines,which exposes banks to financial risks.At the same time,interest rate fluctuations caused by interest rate liberalization are transmitted to the stock market and the real estate market through the role of the market mechanism,resulting in asset price bubbles such as stock prices and housing prices,which in turn triggers asset price fluctuations.From an internal perspective,asset price fluctuations will affect the stability of the financial system through channels such as bank credit,liquidity,capital,and financial innovation,thereby forming a financial chain in the stock market and the real estate market and triggering systemic financial risks.Based on the literature and related theories of interest rate marketization reform,asset price volatility,and systemic risk,this thesis systematically explores the correlation mechanism between interest rate marketization,asset price volatility,and banking systemic risk.First of all,from the theoretical basis and existing literature,the mechanism of interest rate liberalization,asset price fluctuations on the systemic risks of the banking industry and the transmission path of asset price fluctuations to the systemic risks of the banking industry are analyzed.Second,in the selection of indicators,the index valuation method is used to measure the interest rate marketization index,the Shanghai Composite Index year-on-year volatility index and the residential consumer price index are selected to reflect the magnitude of asset price fluctuations,and the principal component analysis method is used to construct the banking systemic risk index system;In terms of model construction,use SVAR model and put forward corresponding constraints.Finally,from the perspective of empirical analysis,the stability of the model and the variables are tested.The impulse response function and variancedecomposition are used to analyze the relationship between the variables.According to the analysis,it is found that the relationship between interest rate liberalization and banking system risk is U-shaped.In the short term,the risk defense mechanism of commercial banks can resist certain risks.However,with the increase in the degree of interest rate liberalization,the fierce competition has led to a narrowing of spread income,exacerbating systemic risks between banking institutions.At the same time,the degree of marketization of interest rates as a whole negatively impacted stock market prices and real estate market prices,but the impact on stock prices has a staged characteristic.In addition,negative fluctuations in stock market prices and real estate market prices will induce systemic financial crises.On the basis of literature review,theoretical research,and empirical analysis,this paper proposes policy recommendations for responding to asset price fluctuations represented by stock prices and house prices and preventing systemic risks in the banking industry under the background of interest rate liberalization: commercial banks should enhance their interest rate pricing capabilities and promote refined data management;regulators should improve asset market warnings and establish long-term control systems;improve monetary policy operating mechanisms and strengthen macro-prudential supervision.