Research On Spillover Effect And Supervision Effect Of Systemic Risk In China's Commercial Banks

After the financial crisis in 2008,the shortcomings of monetary policy began to appear,and its key role in leading economic stability was challenged.Regulators in various countries have begun to work to find effective ways to resolve systemic risk crises.Therefore,macro-prudence has become a concern at home and abroad.It has become an important crystallization of global systemic risk prevention.The study of systemic risk and macro-prudential management in China started relatively late,and with the promotion of financial innovation and mixed operation development and the deepening of the reform of the financial supervision system,the pressure on systemic risks faced by our financial institutions,especially the banking industry,has continued to increase.It is against this background that China has combined with international lessons and domestic experience and has been striving to build and improve China's macro-prudential policy framework system for many years,and has successively introduced and implemented a series of guidelines and policies."Working Conference of the People's Bank of China"(2011),the State Council Executive Meeting in November 2014,Report of the 19 th National Congress of CPC(2017),"Guidelines on Regulating the Asset Management Business of Financial Institutions"(2018),and The “Telephone Conference on Financial Market Work 2020”,Etc.have not only established the status of China's macro-prudential management,strengthened the urgency of systemic risk prevention,but also continued to provide impetus for the improvement of China's macro-prudential policy framework.However,in the process of promoting macro-prudential development,the research on systemic risk spillover effects and regulatory effects of China's commercial banks is obviously insufficient,and the in-depth analysis of the empirical research on macro-prudential policy is also lacking.Therefore,this paper analyzes the status quo,spillover effects,and the regulatory effects of macro-prudential countercyclical policies of systemic risk in China's commercial banks,which will help to broaden the research content of systemic risks,clarify the degree of risk spillover of various types of banks,and improve the risk management concepts of banking institutions.It is also conducive to improving the regulatory framework of China's macro-prudential policy and enhancing the effectiveness of counter-cyclical supervision.It is of great significance to the improvement of the soundness of China's financial market and the high-quality development of the economic market.In order to objectively understand the implementation effect of China's macro-prudential policy and the status quo of systemic risk development of commercial banks,to better optimize the risk structure of the banking system,and to improve China's macro-prudential management framework,this article starts with theoretical and empirical research.On the theoretical side,starting from the research background,the research theme was clarified,the research significance and main contributions were deepened,and then the concept and related research of macro-prudential and systemic risk are discussed in detail,and the actual situation of China's commercial banks is analyzed.On the empirical side,first of all,from a micro perspective,based on the ?CoVaR model,using quantile regression to evaluate the risk spillover effects of different types of commercial banks in the cross-sectional dimension.Second,the MES method and countercyclical capital buffer simulation were used to construct an indicator system,and the impulse response function was used to evaluate the systemic risk and regulatory effects of 16 listed commercial banks in China from 2011 to 2018 from the time dimension.Finally,comb the research conclusions and make relevant suggestions.This article aims to contribute to the empirical test of macro-prudential policies and the practical expansion of the research content of China's commercial bank systemic risk.The article points out that the systemic risks of China's commercial banks are generally high,and the state-owned commercial banks have the highest risk coefficients.However,due to their low risk value,their risk spillover effects are not as good as those of joint-stock commercial banks.The short-term effect is prominent,and the long-term effect is not obvious.Therefore,this article proposes policy recommendations to strengthen the risk identification mechanism,monitor the risk situation in a timely manner,attach importance to the supervision of joint-stock commercial banks,scientifically reduce the institution's own risks,improve macro-prudential management,and improve the long-term effectiveness of regulatory tools.