| The world financial crisis has made scholars and regulators around the world pay attention to systemic financial risks.Many important domestic government meetings have stressed the need to guard against systemic risks,prevent major financial risks and pay attention to key financial institutions.In recent years,the relevance of various financial institutions in our country has been continuously strengthened.Large-scale,highly relevant,complex and irreplaceable systemically important banks are more likely to transmit risks to other financial institutions.The transmission effect of such risk fluctuations is precisely the risk spillover effect,which is also the most important link in the amplification of risk contagion to form systematic risks.Therefore,research on the risk spillover effect of systemically important banks is of vital significance.Based on the above background and significance,this paper identifies 19 systemically important banks in our country according to the calculated systemically important scores with reference to the "Measures for the Evaluation",sets a demarcation value and divides them into five groups,and selects 16 banks that have been listed earlier.Taking the weekly return on stock price and the weekly return on Shenwan Bank Index of these 16 banks from August 2010 to September 2020 as research samples,this paper uses the static CoVaR model to measure the risk spillover intensity ΔCoVaR value and the risk spillover efficiency%ΔCoVaR value of these 16 systemically important banks to the banking system and each other,and uses these two risk spillover indicators to horizontally compare the overall difference of the risk spillover effects of different systemically important Banks in the selected time interval.Based on the static empirical analysis,a dynamic CoVaR models is constructed to measure the systemic risk of each systemically important bank and the dynamic risk spillover intensity ΔCoVaRt between each other.Through this dynamic index,the time-varying characteristics of the risk spillover effects of systemically important banks are analyzed,and the differences of the risk spillover effects of the same systemically important bank at different time points are compared vertically,and the differences of the risk spillover effects of different banks under the influence of the same time points and the same risk factors are compared.According to the empirical analysis,the main conclusions are as follows:First,the risk spillover effect has always existed in the selected time interval,and the risk spillover effect presents two-way asymmetry;Secondly,CCB,ABC,Hua Xia Bank and Ningbo Bank not only have strong effect directly,but also can indirectly spill larger risk value to the banking system through other systemically important banks;Thirdly,the fluctuation range of dynamic ΔCoVaRt varies greatly among different banks,and the degree of influence of different banks on regulatory policy changes,macroeconomic operation changes and stock market changes also varies greatly;Fourth,CCB,ABC,Hua Xia Bank and Ningbo Bank not only have greater static risk spillover intensity to the banking system and other systemically important banks,but also have greater absolute value of risk spillover intensity with time when faced with the impact of market abnormal events such as "money shortage" and "stock market disaster".Finally,based on the theoretical basis and empirical research,this paper proposes to implement differentiated supervision according to the gap of systemic importance bank risk spillover effect;Perfecting the information disclosure system to reduce the possibility of banks’risk formation and transmission due to information asymmetry;We will improve the recovery and disposal measures for systemically important banks and put forward policy recommendations to prevent problem banks from spreading risks to a wider range. |
