Study On The Impact Of Real Economy Fluctuation On Banks’ Systemic Risk Taking

At present,China’s economic development is faced with a complex and volatile domestic and international environment,and the impact of uncertainties has increased significantly.In this complex environment,how to effectively prevent and defuse major risks,to maintain the stability of the national economy,has become a top priority.With the development of the financial industry,the connection between finance and the real economy is getting closer and closer.In particular,financial intermediaries with mark-to-market effect,such as banks,are associated with the real economy through risky asset investment,which makes banks play an increasingly prominent role in stabilizing economic development and maintaining financial security.However,in recent years,the problem of "turning from real economy to virtual economy" in China has magnified the risks of real economy.Therefore,paying attention to the impact of real economy fluctuations on banks’ systemic risk taking is an important part of maintaining the stable development of national economy.Based on the data of non-core liabilities of 16 listed banks in China,this paper uses quantile regression to construct the index of systemic risk taking of banks.And the real economy risk index is constructed based on the yield data of 4,532 non-financial enterprises.This paper makes an empirical study on the relationship between real economy fluctuation and systemic risk taking of banks.The results are as following:First,there is a significant inverse relationship between the volatility of the real economy and the level of banks’ systemic risk taking,that is,in the stage of economic expansion,with the decline of the volatility of the real economy,banks’ systemic risk taking continues to accumulate.At the same time,with the acceleration of China’s economic growth,the risk-taking behavior of China’s small and medium-sized banks becomes more aggressive and plays a greater role in the process of long-term risk accumulation.The big banks,on the other hand,play a stabilizing role.Second,the time-dimension systemic risk taking index built on the basis of non-core liabilities of banks has better performance in risk identification,that is,it can more accurately identify the outbreak period of systemic risks,effectively avoid sending wrong warning signals when the actual risks are low,and at the same time,it is more forward-looking in capturing shocks.Third,by identifying systemically important industries,this paper finds that the fluctuation of systemically important industries has a significant inverse relationship with banks’ systemic risk taking,while the fluctuation of non-systemically important industries has no significant impact on banks’ systemic risk taking,and the former has a stronger force.Since most of the loans obtained by systemically important industries come from risk-sensitive banks,namely city commercial banks,when the fluctuation of systemically important industries decreases,the accumulation degree of systemic risks of banks will be further increased,making banks bear greater systemic risks.Based on the above conclusions,this paper puts forward the following policy suggestions: First,the regulatory authorities should continuously enrich the existing system of early warning indicators of systemic risk,fully examine the performance of indicators based on the data of non-core liabilities of banks,so as to more accurately monitor the changes of banks’ prior risk taking,so as to better prevent major economic crisis events;Second,in the period of economic expansion,we should pay close attention to the accumulation of systemic risks,especially the financial instability in the period of rapid economic growth.Third,the regulatory authorities should pay attention to the imbalance of liquidity input by different types of banks to the real sector and intervene appropriately to prevent and defuse systemic risks.