Bank Credit Risk And Inter Industry Infectious Effect

As the core part of our financial system,commercial banks are responsible for the important functions in national economic development.Once they fall into a crisis,it will produce a huge impact on the whole economic system.Credit risk is one of the main risks of banks.Because commercial banks have the characteristics of convergence of risky assets and homogeneity of loan environment,credit risk contagion will increase the complexity of credit risk in financial markets.The Financial Social Accounting Matrix(FSAM)extends the traditional SAM of a country’s real economy and provides an effective tool for the study of bank credit risk contagion.Based on the FSAM framework,this paper builds a multiplier model to analyze the macro-financial linkages,aiming to expose the bank credit risk and inter-industry contagion effect and contagion path,and provide decision-making basis for the bank credit risk control.First of all,by referring to previous research results,the macro national economy theory,systemic risk theory and social accounting matrix analysis method theory were sorted out.Combined with relevant theories of social accounting matrix,the FSAM multiplier model was constructed,and the entity unit and financial unit setting of FSAM multiplier model were given to obtain the FSAM structure.Furthermore,the forward and backward correlation analysis and structural path analysis methods are clarified to form the basic framework for the analysis of bank credit risk and inter-industry contagion effect.Then,the SAM framework is constructed according to the data of input-output table,fund flow statement and international balance of payments.On this basis,the micro data of the financial sector is allocated to the SAM framework,and the FSAM framework is leveled.Finally,we measure and analyze the bank credit risk,measure the inter-industry connection through the forward-backward correlation and structural path analysis,evaluate the influence of the bank sector credit risk on the macro economy and industrial sector,master the credit risk contagion mechanism of the bank sector,so as to improve our ability to deal with systemic risk.It is found that bank credit risk is obviously contagious,which can directly affect the development of the macro economy and the financial industry.It can be transmitted to the stock market,bond market,foreign exchange market,real estate market and other closely related financial markets through information network channels,and then affect the development of the real economy.Moreover,bank credit risk affects the industrial sector through two paths of "government-other service-industrial sector" and "government-resident".Therefore,it is suggested that banks and regulatory authorities strengthen credit risk control to minimize the impact of bank credit risk.