| In recent years,China has experienced increasing problems in real estate,local government debt,and shadow banking,and the financial system has increasingly revealed its vulnerability.Moreover,the political and economic environment has become increasingly complex and tense,and the variability and uncertainty of economic policies of stakeholder countries have increased significantly.Coupled with the global outbreak of COVID-19 that broke out in early 2020 and continues to spread to this day,the development of the global economy has had an unpredictable and huge impact,and new mutant strains are still emerging,exposing China’s economic development to unprecedented uncertainties and increasing systemic risks.On this basis,it is important to study how to measure,warn and control China’s financial systemic risks in the context of the current situation of China’s systemic financial risks.At the same time,the current structural problems of leverage across economic sectors in China are obvious,and excessive financial leverage has also increased systemic financial risks.Financial deleveraging has been an important prerequisite for preventing financial risks and stabilizing the national economy.Thus,it is very important to study the leverage problem in the financial system and its relationship with financial risk.Ultimately,the research object of the thesis is determined as the systemic risk of commercial banks and its relationship with indicators such as individual bank leverage ratio and interbank leverage ratio.The thesis firstly collates and analyzes the domestic and foreign literature on financial risk and its involved theories,mainly including the meaning,influencing factors,characteristics,and causes of systemic financial risk.Secondly,the current situation of systemic risk and instability factors of Chinese commercial banks are analyzed,and the current sources of systemic financial risk in China are clarified.The empirical part is as follows.In the first step,the financial stress index(FSI)is constructed,and the level of financial stress in China during the sample period is obtained by processing and synthesizing the more market-oriented interest rate-related indicators of the banking sector and testing the accuracy and rationality of its measurement,followed by the construction of a stress period identification model for the identification of systemic risk and early warning analysis;in the second step,based on all the obtained panel data of A-share listed commercial banks,a model is constructed,using the financial stress index of the banking system obtained in Chapter 4 as the explained variable and the individual bank leverage ratio and interbank leverage ratio as the core explanatory variables,for empirical analysis by using fixed-effects model and threshold regression model,respectively.After synthesizing the theoretical research and empirical results,this thesis finds that the financial stress index has a strong fitting effect on the stress level of China’s financial market and can be used to measure the systemic risk of China’s commercial banks and monitor them continuously.The model results during the sample period show that commercial banks’ financial leverage ratio and interbank leverage ratio have significant positive regression coefficients on commercial banks’ systemic risk,and total asset size plays a moderating role in the process of leverage ratio affecting systemic risk.Based on the research results,this paper gives some policy and measure recommendations on how to prevent financial system crises and enhance the antirisk capacity of commercial banks from three aspects. |
