Study On The Impact Of Non-Interest Income On Systemic Risk Of Commercial Banks From The Perspective Of Risk Decomposition

Financial risk prevention has always been the primary task of China’s economic work,and commercial banks,as an important support in the financial system,have a crucial impact on both economic development and risk prevention.Influenced by financial technology and market competition,banks are vigorously developing non-interest income,which on the one hand enhances commercial banks’ operating capacity and enriches their income sources,but at the same time also strengthens inter-bank correlation and risk complexity,which brings certain challenges to financial supervision.In the existing studies,some scholars use a single measurement method and index to measure systemic risk of commercial banks,resulting in problems such as partial intersection of measurement content and characteristics and inadequate capture of systemic risk of commercial banks.It is of practical significance for the healthy and long-term development of commercial banks to decompose the systemic risk measurement from different perspectives,construct a systemic risk measurement index that comprehensively reflects the risk characteristics of banks,explore the relationship between this index and non-interest income,and uncover the hidden link between systemic risk and non-interest business of commercial banks.Based on the development characteristics of systemic risk and non-interest income,this paper uses a combination of theory and empirical evidence to firstly,analyze and describe the development of non-interest income of commercial banks,and clarify the importance and necessity of this research.Finally,based on the stock returns and related financial data of 16 listed banks in China,the paper uses principal component analysis to construct indicators of systemic risk of commercial banks at four levels,namely,individual risk,linkage,volatility and credit risk,and uses a fixed-effect panel model for empirical analysis to investigate the impact of non-interest income on systemic risk of commercial banks in China.The impact of non-interest income on systemic risk is investigated.The main findings are:(1)The capture and measurement of different risk characteristics from a risk decomposition perspective based on the fact that non-interest income affects systemic risk to different degrees from four aspects:individual risk,linkage,volatility,and credit risk;(2)In the overall evaluation score of bank systemic risk,the average value of risk is smaller for state-owned banks and larger for local banks;(3)Overall,commercial banks’ non-interest income can diversify systemic risk,and by developing non-interest business,commercial banks can improve their operating capacity and reduce systemic risk;(4)Regarding the types of non-interest income,fee and commission income does not significantly affect the systemic risk of commercial banks,while other noninterest income can significantly reduce the systemic risk of commercial banks;(5)In terms of bank types,the degree of impact on systemic risk decreases for joint-stock banks,stateowned banks and local banks,respectively;(6)There is a non-linear relationship between the impact of non-interest income on systemic risk.Although the current increase in non-interest income can diversify the systemic risk of commercial banks,as the scale of non-interest income expands,the existence of maturity mismatch and high leverage in it will aggravate the accumulation of systemic risk.