Research On The Impact Of Credit Assets Homogenization Of Commercial Banks On Systemic Risk In China

The homogeneity of the credit structure of commercial banks may trigger market resonance and lead to a large number of banks getting into trouble at the same time,which will have a great impact on the national economy and easily lead to systemic risks.Based on this,from the perspective of industry and region,this paper selects panel data of Chinese listed commercial banks from 2011 to 2020 to empirically analyze the effects and transmission channels of credit asset homogeneity on systemic risk,and compares its differences in industry dimensions.First,the cosine similarity and Euclidian distance methods were used to construct credit asset homogeneity indicators,and the Co Va R method was used to calculate the systemic risk indicators to verify the influence direction and significance degree of credit asset homogeneity on systemic risk.Secondly,construct the income volatility index and stock price volatility index to verify the effectiveness of the channel respectively.From the perspective of industry,from the perspective of effect,for the whole industry,the impact of credit asset homogeneity on systemic risk is significantly positive correlation;For a single industry,there is industry heterogeneity in this influence.The six industries with low heterogeneity represented by real estate have a positive impact,while the two industries with high heterogeneity,manufacturing and wholesale and retail,have a negative impact.From the perspective of transmission channels,the income volatility channels and stock price volatility channels of credit asset homogenization in the whole industry are significantly positive,but there are differences between the two channels in different industries.Among them,the real estate industry,transportation industry,water industry and leasing industry are significantly positive and mainly share price fluctuation channels.The construction industry and electric power industry only have significantly positive share price fluctuation channels,while the manufacturing industry has significantly negative share price fluctuation channels and the wholesale and retail industry income fluctuation channels.From the regional perspective,from the effect point of view,for the whole region,the impact of credit asset homogeneity on systemic risk is significantly positive correlation;For a single region,the influence has regional heterogeneity,in which North China and Northeast China have a positive influence,East China has a positive influence after two periods,and South China,Central and western China have a negative influence.From the perspective of transmission channels,the income volatility channels and stock price volatility channels of credit asset homogenization in the whole region are significantly positive,but there are differences between the two channels in different regions.Among them,the earnings volatility channels in North China and Northeast China are significantly positive,the earnings volatility channels and stock price volatility channels in East China that lag two periods are significantly positive,and the earnings volatility channels in South China,Central China and western China are significantly negative.Therefore,in order to prevent and resolve systemic risks and maintain our financial stability,regulatory authorities should establish monitoring and early warning indicators of credit asset homogeneity,and conduct differentiated management of credit asset homogeneity according to industry and regional heterogeneity.The limited regulatory resources are used to block the risk transmission in the profit and stock price chain in the regions with low heterogeneity and high industrial economic correlation.