Page 106 - 北京工商大学学报社会科学版2018年第6期

第 33 卷摇 第 6 期 丁摇 慧, 吴康成: 中国银行业系统性风险溢出效应测度

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The Measure of Systematic Risk Spillover Effect in China蒺s Banking Sector

DING Hui & WU Kangcheng
(School of Finance, Nanjing University of Finance & Economics, Nanjing, Jiangsu 210023, China)

Abstract: Based on the model of ARMA鄄GARCH鄄CoVaR, this paper measures one bank蒺s marginal contribution to the sys鄄
temic risk and the spillover effect among the commercial banks using daily stock returns data of 14 listed commercial banks in
China from 2008 to 2016. The empirical results show that there is spillover effect in each bank, but obvious differences exist in
marginal contribution of different banks to the systemic risk. No significant correlation is found between banking systemic risk and
its VaR. It is worth mentioning that the state鄄owned commercial banks have the highest contribution to systemic risk of banking
sector, in spite of their low VaR. The risk spillover effect also occurs among different banks but it is asymmetric, being greater of
the state鄄owned enterprises and city commercial banks to their associated banks than that of joint鄄equity commercial banks. Be鄄
sides, both domestic and international economic and financial situation has a major impact on the systemic risk spillover of
China蒺s banking industry, making it the focus of future risk prevention and control to integrate macroeconomic events into the dy鄄
namic monitoring process of bank risks.
Key Words: commercial bank; systemic risk; risk spillover effect; CoVaR model; systemic importance; macro鄄prudential
supervision
(本文责编摇 王沈南)

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