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Evolution of Systemic Risks in Chinas Banking Sector: From the Perspective of Sell-off Spread

【Authors】
GE Pengfei & HUANG Xiulu
【WorkUnit】
GE Pengfei (Northwest University, 710127)HUANG Xiulu (Xi’an Jiaotong University, 710049)
【Abstract】

Based on the manually collected data of 32 Chinese banks from 2007 to 2016, this paper applies the indirect association network model to conduct empirical analysis on the banking system, bank assets and individual banks by constructing indices of systemic risks, systemically important assets, and systemically important banks, respectively. Results show that the Chinese banking system faces increasing systemic risks on the whole, but is increasingly resistant to them at the same time. As to the asset end, manufacturing loans and personal housing loans are the most influential systemically important assets. As to the bank end, apart from the top five state-owned banks, China Industrial Bank and Shanghai Pudong Development Bank should be counted as systemically important banks too. Despite the small discrepancies of systemic vulnerability in figures and volatility among individual banks, it should be aware that the Agricultural Bank of China, China Industrial Bank, Shanghai Pudong Development Bank and China Merchants Bank are all highly systemically important and vulnerable and thus might trigger “associated” risks. Further analysis shows that personal housing loans, personal credit business and equity investment business exert growing impact on the systemic importance and vulnerability of banks. This paper captures the factual characteristics of systemic risks faced by China‘s banking sector and thus serves as a reference for developing targeted macro-prudential policies to prevent and resolve systemic risks.
 
JEL:G21, G24, G28

【KeyWords】
Systemic Risks, Indirect Association Network Model, Systemic Importance, Systemic Vulnerability