商业银行金融创新与系统性风险

本文利用2007—2018年间我国商业银行金融创新财务数据和基于尾部依赖度量的系统性风险,分析了商业银行金融创新对系统性风险的影响。结果显示:第一,我国商业银行金融创新在经济上行时期会降低系统性风险,在经济下行时期会增加系统性风险;第二,按照不同类型商业银行金融创新来看,在经济下行时期,商业银行衍生金融负债业务、理财及代理业务创新会增加系统性风险,而衍生金融资产业务和信贷业务创新会降低系统性风险。本文对实证结果提供了可能的经济学解释,并基于实证结果及原因,进一步提出了相应的监管措施和政策建议。

Financial Innovation and Systemic Risk of the Commercial Banks

This paper analyzes the impact of financial innovation of commercial banks on systemic risks by using financial innovation data of China's commercial banks from 2007 to 2018 and systematic risk based on tail dependency measurement.The results show that:first,the financial innovation of China's commercial banks will reduce the systemic risk in the period of economic upturn but increase the systemic risk in the period of economic downturn;second,according to the financial innovations of different types of commercial banks,the commercial banks will derive financial liability business,and the businesses of money management and the agent service of commercial banks will increase systemic risks,while the innovation of derivative financial assets business and credit business will reduce systemic risks during the economic downturn.This paper provides possible economic explanations for the empirical results,and further puts forward corresponding regulatory measures and policy suggestions based on the empirical results and reasons.