Banking Openness and Systemic Risk——Based on Cross-Border Lending Business
Since the introduction of the first foreign bank in 1980,China's banking industry has significantly enhanced its openness after more than 40 years of development.In the process of further opening up,effectively measuring the systemic risk generated by the banking industry's external business is of great significance for the stability of China's financial industry.This paper uses a network model to measure the systemic risk of cross-border lending business from 2007 to 2019.It is found that,firstly,asset-side shocks bring a higher level of systemic risk,while liability-side shocks cannot be ig-nored.Secondly,in terms of the time dimension of risk generation mechanisms,factors such as indirect correlation and expo-sure are very important,while factors such as leverage and direct correlation are less important.From the perspective of spatial systemic risk results,the ranking of systemically important banks is relatively stable.The increasing trend of increasing sys-temic risk mismatch index year by year in recent years deserves attention.Finally,the study of the interactions between and among systemic risk,cross-border lending and borrowing,and exchange rates reveals that there is a mutually reinforcing rela-tionship between the two types of systemic risk,and between systemic risk and exposure,and that the unfavorable cyclical mechanism of"cross-border borrowing and lending shocks → systemic risk → cross-border borrowing and lending shocks →..."requires extra attention from supervisory authorities.The marginal contribution of this paper is as follows.On one hand,from the perspective of cross-border lending business,it measures the systemic risk brought by the opening up of the banking industry.It makes up for the deficiency that most cur-rent studies take"introduction"and individual risk as research perspectives.On the other hand,the network model is built by combining direct correlation and indirect correlation,and the measurement method of systemic risk is proposed.It makes up for the deficiency that current research focuses on the causal relationship between cross-border business and bank risk,and fo-cuses less on the measurement of systemic risk.
Cross-Border LendingSystemic RiskSystemic Important BankSystemic Vulnerable Bank
NETL
NSTL
万方数据
