Since the 2008 international finan-cial crisis,the'dual-pillar'regulatory framework has gradually become an important measure for China to prevent and resolve financial risk.As an indicator of systemic financial risk,preventing bank risk spillovers has become a top priority of policy regulation,but it is not clear how the'dual-pillar'regulatory framework affects commercial bank sys-temic risk.Therefore,based on the micro data of 16 listed commercial banks in China from 2010 to 2020,this article uses the CoVaR method of quan-tile regression to measure the systemic risk of com-mercial banks,and investigates the effectiveness and heterogeneity of the'dual-pillar'regulatory framework on the systemic risk of commercial banks.The study finds that the'dual-pillar'regulatory framework based on monetary policy and macropru-dential policy is able to curb the systemic risk of commercial banks,and the curbing effect shows obvious heterogeneity.From the perspective of bank characteristics,the'dual-pillar'regulation has a more significant effect on banks with larger scale,higher capital adequacy ratio and lower profitability;from the perspective of the economic cycle,the effectiveness of the'dual-pillar'regulatory frame-work is significantly asymmetric due to the economic cycle,and the policy effect in the downturn period is significantly higher than in the upturn period;from the perspective of the type of macro-policy tools,various types of tools and monetary policy to coop-erate with the results of the different use of credit macro-prudential tools will make the'dual-pillar'regulation of risk suppression ineffective.Based on the heterogeneity of micro and macro per-spectives,this article provides policy suggestions for coordinating and matching monetary and macro-prudential policy tools and realizing the dual goals of economic and financial stability.
关键词
"双支柱"调控框架/商业银行系统性风险/分位数回归
Key words
'Dual-pillar'regulatory framework/Systemic risk of commercial banks/Quantile regres-sion
万方数据