Measuring systemic risk in China banking industry from a liquidity perspective
Based on the balance sheet data of Chinese commercial banks from 2011 to 2019,combined with the Bootstrap method,the liquidity risk of commercial banks is estimated by using the liquidity surplus index,and the systemic importance of commercial banks is calculated by using the risk contribution index.The results show that the liquidity surplus of most banks in the sample is higher than the mean of the banks over the past nine years in 2016 and 2017,and basically lower than the mean in other years,indicating that the relaxed economic policy reduced the liquidity risk of banks after the stock market crisis in 2015.Industrial and Commercial Bank of China,China Construction Bank,Bank of China and Agricultural Bank of China are systematically important banks in China,with a combined risk contribution of 77.4%.The research conclusion provides reference for the prevention of systemic risk in the banking industry.
commercial bankssystemic riskliquidity risksystemically important bankbalance sheet
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