摘要
互联网金融与传统银行之间竞争与合作关系一方面对商业银行产生强大的冲击,另一方面打开了风险传染渠道,冲击和传染的叠加引发银行业系统性风险。基于2010年1月1日至2017年9月30日的中国银行业、资本市场及宏观经济数据,运用SCCA模型对互联网金融影响下的中国银行业系统性风险进行测度,随后运用逐步回归法验证上述风险引发机制,并对一定期限内的风险水平进行预测。结果表明,互联网金融加剧了中国银行业系统性风险,且影响长期存在,互联网金融规模的不断扩大仍会对宏观经济造成冲击,增加中国银行业系统风险。
Competition and cooperation between Internet banking and traditional banking has a strong impact on commercial banks and opens channels for financial disturbances. The superpo- sition of shocks and disturbances tends to trigger systematic risk in the banking industry. Using data from the Chinese banking industry and capital markets, alongside macroeconomic data from January 1,2010 to September 30,2017, and applying the Systemic Contingent Claims Analysis （SCCA） model, this study intended to measure the systematic risk of the banking industry in Chi- na under the influence of Internet banking. Stepwise regression analysis was then applied to verify the uncovered triggering mechanisms and the risk level for a specific period was predicted. The results showed that Internet banking has aggravated systematic risk in the Chinese banking industry and the impact is long-term. The continued expansion of Internet banking is likely to further affect China＇ s macroeconomy and increase the systematic risk of its banking industry.
作者
朱辰
华桂宏
Zhu Chen;Hua Guihong(Business School, Nanjing Normal University, Nanjing, Jiangsu 210036, China;Business School, Jiangsu Normal University, Xuzhou, Jiangsu 221116, China)
出处
《金融经济学研究》
CSSCI
北大核心
2018年第2期50-59,共10页
Financial Economics Research
基金
国家哲学社会科学基金重点项目(16AJY023)
江苏省研究生培养创新工程(KYZZ16_0448)
