Abstract：
From the perspective of regulators, this paper uses improved time-varying Copula—ΔCoVaR model to calculate the systemic risk contributions of 16 commercial banks in China from 2011 to 2016. Then it describes the characteristics of the systemic risk of China’s banking industry in the same period from both time and cross-section dimensions and analyzes the influencing factors through panel regression. The results show that in the dimension of cross-section, the systemic risk contribution of state-owned commercial banks is higher than that of joint-stock commercial banks and city commercial banks, and the contribution of ICBC is the highest. In the time dimension, ICBC can release an early warning 3-6 months prior to a crisis, thus its systemic risk contribution can best describe systemic risk changes in China’s banking industry. In terms of influencing factors, the degree of inter-bank correlation, GDP growth rate, leverage and nonperforming loan rate have significant impacts on systemic risk. It is advised that the regulatory authorities should use both micro and macro-prudential tools to implement counter-cyclical regulation in order to reduce the systemic risk level of the banking sector.
ZHANG Jia-zhen, LIU Ya.Research on Measurement and Influencing Factors of Systemic Risk in Chinese Banking Industry[J] Economic Survey, 2018,V35(5): 143-150
2018 
