| 利率市场化、资产价格对银行系统性风险影响研究 |
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| 引用本文： | 曹衷阳,刘芮.利率市场化、资产价格对银行系统性风险影响研究[J].山东商业职业技术学院学报,2021(2):1-8. |
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| 作者姓名： | 曹衷阳 刘芮 |
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| 作者单位： | 河北经贸大学金融学院 |
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| 基金项目： | 2017年河北省高等学校青年拔尖人才计划项目(BJ2017075)。 |
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| 摘 要： | 近年来,利率市场化改革逐渐深化,将在一定程度上加剧银行业的系统性风险。运用SVAR模型,选取2008-2019年期间以股价和房价为代表的资产价格和我国银行的相关数据为研究样本,实证研究利率市场化、资产价格波动对银行业系统性风险的影响。结果表明,利率市场化改革会在一定程度上加剧银行业系统性金融风险,并且对资产价格波动具有显著的冲击作用;此外,以股价和房价为代表的资产价格与银行业系统性风险存在显著的负效应。在此基础上,分别从利率市场化、资产价格两方面提出建议:增强商业银行定价管理,加强风险防控;增强资本市场监控,建立有效监控体系等。
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| 关 键 词： | 银行系统性风险 利率市场化 资产价格 |
The Influence of Interest Rate Liberalization and Asset Price on Bank Systemic Risk |
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| CAO Zhongyang,LIU Rui.The Influence of Interest Rate Liberalization and Asset Price on Bank Systemic Risk[J].Journal of Shandong Institute of Commerce and Technology,2021(2):1-8. |
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| Authors: | CAO Zhongyang LIU Rui |
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| Institution: | (School of Finance, Hebei University of Economics and Business, Shijiazhuang, Hebei 050061, China) |
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| Abstract: | In recent years,the reform of interest rate liberalization has been deepened gradually,which will aggravate the systematic risk of banking industry to a certain extent.In order to effectively prevent the systematic risk of the banking industry and maintain the stability of the financial system,this paper selects asset prices represented by stock prices and house prices and relevant data of banks from 2018 to 2019 as research samples,and empirically studies the impact of interest rate marketization and asset price fluctuation on the systemic risk of banking industry by using SVAR model.The results show that the reform of interest rate liberalization will aggravate the systematic financial risk of the banking industry to a certain extent,and has a significant impact on asset price volatility.In addition,asset prices represented by stock price and house price have significant negative effects on systemic risk of banking industry.From the perspective of interest rate liberalization and asset price,this paper proposes to strengthen the pricing management of commercial banks and strengthen risk prevention and control as well as strengthen capital market monitoring,establish effective monitoring system and other relevant policy recommendations. |
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| Keywords: | systematic risk of bank marketization of interest rate asset price |
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