基于规模视角的系统重要性银行研究

在放松对银行规模等级设定的基础上，构建了更具一般性和可操作性的改进的三银行模型. 通过引入基于多元极值理论和L函数的三种银行系统重要性指数，规范分析了银行规模对系统重要性的影响. 研究发现，规模是构成银行系统重要性的必要条件但不是充分条件. 同时，运用中国14家上市银行A股交易数据对银行规模与系统重要性的相互关系进行了实证检验，结果与改进的三银行模型基本一致. 无论从理论还是实证角度来看，规模对银行的系统重要性具有重要影响，但当银行规模达到一定程度后，其影响将被弱化，这对于识别和监管系统重要性银行具有重要的理论意义和应用价值.

Measurement of systemically important banks based on size

After loosening the hypothesis of bank size, this paper developed an improved three-bank model to analyze the relation between bank size and its systemic importance. By introducing L function, multivariate extreme theory and three indexes of banking systemic importance, the paper analyzed the impact of size on banks' systemic importance, and found that bank size is the necessary condition of the systemic importance, but not the sufficient condition. In addition, this study conducted an empirical analysis by examining the trading data of 14 listed commercial banks in China. The results were basically in accord with our theoretical prediction. Both the theory and empirical results point out that the size has played a critical role in banks' systemic importance and its impact would be weakened as soon as the size reaches some threshold. This study has theoretical and practical value for the identification and supervision of banks' systemic importance.