金融学院知识库

摘  要

近年来，随着互联网技术和金融科技手段广泛运用，我国数字金融也获得了前所未有的发展，数字金融的迅速发展对以商业银行为代表的传统金融带来发展机遇的同时也造成了相应挑战。作为我国金融体系重要支柱的商业银行，其稳健发展对金融体系稳定和实体经济的健康运行有着重大意义。研究数字金融对商业银行系统性风险的影响，对于丰富数字金融研究理论，促进商业银行健康发展具有与一定的理论意义和现实意义。

本文采用文献分析、理论分析和实证分析的研究方法探究了数字金融对商业银行系统性风险的作用效果。在文献分析部分，通过对国内外数字金融和银行系统性风险的文献进行梳理归纳，总结了目前数字金融对商业银行系统性风险影响的研究现状和存在的不足。在理论分析部分，以金融脆弱理论、信息不对称理论、风险溢出和传染理论、长尾理论为基础，探究了数字金融对商业银行系统性风险溢出的作用机制并提出相关研究假设。在实证分析部分，选取2011-2020年16家上市商业银行的数据作为研究样本，采用分位数回归方法构建商业银行系统性风险的代理指标∆CoVaR，采用北京大学数字普惠金融指数作为数字金融的代理指标，以此为基础进行基准回归和异质性回归。

本文得出如下结论：基准回归结果表明，数字金融与银行系统性风险指标的回归系数显著为正，由此得出数字金融的发展加剧了商业银行的系统性风险。异质性回归结果表明，数字金融的不同功能总体上均加剧了商业银行的系统性风险，且衍生功能对系统性风险的影响作用更大。基于以上研究结果，本文分别从商业银行层面和监管层面提出相关政策建议。

Abstract

In recent years, with the extensive application of Internet technology and financial technology, the digital finance of our country has achieved unprecedented development. The rapid development of digital finance has brought opportunities for development as well as challenges to the traditional finance represented by commercial banks. As an important pillar of China's financial system, the steady development of commercial banks is of great significance to the stability of the financial system and the healthy operation of the real economy. The study of the impact of digital finance on the systemic risk of commercial banks has certain theoretical and practical significance for enriching the research theory of digital finance and promoting the healthy development of commercial banks.

This paper uses the research methods of literature analysis, theoretical analysis and empirical analysis to explore the effect of digital finance on the systemic risk of commercial banks. In the part of literature analysis, by combing and summarizing domestic and foreign literatures on digital finance and systemic risk of banks, the current research status and shortcomings of digital finance on systemic risk of commercial banks are summarized. In the theoretical analysis part, based on the financial vulnerability theory, information asymmetry theory, risk spillover and contagion theory, and the Long tail theory, the paper explores the mechanism of digital finance on the systemic risk spillover of commercial banks and puts forward relevant research hypotheses. In the empirical analysis part, the data of 16 listed commercial banks from 2011 to 2020 is selected as the research sample, the quantile regression method is used to construct the agent index ∆CoVaR of the systemic risk of commercial banks,The Peking University Digital Financial Inclusion Index is used as the agent index of digital finance, and the benchmark regression and heterogeneity regression are carried out on this basis.

This paper draws the following conclusions: The benchmark regression results show that the regression coefficient of digital finance and bank systemic risk index is significantly positive, so it can be concluded that the development of digital finance intensifies the systemic risk of commercial banks. Heterogeneity regression results show that the different functions of digital finance aggravate the systemic risk of commercial banks on the whole, and the derivative function has a greater impact on the systemic risk. Based on the above research results, this paper puts forward relevant policy suggestions from the level of commercial banks and supervision.