Economic volatility, banks' risk accumulation and systemic risk

被引：13
|
作者：
He, Wenjia [1 ]
He, Wenjing [2 ]
Xu, Dandan [1 ]
Yue, Pengpeng [1 ]
机构：
[1] Beijing Technol & Business Univ, Beijing 100048, Peoples R China
[2] Shandong Univ Finance & Econ, Jinan 250014, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 57卷
基金：
中国国家自然科学基金;
关键词：
Economic volatility; Non-core liabilities; Risk accumulation; Systemic risk;
D O I：
10.1016/j.frl.2023.104115
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Preventing systemic risk from the perspective of bank risk accumulation has been widely researched and supported. This study focuses on the impact of economic volatility on bank risk accumulation and systemic risk. Using the proportion of non-core liabilities as the bank's risk accumulation index, we show that low economic volatility increases bank risk accumulation but decreases systemic risk. However, banks with a higher risk accumulation in a period of low economic volatility will have a greater increase in systemic risk in periods of high economic volatility. Our study is significant for forward-looking systemic risk prevention.
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收藏
页数：7
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