金融科技发展对银行系统性风险的影响:理论机制与经验证据  

The Impact of FinTech on Bank Systemic Risk:Theoretical Mechanism and Empirical Evidence

作　　者：郭品[1] 程茂勇[1] 沈悦[1] GUO Pin;CHENG Maoyong;SHEN Yue(School of Economics and Finance,Xi’an Jiaotong University,Xi’an 710061,China)

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《当代经济科学》2023年第5期15-29,共15页Modern Economic Science

基　　金：国家社会科学基金后期资助项目“互联网金融对银行风险承担的影响研究”(21FJYB005);教育部人文社会科学研究青年基金项目“银行金融科技发展对表内外风险承担的影响研究:机理、效应与对策”(20YJC790034);陕西省哲学社会科学重大理论与现实问题研究项目“后疫情时代陕西应对系统性金融风险策略研究”(2022ND0308)。

摘　　要：金融科技既为金融发展增添了新动力,也给金融安全带来了新挑战。将金融科技与风险传染约束纳入经典的银行道德风险模型,揭示了金融科技发展影响银行系统性风险的理论机制。在此基础上,构建GRJ-GARCH-Coupla-CoVaR模型测算银行系统性风险水平,采用文本挖掘法衡量金融科技发展走势,并基于2011—2020年中国36家上市商业银行的季度面板数据进行实证检验。研究发现,金融科技发展显著提高了银行系统性风险。机制检验表明,快速发展的金融科技,一方面会增加银行个体的风险水平,从“源头”上提升银行系统性风险的生成概率,另一方面会加深银行之间的关联程度,从“渠道”上放大银行系统性风险的溢出效应。异质性分析发现,相对于技术投入,金融科技创新产出对银行系统性风险的驱动效应更为显著;相对于非国有银行,国有银行的系统性风险水平受金融科技发展的影响更为强烈。据此提出加强金融科技持续性、穿透性和规范性监管,建立健全金融科技风险防范机制的政策建议。Driven by technological progress and market competition,financial services and information technology are deeply intertwined and integrated.The rapidly changing FinTech not only brings a new impetus to financial development but also adds new challenges to financial security.In this context,fast-growing literature investigates the economic consequences of FinTech on traditional commercial banks.However,to the best of our knowledge,research considering the implications of FinTech on banks’systemic risk is scarce.This paper addresses this gap by incorporating FinTech and risk contagion constraints into the classic moral hazard model,revealing the theoretical mechanisms through which FinTech development affects banks’systemic risk.Building on this foundation,we employ the GRJ-GARCH-Coupla-CoVaR model to quantify banks’systemic risk levels,utilize text mining methods to measure FinTech’s development,and conduct empirical tests using quarterly data from listed commercial banks in China from 2011 to 2020.Our findings indicate that the growth of FinTech significantly amplifies banks’systemic risk in two ways.On the one hand,FinTech increases banks’individual risk,therefore improving the likelihood of the occurrence of banks’systemic risk.On the other hand,FinTech strengthens the business linkages between banks,thus amplifying the spillover effects of banks’systemic risk.Moreover,we demonstrate that the innovation output of FinTech has a more pronounced effect on banks’systemic risk compared to technology input.In addition,we observe that state-owned banks are more susceptible to the impact of FinTech development on systemic risk compared to non-state-owned banks.This study makes several contributions to the existing literature.First,it sheds light on the underexplored association between FinTech and banks’systemic risk by incorporating FinTech into a bank moral hazard model.This enrichment of research provides insights into the competition and cooperation dynamics between FinTech and commercial banks.

关 键 词：金融科技 商业银行 系统性风险 风险生成 风险溢出 

分 类 号：F832.33[经济管理—金融学]