RESEARCH ARTICLE
Bank leverage and systemic risk: Impact of bank risk-taking and inter-bank business
Xiaoming Zhang,
Wenzhe Zhang,
Chien-Chiang Lee,
Xiaoming Zhang
Department of Finance, Beijing Jiaotong University, Beijing, China
Beijing Laboratory of National Economic Security Early-warning Engineering, Beijing Jiaotong University, Beijing, China
Search for more papers by this authorWenzhe Zhang
Department of Finance, Beijing Jiaotong University, Beijing, China
Search for more papers by this authorCorresponding Author
Chien-Chiang Lee
Faculty of Finance, City University of Macau, Taipa, Macao SAR, China
Adnan Kassar School of Business, Lebanese American University, Beirut, Lebanon
Correspondence
Chien-Chiang Lee, Faculty of Finance, City University of Macau, Taipa, Macao SAR, China.
[email protected]; [email protected]
Search for more papers by this authorXiaoming Zhang,
Wenzhe Zhang,
Chien-Chiang Lee,
Xiaoming Zhang
Department of Finance, Beijing Jiaotong University, Beijing, China
Beijing Laboratory of National Economic Security Early-warning Engineering, Beijing Jiaotong University, Beijing, China
Search for more papers by this authorWenzhe Zhang
Department of Finance, Beijing Jiaotong University, Beijing, China
Search for more papers by this authorCorresponding Author
Chien-Chiang Lee
Faculty of Finance, City University of Macau, Taipa, Macao SAR, China
Adnan Kassar School of Business, Lebanese American University, Beirut, Lebanon
Correspondence
Chien-Chiang Lee, Faculty of Finance, City University of Macau, Taipa, Macao SAR, China.
[email protected]; [email protected]
Search for more papers by this authorAbstract
In order to prevent and resolve systemic risk more effectively through deleveraging policy, this research takes China A-share listed commercial banks from 2011 to 2021 as samples, calculates the systemic risk spillover through the conditional value at risk model, re-estimates the leverage ratio with reference to the “Administration Measures for the Leverage Ratio of Commercial Banks (revised)”, and evaluates the influence of the leverage ratio on systemic risk. The results show that a high leverage ratio increases systemic risk spillover, and under this increase state-owned commercial banks have the greatest contribution. Further research presents that a better leverage ratio enhances the systemic risk spillover by improving bank risk-taking and encouraging inter-bank business expansion. In addition, over different periods of economic development the influence of the leverage ratio on systemic risk exudes different characteristics. During an economic upswing, the leverage ratio's impact on systemic risk significantly drops.
Open Research
DATA AVAILABILITY STATEMENT
The data that support the findings of this study are available from the corresponding author upon reasonable request.
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