Robustness check of replacing tail probability.

Bank liquidity creation fosters economic growth while entailing liquidity mismatch risk. This study explores whether improving bank efficiency during liquidity creation can mitigate systemic risks. We propose a bank liquidity creation efficiency measure based on a stochastic frontier approach to analyze Chinese commercial listed banks from 2000-2021. Through systemic risk decomposition, we find that higher profit efficiency alleviates individual tail risk but strengthens system linkage for Chinese banks, representing a double-edged effect. Further analysis reveals that high profit efficiency is associated with more investment in real estate and higher risk-taking on loans. Banks’ digital transformation can help alleviate the dilemma of being too connected to the system. The results provide implications for emerging markets to prevent risk and promote economic growth.

银行流动性创造可促进经济增长，但同时也会带来流动性错配风险。本研究旨在探讨在流动性创造过程中提升银行效率是否能够缓释系统性风险。我们提出了一种基于随机前沿分析法（stochastic frontier approach）的银行流动性创造效率测度方法，用以分析2000年至2021年的中国上市商业银行。通过系统性风险分解分析，我们发现：对于中国银行业而言，更高的盈利效率能够缓释个体尾部风险，但却会增强银行与系统的关联性，呈现出双刃剑效应。进一步分析表明，较高的盈利效率与更多的房地产投资以及更高的信贷风险承担水平相关。银行的数字化转型有助于缓解“与系统关联度过高”的困境。本研究结果可为新兴市场防范风险、促进经济增长提供启示。