Source of Systemic Risk Indicators.

This study investigates the effects of price-based (PMP) and quantity-based monetary policies (QMP) on systemic risks within China’s banking sector. We identify exogenous components of PMP and QMP by isolating explicit structural shocks in a structural vector autoregression model. Systemic risks are categorized into bottom-up risks, which assess how the distress or default of a single bank can contribute to systemic vulnerabilities, and top-down risks, which evaluate the likelihood of a bank experiencing distress during financial market turbulence. Utilizing a smooth local projection model, we analyze the impact of PMP and QMP on these two types of systemic risks. Our findings reveal that contractionary PMP shocks exacerbate bottom-up systemic risks while mitigating top-down risks. In contrast, contractionary QMP shocks initially elevate but subsequently diminish bottom-up risks, with minimal impact on top-down risks. Importantly, PMP affects state and non-state banks differently, decreasing top-down risks in state banks but increasing them in non-state banks. This differential impact indicates that the risk-taking behavior of non-state banks triggered by contractionary PMP can spill over, amplifying the damage of financial distress for both state and non-state banks.

本研究考察了价格型货币政策（Price-based Monetary Policy, PMP）与数量型货币政策（Quantity-based Monetary Policy, QMP）对中国银行业系统性风险的影响。本研究通过在结构向量自回归（Structural Vector Autoregression, SVAR）模型中剥离显性结构冲击，识别出PMP与QMP的外生成分。本研究将系统性风险划分为自下而上型风险与自上而下型风险：前者评估单家银行陷入困境或违约对系统性脆弱性的推动作用，后者测算金融市场动荡期间单家银行陷入困境的概率。本研究采用平滑局部投影模型，分析PMP与QMP对这两类系统性风险的影响。研究结果显示，紧缩性PMP冲击会加剧自下而上型系统性风险，但同时降低自上而下型风险。与之相对，紧缩性QMP冲击会先推高、后降低自下而上型风险，对自上而下型风险的影响则微乎其微。值得注意的是，PMP对国有银行与非国有银行的影响存在异质性：其会降低国有银行的自上而下型风险，却会提升非国有银行的该项风险。这种异质性影响表明，紧缩性PMP引发的非国有银行风险承担行为会产生溢出效应，加剧国有与非国有银行在金融困境中遭受的损失。