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### 规模的门限效应、综合化经营与我国商业银行系统性风险

• 出版日期:2019-11-25 发布日期:2019-11-28

### The Threshold Effect of Bank Sizes, Comprehensive Operation and Systemic Risk for China’s Commercial Banks

Zhang Tianding

• Online:2019-11-25 Published:2019-11-28

Abstract: Comprehensive operation has become an important business strategy to make breakthroughs in the development for China’s commercial banks in the trend of falling traditional interest incomes. The use of the non-interest income as the current research measure for the comprehensive operation has obvious defects. This paper introduces the measurement of the entropy index in the product diversification of nonfinancial firms to the analysis of commercial banks’ comprehensive operation, which effectively solves the measurement problems. Based on the combination supervision of macro prudential and micro prudential concepts, this paper uses the component expected shortfall method to measure the systemic risk for the commercial banks, and treats the bank size as the threshold variable to identify the different regime by the dynamic panel threshold models, in which we discuss the effect of the comprehensive operation on the systemic risk. The results show that the comprehensive operation has the property of size threshold effect which means for the small ones it will decrease the systemic risk and for the big ones it will increase the systemic risk. Finally, based on the empirical research this paper gives some policy advice and implications.