Proceedings of the International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2022, 17-19 June 2022, Qingdao, China

Research Article

The Impact of Household Financial Asset Allocation on Regional Bank Risk Spillovers

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  • @INPROCEEDINGS{10.4108/eai.17-6-2022.2322779,
        author={Qing  Li and Mohd Effandi  Yusoff},
        title={The Impact of Household Financial Asset Allocation on Regional Bank Risk Spillovers},
        proceedings={Proceedings of the International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2022, 17-19 June 2022, Qingdao, China},
        publisher={EAI},
        proceedings_a={ICIDC},
        year={2022},
        month={10},
        keywords={covar banking regional bank risk of the banking system household finance},
        doi={10.4108/eai.17-6-2022.2322779}
    }
    
  • Qing Li
    Mohd Effandi Yusoff
    Year: 2022
    The Impact of Household Financial Asset Allocation on Regional Bank Risk Spillovers
    ICIDC
    EAI
    DOI: 10.4108/eai.17-6-2022.2322779
Qing Li1,*, Mohd Effandi Yusoff1
  • 1: Universiti Teknologi Malaysia
*Contact email: liqing@graduate.utm.my

Abstract

The regional commercial bank is an important part of the Chinese multi-level financial market. In recent years, the risks of regional commercial banks have been gradually exposed, which can easily lead to the accumulation of systemic risks. This paper takes the impact of household financial management on the scale of systemic risk overflow of regional commercial banks as the research object, takes the data of China's household financial survey as the data source of household financial asset allocation, and uses market volatility, liquidity spread, term spread and credit spread are used as state variables to measure the level of the overflow of systemic risk of regional banks by the method of CoVaR, and on this basis, we established a fixed-effect model to test the significance of the effect. The research shows that the model constructed in this paper is significant and robust. The higher the proportion of risky assets held by households, the higher the risk overflow of regional commercial banks operating in the region to the banking system. For regional commercial banks, risk control capabilities should be improved; at the same time, government departments should also strengthen monitoring and early warning mechanisms for the dynamic impact of systemic risks.