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

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.