The Impact of Interest Rate Liberalization on the Systemic Risk—Based on the Panel Data of Commercial Banks

Abstract

This paper uses coefficient of variation method and dynamic CoVar model to measure the level of interest rate liberalization and the systemic risk of commercial banks, and then based on the quarterly panel data of 14 listed commercial banks from the first quarter of 2009 to the fourth quarter of 2018, it empirically analyzes the impact of interest rate marketization process on the systemic risk of commercial banks. The results show that: the process of interest rate liberalization in China has significantly increased the overall systemic risk of commercial banks, and the robustness test further supports this conclusion.