金融科技发展对银行系统性风险的影响:理论机制与经验证据

Driven by technological progress and market competition, financial services and information technology are deeply intertwined and integrated. The rapidly changing FinTech not only brings a new impetus to financial development but also adds new challenges to financial security. In this context, fast-growing literature investigates the economic consequences of FinTech on traditional commercial banks. However, to the best of our knowledge, research considering the implications of FinTech on banks' systemic risk is scarce. This paper addresses this gap by incorporating FinTech and risk contagion constraints into the classic moral hazard model, revealing the theoretical mechanisms through which FinTech development affects banks' systemic risk. Building on this foundation, we employ the GRJ-GARCH-Coupla-CoVaR model to quantify banks' systemic risk levels, utilize text mining methods to measure FinTech's development, and conduct empirical tests using quarterly data from listed commercial banks in China from 2011 to 2020. Our findings indicate that the growth of FinTech significantly amplifies banks' systemic risk in two ways. On the one hand, FinTech increases banks' individual risk, therefore improving the likelihood of the occurrence of banks' systemic risk. On the other hand, FinTech strengthens the business linkages between banks, thus amplifying the spillover effects of banks' systemic risk. Moreover, we demonstrate that the innovation output of FinTech has a more pronounced effect on banks' systemic risk compared to technology input. In addition, we observe that state-owned banks are more susceptible to the impact of FinTech development on systemic risk compared to non-state-owned banks. This study makes several contributions to the existing literature. First, it sheds light on the underexplored association between FinTech and banks' systemic risk by incorporating FinTech into a bank moral hazard model. This enrichment of research provides insights into the competition and cooperation dynamics between FinTech and commercial banks. Second, we extend the conventional quantile regression method by proposing the GRJ-GARCH-Coupla-CoVaR model to assess systemic risk. This approach captures the nonlinear and asymmetric relations of financial risk, thereby enhancing the understanding and calculation of systemic risk. Through an in-depth examination of the impact mechanisms and heterogeneous effects of FinTech development on banks' systemic risk, this paper offers valuable insights to regulatory authorities seeking to balance opportunities and challenges posed by FinTech while maintaining financial stability. Furthermore, commercial banks can benefit from the practical guidance on strategically integrating FinTech and promoting digital transformation.