Does Digital Transformation Exacerbate Systemic Risk? An Empirical Test Based on Text Mining

Taking the digital transformation of commercial banks as the entry point and the effective prevention of systemic risk as the landing point, this paper attempts to analyze the impact of digital transformation of commercial banks on systemic risk and its mechanism of action. This paper selected 13 listed commercial banks from 2012 to 2020 as the research sample, and measured the degree of digital transformation of banks by the frequency of key words related to digital transformation in the annual reports of commercial banks, and also used the quantile CoVaR model and GARCH-Copula-CoVaR model to measure the systemic risk of banks, and then developed an empirical test. The results show that: (1) The digital transformation of commercial banks has a significant exacerbating effect on systemic risks. Among them, the digital transformation of Internet business models has the greatest exacerbating effect on systemic risks, followed by digital technology and least by intelligent manufacturing. (2) There are two different mechanisms of " mediating effect" and "suppression effect" between digital transformation and systemic risk, with the mediating effect for bank risk-taking and the suppression effect for inter-bank linkages. (3) The increase in the scale of the domestic demand market has weakened the exacerbating effect of digital transformation of commercial banks on systemic risks. The research conclusion is of great significance to maintain the bottom line of no systemic risk and ensure that China maintains stable and healthy economic development