This paper examines the link between bank competition measures and risk indicators using quarterly interbank exposures data for all banks in Mexico during 2008Q1–2019Q1. The classical literature focuses on disentangling the link between competition and individual bank solvency risk. In this paper, we take one step forward in analyzing the relationship between competition and systemic risk. We use counterfactual bank-level contagion risk indicators as a proxy of systemic risk to assess their relationship with traditional competition measures. Our main finding indicates a negative relationship between the bank-level Lerner index and systemic risk. This means that an increase in competition is associated with an increase in systemic risk. Additionally, we find that the implementation of regulatory reform during the period studied does not affect this relationship.

本文使用墨西哥所有银行 2008 年第一季度至 2019 年第一季度的季度银行间风险暴露数据，研究了银行竞争指标与风险指标之间的联系。经典文献侧重于理清竞争与个别银行偿付能力风险之间的联系。在本文中，我们在分析竞争与系统性风险之间的关系方面向前迈出了一步。我们使用反事实的银行级传染风险指标作为系统性风险的代理，以评估其与传统竞争指标的关系。我们的主要发现表明银行级勒纳指数与系统性风险之间存在负相关关系。这意味着竞争的加剧与系统性风险的增加有关。此外，我们发现研究期间监管改革的实施并没有影响这种关系。