Abstract: The increasing frequency and scope of the financial crisis have attracted more attention in the research of the systemic risk of banking systems. Overlapping portfolios is an important reason for the spread of financial risks. Existing bank systemic risk models consider the effects of interbank lending (direct contagion channel) or overlapping portfolios (indirect contagion channel) on bank systemic risk, rather than considering interbank lending and overlapping portfolios at same time (dual contagion channel). In order to study the systemic risk of banking system, a dual contagion channel network model with interbank lending (direct contagion channel) and overlapping portfolios (indirect contagion channel) is constructed in this work. This model is based on Lori's interbank lending model ^[14], establishes a two-part graph structure of interbank lending market with overlapping portfolios. In order to more truly reflect the evolution of systemic risk, the model introduces investment risk brought about by macroeconomic fluctuations, and the rate of return on investment (ROI) is allowed to change dynamically. The proposed model allows banks to compensate for liquidity by selling assets in depreciation, which more reflects truly the operating rules of banking systems. In addition, the model constrains investment, interbank lending funds can only be used to make up for short-term liquidity shortage, rather than for investment. The results show that under various macroeconomic fluctuations, the average savings, the fluctuation of savings, the rate of return on investment, the reserve ratio, and the interest rate of savings have a greater impact on the stability of the banking system, and the quantitative analysis is carried out. (1) The greater the average ROI, the more stable the banking system will be. (2) The stability of banks is sensitive to deposit interest rate. The higher deposit interest rate, the greater systemic risk. (3) The increase of deposit reserve ratio reduces the profit gap between investment income and deposit interest, thus reducing the ability of banks to cope with risks and increasing systemic risks. (4) Increasing the savings rate, reducing the fluctuation of savings and the interest rate of savings can effectively improve the stability of the banking system. This study provides a scheme for quantitative study of bank systemic risk under macroeconomic fluctuations, and provides a reference for policy makers and regulatory departments to prevent bank systemic risk.

Key words: liquidity, systemic risk, interbank lending, overlapping portfolios