| Financial risks,characterized with high leverage and foam,are increasingly attracting the attention of international organizations,government authorities and academia;and the financial fragility factors,with the real estate bubble,local government debt crisis and the shadow banking risks as the representative,also pile tremendous impact on China’s system stability.Therefore,in order to adapt to the new Chinese economic normality,a comprehensive understanding,objective analysis and effective solution to financial risks bear great theoretical and practical significance.First,after summarizing and reviewing the existing literature on systematic financial risk monitoring and early warning,based on the new Chinese economic normality,proposing to inspect from the entire macro level,the systematic financial risk is defined as:caused by a trigger factor,the loss of one or some financial institutions will spread rapidly in the financial system,and lead to possibility of the collapse or the loss of function of the entire financial system;the financial risk bears macro,external,invasive and destructive features.Meanwhile,from the aspects of evolutionary path,market impact,and policy changes,the formation mechanism of systematic financial risks is discussed in detail.this is the theoretical groundwork of monitoring and early warning of systematic financial risk analysis.Then,building China’s systematic financial risk assessment index to evaluate and identify the status of systematic financial risks.To this end,an assessment system covering 17 indicators was constructed,with the banking system,the real estate market,the stock market and the foreign exchange market as four subsystems.On this basis,select the Entropy Law and the CRITIC method to determine the index weight and each subsystem weight,thereby synthesizing a comprehensive index of systematic financial risks during the period from January 2000 to December 2013 to describe the status of financial risks.It shows that before 2006,the financial risk has been in the security zone,but after 2007,it mostly in a less secure area,with relatively large fluctuations in risk status.In order to accurately identify the level of systematic financial risks,by means of entropy-gray correlation analysis method,combined with the standard of systematic financial risk identification,this thesis identifies the systematic financial risk signal display from January 2000 to December 2013.After that,based on many possibilities of forming systematic financial risks and the uncertainty of the situation of its development trend,different scenarios of systematic financial risk early warning are designed.According to the basic principles of scenario design and definition of relevant concepts,specify the basic process such as a clear target,program and the basic purpose of scenario design.On this basis,combining the formation mechanism of systematic financial risks,design three categories of different scenarios,namely the independent operation scenario,the market impact scenario and the policy control scenario.According to the needs of systematic financial risk early warning,analyze the early-warning mechanism of systematic financial risk under different scenarios,and make preparations for the subsequent scenario analysis and policy recommendations.Under the scenario of independent operation,changes in systematic financial risks,caused by the four subsystems,namely the banking system,the real estate market,the stock market and the foreign market,are analyzed,and the early warning are studied.Based on the assumption of independent operation scenario,the evolution of systematic financial risk is systematic itself,that is,each element of financial risk,in the process of evolution,has knock-on effects to the overall systematic financial risks,thus constructing the SVAR model to alert China’s financial risks.From the effect of model estimation,the results are good,and the impulse response analysis and the variance decomposition analysis can capture the sensitivity of systematic financial risks as well as the effects of four subsystems.Viewing from the results of early warning and identification.during the warning period.China systematic financial risk index showed a logarithmic rising trend;its uncertainty increases over time,and systematic financial risks also increase.On the whole,the systematic financial risk remains at moderate status,and effective coordination of the matching among the subsystems can in time avoid financial risks brought about by the structural changes among subsystems.Under the market impact scenario,analyze changes in China’s systematic financial risks under the interactive impact of direct and indirect financing markets and foreign exchange trading market,as well as the possibility of future trends.Under the premise of market impact scenario,the systematic financial risk warning will be jointly impacted from different markets.Therefore,the interaction term of various markets is gradually introduced into benchmark multiple regression models,forming a series of regression model family,and then using measured market impact variables to estimate the family and gradually introduce various interaction items on the basis of the reference model.By regression model parameter estimation,the overall estimated effect is relatively good,but the coefficient significance shows changes,and ultimately the model with the interaction term is decided to be more adequate to verify the basic assumptions.Using the model to estimate systematic financial risk warning,results show that within the forecast period,China’s systematic financial risk index shows growth trend over time and the risk of fluctuations uncertainty also increases.Warning recognition results show that the systematic financial risk is a continuous cumulative process,and under the impact of the interaction of different markets,systematic financial risk early warning signal is still in the moderate risk,but is toward the direction of extension.Under the policy control scenario,changes in China’s systematic financial risks arose from changes in policy are analyzed.Based on the assumption of policy regulation,the systematic financial risk is sensitive and counter-cyclical under policies regulation,so basing on this,a state space model with varying parameters was constructed and used to do Chinese financial risk warning.The effects of model estimation are good,and the varying parameters are able to capture sensitivity and counter-cyclical fluctuations of systematic financial risks.The results of early warning and identification reveal that.during the warning period,China’s systematic financial risk index tends to rise logarithmically,and its uncertainty intensifies over time,which is currently in a state of mild risk.However,fluctuations in policy regulation can not only dramatically accumulate financial risks,but also reduce the financial risk and provide reference for policy research.Finally,analyze the overall evaluation of the results of China’s systematic financial early warning under different scenarios and propose specific policy recommendations.Under the three scenarios,namely the independent operation scenario,the market impact scenario,and the policy control scenario,the systematic financial risk early warning of financial risks have increased in common but with trend differences.Warning angles in different scenarios vary,but their functions are complementary,and warning under the three scenarios can monitor more systematically all aspects of financial risk.and thus provide ground for the policy research on the systematic financial risk prevention.On the basis of comparing the results of early warning under different scenarios,the thesis suggest that the financial system structure should be optimized from the internal and to adjust their coordination mechanisms;besides,to allocate the financial risk and improve the financial market,and its bearing capacity;to grasp the macroeconomic situation and pay attention to the volatility of macroeconomic policies,and ultimately form the early warning mechanism of systematic financial risks to monitor and guard against financial risks. |
