| The global financial crisis has highlighted the enormous destructiveness of systemic risks(disruption of payment systems and credit flows,plunging asset values,etc.).In recent years,due to the over-expanded shadow banking,multi-layer nesting and excessive leverage,and the turbulent international financial environment,systemic risks in China’s financial sector have continued to accumulate.All sectors attach great importance to the prevention and control of systemic financial risks.For example,the Central Economic Work Conference of China in 2017 regarded the prevention of major financial risks as the first of the three major battles for China.With the deepening of the financial integration,innovative business forms such as bank-insurance,bank-trust,and bank-security have flourished,leading to the increasing interconnection across financial institutions and markets,forming a complex modern financial network.Therefore,with the consideration of China’s economic characteristics,clarifying the risk contagion mechanism among financial institutions,analyzing the risk influencing factors and so on are urgent and important to maintain financial stability.The network analysis method has developed rapidly because of its advantages in describing the characteristics of financial interconnection.Financial institutions can be related to each other through direct business transactions(borrowing loans,etc.),and they can also be closely linked by holding common assets or being affected by co mmon market shocks.However,the opacity,poor timeliness,and unpredictability of direct trade data make analysis from this perspective face greater challenges.Besides,the current researches only focus on the systemic risk assessment or risk contagion effects,not considering them in one unified framework.Given those,in the context of China’s financial system,this paper first analyzes the risk contagion relationship across financial institutions using the public data on performance,and then measures the systemic risk combining the information of network connectedness and asset size.An important lesson of the 2008 financial crisis is that poor bank liquidity risk management is one of the important causes of this financial tsunami.However,in the existing literature,most studies focus on the impact of financial institution size,leverage,capital and other factors on systemic risk,ignoring the effects of liquidity creation and network interconnection on systemic risk.This paper fills this gap through analyzing the relationship between liquidity creation and systemic risk from the perspective of contagion,providing a new explanation for systemic risk.Moreover,besides the factor in the financial system,the risk spillover effect of the non-financial sector on the financial sector is also an important factor for financial vulnerability.Due to the financial nature of energy,there is an inherent close relationship between finance and energy.The transition of energy structure and energy shocks may cause the financial sector to fall into high systemic risk exposure,but these have not yet received effective attention.Therefore,this dissertation analyzes the cross-sectoral risk contagion effect between finance and energy and provides a different but non-negligible perspective for the systemic risk.Overall,this paper focuses on the systemic risk contagion mechanism,influencing factors,systemic risk evolution of financial sector in the process of low-carbon transition.The main conclusions are as follows:1.The risk contagion effect among China’s financial institutions shows obvious characteristics of periodicity,high volatility,and prominence of cross-sectoral contagion.In recent years,the risk contagion is rising.This leads to the necessary of counter-cyclical risk control and cross-industry supervision.Furthermore,most of the financial institutions tend to receive rather than emit risk,resulting in the position of“reverse risk” and vulnerability to the overall market shocks.2.The identification of systemically important financial institutions should combine the two criteria of "too big to fail" and "too close to fail to fail” and distinguish different risk transmission directions(risk receiving source and emitting source).In China,banking and insurance firms are at the top of the list of systemically important financial institutions.3.The excessive liquidity creation behavior of banks will expose them to high systemic risk,and the high network interconnection will exacerbate this relationship.4.Energy structure transition policies and energy shocks have exposed the financial sector to high systemic risks and are important factors influencing financial vulnerability.The finance-energy sector shows a remarkable cross-sectoral risk contagion effect.In addition,the financial sector has been exposed to risks such as overheated investment,asset bubbles,and depreciation of asset values in the process of shifting huge investments from the traditional energy industry to the new energy industry.The improvements and contributions in this study are:First,we propose a financial network structure and systemic risk assessment framework suitable with the consideration of China’s economic environment.Although network analysis has become the mainstream,due to the complex relationship of infection and the unclear path of infection,there is still no effective framework to describe the risk transmission mechanism.Based on the financial network theory,this paper constructs the structure of the tail financial network and analyzes the risk contagion from a multi-layer perspective.In the context of China’s financial system,the market comprehensive sentiment index was introduced for the first time to consider the impact of irrational behavior in the market on the true contagion relationship.A dynamic network model based on an optimal rolling window width is proposed to identify structural mutations in risk contagion relationships.The evaluation of systemically important financial institutions should consider the role of network interconnection and asset size.Second,this article examines for the first time the effect of liquidity creation on systemic risk,and whether this relationship depends on the level of network interconnection.Furthermore,we decompose liquidity creation to explore the heterogeneous effects of different components on systemic risk.This provides a new explanation for the causes of systemic risk from a micro level.Third,based on network analysis,it first discusses the risk spillover effect of the non-financial sector on the financial sector in the context of low-carbon transformation.Existing studies are mostly confined to the financial system when analyzing the effects of network contagion.However,with the transition of the economic system,the risk contagion effect of some non-financial sectors on the financial sector is also very prominent,which is an important factor influencing the systemic risks of the financial sector.Therefore,this article examines the systemic exposure of the financial sector to the energy industry and deeply analyzes the impact of energy transition policies on financial stability.This provides a new perspective for in-depth understanding of the research related to systemic risks. |
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