| With the development of economic globalization and financial liberalization,the issue of systemic financial risks has attracted the attention of academia.The extreme manifestation of systemic financial risk is the financial crisis.Since the sub-prime mortgage crisis in the United States in 2007 triggered the global financial crisis,how to effectively identify and warn systemic risks,and how systemic financial risks infect in "source countries" domestic,and then how they spread to other economies,have become important theoretical issues and research hot-spots.Existing research on systemic financial risks has three limitations: first,there are many studies to measure systemic financial risks,but relatively few studies on contagion mechanisms;second,most international research on systemic financial risks focuses on At the level of the capital market,there are few quantitative studies reflecting the cross-border infection of systemic financial risks at the national macro level.Finally,most of the existing studies study domestic infections or cross-border infections individually,but combine the two levels of infection mechanisms at home and abroad.There are few studies,and there are few studies on the micro-mechanisms of the connection and contagion of global financial markets.Risk spread and contagion are driven by a series of decision-making actions of market micro-subjects.In view of this,this article focuses on the micro-foundation behind systemic financial risks.Based on the criteria of whether the country was the origin of the global financial crisis from 1990 to 2019,the seven open economy countries of Argentina,the United States,Germany,Japan,Thailand,Greece,and China were divided into two groups,namely Thailand,Argentina,the United States,Greece is an infectious source country,and Germany,Japan,and China are infected countries.Research is conducted on the measurement,infection,and early warning of systemic financial risks from a new perspective.The content mainly includes the following aspects:First,construct a measure index of systemic financial risk with factor analysis model.Starting from the different stages of accumulation,diffusion,and outbreak,using the microscopic decision-making performance of risk at different stages,screening out identification and infection vectors and monitoring indicators that reflect the level of systemicrisk,constructing a comprehensive index of seven countries,reflecting the macro level The level of systematic financial risk,and an in-depth analysis of the reasons behind the high and low risk stage of the composite index.Second,study the contagion effects of systemic financial risks from three levels.First,using the DAG model,with three infected countries such as Germany,Japan,and China as the research object,the contagion mechanism of systemic risks in the financial sub-market under tail-risk pressure is investigated.The contagion is generated by price channels and scale channels.Secondly,using the VAR model and impulse response function,taking Thailand,Argentina,the United States,and Greece as the research object,the dynamic effects of the financial system on the macro economy during the period of tail-risk pressure are measured and reflected to different countries.Influencing the results,explore the mechanism of action.Finally,the VAR model,DAG model and SVAR model are comprehensively applied to target the four countries of infection and three countries of infection to study the international financial transmission mechanism of systemic financial risks.Third,carry out early warning research on four countries including Argentina,the United States,Thailand,and Greece,which have experienced a systemic financial high-risk period in the past 30 years.According to the characteristics of the systemic financial risk and the carrier of infection,the financial indicators that are related to the three factors of currency risk,credit factor and sovereign debt factor are selected.The Logistic model is used to study the early warning of systemic financial risk.There are differences in the early warning role of the country.Fourth,it comprehensively sorted out the international historical practices to deal with systemic financial risks.The theories for countries to deal with systemic financial risks stem from the theory of national intervention in the economy.From the perspective of the source country and the infected country,they study the short-term rescue policies and long-term economic stimulus policies adopted by the six countries.The structural differences of various economies,the dominant understanding of past history,and the recognition of acceptable policy choices and other factors comprehensively determine the differences in the effects of regulatory policies.In this paper,the research was conducted from a new perspective of the source country and the infected country,and there are three main innovations:First,construct a new comprehensive index of systemic financial risks.Based on the theories of financial vulnerability,economic and financial cycles,and the theory of security boundaries,we choose indicators that can reflect the magnitude of systemic financial risks from the scale of financial assets and the price of financial markets.In this paper,Credit-to-GDP gap,Credit to Private non-financial Sector,Credit to General government from All sectors at Nominal value-Percentage of GDP and other indicator systems have been introduced.These three indicators have been rarely used in previous systematic financial risk measurement studies,and a new comprehensive index has been constructed to fully reflect the system at the national level financial risks.Second,combining research on systemic financial risk contagion at two levels at home and abroad,and actively exploring the micro-mechanism of linkages and contagion in domestic and foreign financial markets.This article believes that the spread of systemic financial risks is both a process of increasing risks and a process of gradual spread of risks.The financial crisis is a high-risk stage of systemic finance.From the evolution path of "accumulation-diffusion-burst",the generation,evolution and contagion mechanisms of systemic financial risks are explained.When studying the effects of domestic risk contagion,we analyze the internal contagion of the financial industry and the external contagion of macroeconomics by systemic financial risks,and introduce indicators such as the consumer confidence index and leading prosperity index to study psychological factors in risk contagion The role of the process.When studying the effects of international contagion,compare the analysis of contagion changes in two different time periods in the short and long term,that is,the month and six months after the systemic financial risk occurs.Third,the use of new indicators to achieve early warning of systemic financial risks.The study found that the warning effect of the "difference between the domestic currency fund interest rate and the 10-year national debt yield" is good.Depending on the economic situation of different countries,the currency fund interest rate can choose different short-term interest rates such as overnight borrowing rate and 1-year interest rate.This early warning indicator is rarely used in previous literature.This paper uses the organic combination of theoretical analysis and econometric model to fully demonstrate and draw four conclusions:First,judging from the history of international financial development in the past threedecades,the systemic financial risks of seven countries have interspersed with low and high risks,which can be transformed into each other.The influencing factors of systemic financial risk include interest rate level,credit expansion degree,stock market volatility,real effective exchange rate,government debt situation,etc.The running status of the real economy and the dynamic changes of the composite index are mutually corroborating,indicating that the comprehensive index of systemic financial risk constructed by the factor analysis model in this paper reflects the level of macro financial risk.Second,due to the differences in the financial market structure and economic structure of various countries,systemic financial risks have different contagion mechanisms within the financial industry and to the macro economy at these two levels.For the three infected countries of Germany,Japan and China,the core positions of risk contagion are the foreign exchange market,bond market and government debt leverage ratio.Once subject to external fluctuations,the risk will quickly spread to other financial industries through core indicators.To the entire financial system.For the four infectious source countries of Thailand,Argentina,the United States and Greece,systemic financial risks have different ways of infecting macroeconomic indicators such as price level,industrial production index,economic prosperity index,and leading index,but the commonality lies in In the process of risk contagion,the psychological state of financial market participants has formed a herd effect,which has played a role in boosting the situation that cannot be ignored.As a result,a vicious circle has been formed,lack of demand,investment has fallen,commodity prices have plummeted,and the economy has accelerated.Third,through current account,capital account and psychological factors,systemic financial risk between countries in the world to realize cross-border contagion,the risk of stock market risk is spread faster and wider,and psychological factors have a significant effect on stock market risk.Spread the risk in the process of physical space is less than the forces of economic system space,namely the risk of cross-border transmission capacity between the two neighboring countries,weak in political and economic relations closely and similar economic structure,social culture background close to the two countries.From the perspective of the contagion effect during the same period,the three countries of Argentina,Thailand and China are not only significantly affected by international systemic financial risks,but also have no significant contagious impact on the other six economies.Atthe same time,there was a contagious relationship between the systemic financial risks between Germany and Greece.From the perspective of the long-term contagion effect,the United States,Germany,and Japan rank in the forefront of systemic importance.Among them,the United States is the most important source of infection for the global financial crisis;China is not contaminated by other economies' financial risks over the same period,but the United States,Germany,and Japan Japan's systemic financial risks infect China within 6months of its occurrence,and the long-term contagion effect is significant.The root cause of Argentina's systemic financial risks is its own political and economic problems,not the infection of other economies.Fourth,the Logistic model has a good early warning effect on systemic financial high risks.The factors that drive systemic financial risks to accumulate to a high level include monetary factors,credit factors,and sovereign debt factors.High-risk outbreaks are often a factor that plays a leading role,other factors are intertwined,and the selection of early warning indicators is closely related to the accuracy of early warning Related.The empirical results show that the prediction accuracy rate of the four infectious source countries is higher than 80%,and the prediction results are roughly consistent with the macroeconomic operation.Based on sufficient arguments and conclusions,this paper proposes the following three policy recommendations for China's response to systemic financial risks:First,economic stability is the foundation and key to dealing with systemic risks.Regardless of the type of country,whether dealing with the systemic financial risks generated by itself or the systemic financial risks of cross-border infection imports,the first task is to ensure economic stability.At this stage,China must focus on successfully crossing the middle-income trap,relying more on domestic demand to drive economic development,focusing on consumption and technological innovation,effectively carrying out macro-control,managing market economic failures,and resolving contradictions and conflicts between economic growth and social stability.Second,we will strictly guard against systemic financial risks at home.Continue to leverage,carry out structural deleveraging,regulate local government financing mechanism,pay close attention to small and medium-sized Banks,shadow banking and Internet banking financial system weaknesses,strengthen monetary policy and financial regulationcoordination,strengthen the communication between different regulators,optimize the financial unified regulation mechanism,unified behavior,organization and function of supervision.Third,we need to closely control the cross-border import of systemic financial risks.At present,China's capital account convertibility reform has not yet been completed,and China has an important policy and institutional space to prevent imported financial risks,effectively control abnormal cross-border capital fluctuations,and strive to enhance the status of RMB as an international currency is conducive to financial stability,so as to properly handle the relationship between foreign investment and domestic investment. |
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