Asset Price And Financial Systemic Risk:a Study Of The Mechanism And The Monitoring

Due to the rapid development of the financial market,China has established a relatively complete financial system.The size and influence of the financial market have increased significantly,and the financial economic system is more sensitive to changes in asset prices.After the 2008 financial crisis,China has experienced many rounds of excessive real estate price rises and a "thousand-share downturn" stock disaster.Asset price fluctuations have exacerbated the vulnerability of the financial system and the pressure of systemic financial risks.With the advancement of economic and financial reforms,China's economy faces the urgent need to deepen supply-side reform and economic transformation and upgrading.Keeping the bottom line where no systemic financial risks occur has become a fundamental task in China's financial reform.Therefore,exploring the interaction mechanism and monitoring of asset prices and systemic financial risks is priorities in the context of the current financial reform.It has far-reaching research significance and practical value.Based on the current research background and practical needs,this thesis extends systemic financial risks to the scope of national financial security.According to the logical idea of "the connotation of asset prices ? the interrelationship between asset prices and systemic financial risks? risk measurement ? spillover effects ? monitoring mechanisms and policy recommendations",this thesis aim to build a systematic macro-micro analysis framework.This thesis starts with the theoretical basis of asset prices and the "value-price" relationship,explaining the formation and fluctuation mechanism of asset prices.The research results show that: asset prices can fully reflect the public information in the market,asset value is the basis for determining prices,and liquidity is the main influencing factor of asset price linkage,foaming and cyclical changes.There are complex driving mechanisms and volatility effects on the asset price.Based on the analysis of the formation and volatility of asset prices,this article explains the interaction mechanism between asset prices and systemic financial risks.First,it analyzes the mutual influence from the perspective of expectations,markets,and liquidity,involving the specific channels such as deviations in asset prices and currency values under the influence of expectations,the impact of investment decisions and pricing mechanisms,liquidity shocks,credit leverage and currency circulation.Secondly,based on the asset allocation of open-end funds and the credit relationship between the enterprise and the banking sector,a theoretical model is constructed to analyze the characteristics of intertemporal,"spiral" superposition,time lag,persistence and asymmetry among the mutual effects.Based on asset price data,this article measures systemic financial risks from a macro and micro perspective.First,based on the network perspective,the systemic financial risk of open-end funds is measured.The results show that the spread of systemic financial risk between funds is directional and asymmetric.Secondly,based on the expanded macro-systemic financial risk category,we use the composite index method to measure the financial pressure index and the financial sovereignty index.Also,the Copula-GARCH(1,1)-Va R model is used to measure the stability of the currency value.This thesis studies the micro-institutional spillover effect of systemic financial risk based on empirical methods of market factors and panel data analysis.The results show that the impact of risk on the cash flow and returns of open-end funds has two sides,which are the impact,contagion and dispersion of risks and can also reflect the systematic importance of the institution.Further,the TVP-SV-SVAR model is used to analyze the macroscopic and time-varying spillover effect of systemic financial risks.The results show that the impact of the US dollar monetary policy and the cross-border capital cycle increase the pressure on systemic financial risks,and jointly impact the stability of the RMB currency value and hinder the improvement of financial sovereignty.Finally,this thesis constructs a monitoring mechanism of systematic financial risk from the perspective of asset prices.Screening of time-varying methods that reflect the direction,size,and continuity of risk monitoring,we discuss the current status and construction ideas of systemic financial risk monitoring.Then we propose changes in monitoring concepts and principles,and build multi-dimensional,multi-system monitoring system on systemic financial risk.Further,from the perspective of asset price changes,exogenous shocks and risk indexes,this thesis tests the non-linear or time-varying monitoring effect of systemic financial risks,and clarifies the corresponding monitoring indicators and monitoring scope.