| The 2008 international financial crisis had a wide-ranging and far-reaching impact on the real economy and financial systems of countries around the world.As a result,how to prevent and control systemic financial risks has become an important topic for government departments and academia.In recent years,China's financial institutions have become increasingly closely related to risks.Problems such as the pan-financialization of the real industry,local government debt,non-financial corporate leverage,and real estate financial risks have become very serious.All the facts indicate that China is facing complex and severe systemic financial risks.In this regard,the government has attached great importance to and made a series of strategic deployments.For example,the 2021 Government Work Report will maintain the bottom line of systemic risks as the current priority.In the academic circles,many scholars have conducted detailed discussions on the issue of systemic financial risks,and have accumulated fruitful results.However,it is not difficult to find that the existing research focuses on the financial field and lacks research on the risk correlation between the financial field and real economy,thus underestimating the actual impact of systemic financial risks,and related research focusing on the financial field is also has room that needs to be filled urgently.In addition,the study of systemic financial risks from the perspective of risk correlation will help to understand the characteristics of systemic financial risk generation,accumulation and spread,and then provide policy support and path selection for effective prevention and control of systemic financial risks.Based on the above observations and reflections,this article brings the financial field and real economy into the view of the research field at the same time,and studies the systemic financial risk from a more macro perspective.It mainly studies the relevance of risks of the financial system,the financial industry and the real economy industry,the financial sector and the real economy sector,and explores risks of the real estate sector.On this basis,this article further explores the effectiveness and existing problems of the risk prevention and control of monetary policy and macro-prudential policies,and summarizes relevant domestic and foreign experience in risk prevention and control.The main research content and related conclusions of the core chapters of this article are summarized as follows:The third chapter studies the risk correlation of sub-industry in the financial system.First of all,the existence of risk spillover effects in the financial system is tested,and it is found that there are significant two-way risk spillover effects between the various sub-sectors of the financial system.Secondly,the chapter uses the generalized forecast error variance decomposition method based on the time-varying parameter VAR model to examine the characteristics of risk spillovers in the financial system.The study found that the macroeconomic situation and risk events have an important impact on the risks of the financial system.From the perspective of static effects,the banking industry plays a central role in the risk spillover process of the financial system.From the perspective of dynamic effects,the diversified financial service industry has been the center of risk spillovers in the financial system since 2018;in 2020,the banking industry is the main bearer of risk spillovers in the financial system;in different risk events,the center of risk spillovers in the financial system is different.Third,considering that systemic financial risks will have a serious negative impact on the real economy,this chapter further uses the TVP-VAR-SV model to conduct an empirical study on the externalities of financial system risks.Under normal circumstances,financial system risks have a positive effect on the macro economy.But in the event of extreme risk,the rise in the risk of the financial system will have an adverse effect on the macro economy.Finally,in order to analyze the reason for the fonnation of this result,through the identification of the risk transmission mechanism of the financial system,it is found that the liquidity spread is the transmission channel through which the risk of the financial system affects the macro economy.That is,under normal circumstances,rising financial system risks will reduce liquidity spreads and promote economic growth.Under extreme risk situations,rising financial system risks will increase liquidity spreads,which in turn will have a negative impact on the macro economy.The fourth chapter studies the relationship of the tail risk of the financial industry and the the real economy industry.Based on the research of the dynamic CoVaR model,it is found that,first of all,from the perspective of static effects,the financial industry has strong risk spillovers to the real estate industry,telecommunications service industry,energy industry and materials industry.The material industry,industry,optional consumer industry,and real estate industry have greater risk spillovers to the financial industry.From the perspective of dynamic effects,in 2008 and 2015,the risk spillover intensity of from the financial industry to the real economy industry was significantly higher than in other years;in recent years,the risk spillover intensity of from the industry,materials industries,optional consumption industries,and real estate industries to the financial industry is greater.Secondly,further research shows that when the economy turns from a normal period to a crisis period,the important risk transmission path of from the real economy industry to the financial industry will change;the important risk transmission path of different risk events is different during the crisis period.Finally,further research from the sub-industry level of industry sector segmentation found that the roles of various sub-sectors in the same industry sector in the risk spillover process are quite different.The fifth chapter studies the relationship of risks between local government debt,corporate debt and bank credit risk.The study found that the increase in local government debt ratio and private enterprise debt ratio will lead to an increase in bank credit risk,indicating that there is a risk transmission path of local government?bank and private enterprise?bank in various regions of China.Further,considering that the type of ownership has an important influence on the production and operation activities of enterprises,this chapter also analyzes the heterogeneity of corporate debt.The results show that the increase in the debt ratio of private enterprises has a significant impact on bank credit risk,while the debt ratio of state-owned enterprises has no significant impact on bank credit risk.At the same time,in view of the important impact of changes in economic growth on systemic financial risks,this chapter then examines the relationship between the local government debt ratio and economic growth,and finds that an increase in the local government debt ratio will have negative externalities for economic growth.Next,the panel threshold model is used to study and found that under different economic development levels,the government debt rate and economic growth show a nonlinear relationship.When the local annual per capita GDP exceeds 62195 yuan,the increase in the local government debt rate will have a greater negative impact on the economic growth.The sixth chapter studies the relationship between the real estate boom and bank credit risk.The results show that rising real estate prosperity will lead to increased bank credit risk.Further research found that the real estate boom has a U-shaped relationship with bank credit risk;the rising real estate boom has a higher impact on the credit risk of state-owned commercial banks than non-state commercial banks;during the period of real estate boom,the marginal impact of monetary policy tightening on bank credit risk increases.In addition,by examining the relationship between the real estate boom and the expansion of bank credit,it is found that the rising real estate boom will promote the expansion of bank credit.The seventh chapter focuses on the prevention and control of systemic financial risks.Based on the DSGE model with financial accelerator characteristics,it is found that under the impact of monetary policy tightening,the mutual feedback of risks between departments makes the risk appear pro-cyclical amplification characteristics,which ultimately leads to large economic fluctuations,and the tightening of monetary policy will cause the corporate leverage ratio to rise.In view of the high leverage ratio of China's non-financial corporate sector,simply adopting a tightening monetary policy to reduce leverage ratio may be counterproductive.Furthermore,by adding a countercyclical capital buffer rate to the framework of the benchmark model,the effect of macro-prudential policy control and the matching effect of macro-prudential policy and monetary policy are studied.Studies have found that macro-prudential policies can help alleviate the liquidity tension caused by the impact of monetary policy tightening,thereby reducing macroeconomic fluctuations,but will lead to an increase in corporate leverage.Therefore,counter-cyclical adjustments are made through macro-prudential policies,and attention is paid to the vulnerability of the real economy brought about by the increase in corporate leverage.In addition,this chapter also discusses the hedging and matching effect between monetary policy and macro-prudential policy.Through the study of hedging effect,it is found that the central bank implements loose monetary policy to boost the economy,the untimely adjustment of macro-prudential policy will reduce the effectiveness of monetary policy control,and the bias of macro-prudential policy control will hurt the economy.Through the study of matching effects,it is found that counter-cyclical macro-prudential policies can help alleviate the impact of risk shocks on the macro-economy,and the appropriate matching of macro-prudential policies and monetary policies can more effectively reduce the negative impact of procyclical expansion of risks on the macro-economy.Finally,this chapter puts forward very useful policy enlightenment by summing up the domestic and foreign monetary policy operations and macro-prudential management experience.According to the research content,the possible innovations of this article are mainly manifested in the following aspects:Firstly,for the research on risk prevention and control of macroprudential policies,the existing literature mostly focuses on theoretical description and quantitative empirical analysis,but few literatures incorporate countercyclical capital buffer rates into the DSGE framework to analyze the effects of macroprudential policies on countercyclical control.Therefore,one of the innovations of this article is to incorporate the countercyclical capital buffer rate into the DSGE framework for research.At the same time,the study found that under the impact of tightening monetary policy,countercyclical macro-prudential policy regulation can help alleviate the problem of liquidity tension,but it will lead to an increase in corporate leverage.Moreover,the DSGE model constructed in this article on the basis of previous scholars'research is quite different from the existing models,such as the introduction of consumption inertia characteristics,capital adjustment costs,classic C-D production function forms,etc.,while the existing relevant literature often only involves individual characteristics.In addition,the steady-state solution of the model is the key to the solution of the DSGE model.This article gives the detailed process of the steady-state solution of the model,which greatly reduces the difficulty for subsequent scholars to expand on the basis of this model.Secondly,some existing literature emphasizes that the banking industry is the center of risk contagion in the financial system.This paper finds that this conclusion is only valid when analyzing the static effects of risk spillovers in the financial system.When investigating the dynamic effects of risk spillovers in the financial system,we found that in recent years,the diversified financial service industry has played a central role in the process of risk spillovers in the financial system.In addition,the existing literature emphasizes that systemic financial risks have an impact on the real economy through credit channels.This article finds that liquidity spread channels play an important role in the risk transmission process.This discovery has a good supplementary effect on the existing literature research.Thirdly,systemic financial risk is a hot issue in academic research.On the basis of the existing literature research,this article starts from the actual conditions of China,and brings the financial field and the real economy into the vision of the research field at the same time.To a certain extent,this breaks through the limitations of previous scholars'research on systemic financial risks that only focus on basic theories,experience reference,and risk-related research of different financial institutions,and avoids the problem of"study systemic financial risks only based on the financial field".From a more macro perspective,this article has deepened the research on the transmission path and the source of infection of systemic financial risks. |
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