| The report of the 20th National Congress of the Communist Party of China(CPC)stressed the need to keep the bottom line of preventing systemic financial risks.In fact,from an international perspective,countries with high level of financial development and openness always have long-term systemic financial risks,and many financial risks have even turned into reality,leading to financial crises.From the perspective of China’s development reality,although systemic financial risks are still in a state of possibility,it does not mean that this possibility will not turn into a crisis.In particular,after the 2008 international financial crisis,the depression of the international market entered a normalization stage,seriously affecting the realization of excess capacity and causing a downward trend in the profitability of the real economy.This has promoted a large amount of funds to flow from the real industry to the virtual economy,further exacerbating systemic financial risks.In addition,in recent years,with the impact of Sino-US trade disputes and the COVID-19 epidemic,many new risk points have emerged.And the connectivity,complexity and contagion between each risk point constantly being reinforced.Therefore,keeping the bottom line of avoiding systemic financial risks has become a strategic and fundamental issue that concerns China’s overall economic and social development.In view of the differences in the national systemic financial risks and their characteristics under the background of economic globalization,this paper focuses on the topic of "China’s systemic financial risks" from an international comparative perspective,and conducts theoretical and empirical analysis on the generation,measurement,correlation,contagion and prevention of systemic financial risks following the basic principle of logical self-consistency.By clarifying the connotation and extension of systemic financial risk,we construct a " four-dimensional integration" financial risk framework covering exchange rate fluctuation risk,macroeconomic fluctuation risk,financial system fragility risk and debt default risk,and measure the level of systemic financial risk using the financial stress index based on the CRITIC weighting method,trying to explore the basic characteristics of the dynamic changes of systemic financial risk in China in the post-crisis era by comparing with the United States and other representative countries.Based on this,by constructing a time varying parameter-stochastic volatility-vector auto regression(TVP-SV-VAR)model,this paper further analyzes the dynamic correlation between each risk point within a country’s systemic financial risk(domestic)and between the overall systemic financial risk of each country(international).On this basis,considering the contagion and complexity of systemic financial risks,this paper systematically demonstrates the domestic and international contagious effects of systemic financial risks in various countries by designing the risk contagion matrix,and finally excavates the main contagious sources and routes of China’s systemic financial risks,clarifying the international positioning of China’s systemic financial risks.At the same time,through country comparison and analysis,the contagious characteristics of China’s systemic financial risks are explored,providing a reference for better learning from foreign risk prevention experience.Finally,based on the research conclusions and characteristics of systemic financial risk prevention in China and representative countries,this paper provides relevant policy recommendations for China to build a more complete systemic financial risk prevention system in the new historical period.Through the analysis,this paper mainly draws the following conclusions:(1)Risk generation and measurement perspective: Based on the "four-dimensional integration" systemic financial risk generation framework,we find that after the 2008 international financial crisis,the overall systemic financial risk in most countries has not significantly declined,and compared with other countries,China’s overall systemic financial risk shows a certain cyclical pattern.(2)Risk correlation perspective: Compared with other countries,there are significant differences between the main risk points within China’s systemic financial risks in the same period,short term,medium term,and long term,while the impact effects based on different lead times in most countries mainly reflect consistency..In addition,in recent years,there are signs of improvement in the medium-and long-term positive impact of systemic financial risks in developing countries on China.(3)Risk contagion perspective:Further study finds that the risk correlation effect will evolve into the contagion relationship between risk points,and the main contagion attributes(risk input and risk output)and contagion degree reflected by each risk point are quite different.On the one hand,from the perspective of domestic risk contagion,different from other countries,the contagion direction of China’s systemic financial risk is mainly reflected as "exchange rate fluctuation risk→bank market risk→debt default risk→exchange rate fluctuation risk" and "exchange rate market fluctuation risk→financial system fragility risk(stock market risk→bank market risk)→debt default risk(→exchange rate market fluctuation risk)→macroeconomic fluctuation risk".In contrast,the systemic financial risks of developing countries with relatively low levels of financial openness,such as China and Brazil,mainly come from the international exchange rate fluctuations,while the risks of developed countries with higher levels of financial openness,such as the United States,mainly come from domestic risks.On the other hand,from the perspective of international contagion,China’s systemic financial risk is in a net risk input position in the international field,and the risk contagion effect of the United States and Germany on China is relatively large,but the net impact of international financial risk is the lowest in all representative countries.Overall,through this study,we find that under the financial globalization,China and other countries’ systemic financial risks are composed of domestic and international risks.This indicates that in the process of risk prevention,the government should strengthen the supervision and prevention of domestic risk input,accelerate the realization of high-quality development,and improve our own risk prevention ability.Meanwhile,in international risk contagion prevention,it is necessary to further strengthen intertemporal monitoring of risk change dynamics in countries such as the U.S.and Germany,as well as to raise the vigilance of risk input from developing countries,so as to enhance the foresight and targeting of overall risk prevention.At the same time,in international risk contagion prevention,it is necessary to further strengthen the monitoring of the risk changes in countries such as the United States and Germany,and also increase the vigilance against risk input from developing countries,so as to enhance the forward-looking and pertinence of the overall risk prevention.Based on an international comparative perspective,this paper provides a panoramic survey of China’s systemic financial risks,and also made some innovative contributions during the demonstration process,which can be summarized in three aspects: First,we highlight the perspective of international comparison.By selecting the countries,such as the United States,as the comparative object of China’s systemic financial risks,this paper systematically studies the overall level and characteristics of the systemic financial risks in various countries,the correlation effect between the overall systemic financial risks among countries and between each risk point inside,and the contagion effect between the overall systemic financial risks among countries.We summarize the general and specific characteristics of China’s systemic financial risks from an international comparative perspective,thus enriching the research perspective and further enhancing the recognition of China’s systemic financial risks and prevention.Second,we strengthen the "systemic" of relevant research.This study emphasizes the "systemic" from three aspects:(1)The "systemic" in the investigation of systemic financial risks.By unifying the components that constitute systemic financial risks and constructing a "four-dimensional integrated" generation framework,a "systematic" study of systemic financial risk measurement is achieved.(2)The "systemic" in the overall logical framework.This study is conducted step-bystep,following the systematic logic of risks "generation→measurement→correlation→contagion→prevention".(3)The "systemic" in the research process.This study not only examines the correlation and contagion among the components of systemic financial risk,but also explores the correlation and contagion effect between countries from the perspective of systemic financial risk as a whole.Third,we explore the dynamic characteristics and international positioning of China’s systemic financial risks.On the one hand,the dynamic correlation characteristics of risk provide a theoretical reference for building a dynamic prudential regulatory framework.On the other hand,the similarities and differences shown by China,Brazil and Mexico reveal the importance of developing countries adopting a gradual financial opening-up model.Overall,in the post-crisis era,China is a net risk importer in the international field,while the United States,as the world’s largest risk exporter,is mainly at risk in the banking market,which is conducive to improving the pertinence of China’s risk prevention. |
