The Identification,early Warning And Prevention Of Systemic Financial Risk Of China

Well-developed financial market is beneficial to improve the operation efficiency of the real economy. But the risk of financial market will have an immeasurable loss to entity economy.Along with the international financial market linkage strengthening and the reform of domestic financial market deepening,the research on financial risk identification,warning and prevention has very important significance.The research object of this paper is the identification,early warning and prevention of systemic financial risk.Firstly introduced the related theory of systemic financial risk and summarized the research results of scholars at home and abroad.In the empirical study,this paper build Chinese financial steess index from three dimensions of banking,asset bubbles and foreign exchange market.Using extreme value theory to identify the fiannacial risk stage.Further,this paper selected 21 variables as early warning indicators of systemic financial risk from macroeconomy,domestic fianance,international trade and international fianancial. Then extracted 5 common factors by ADF test,Granger causality test and factor analysis.This paper used Logit model to predict the probability of systemic financial risk.In addition, this paper also used KLR signal method to determin the threshold probability of crisis.Finally,this paper discussed the prevention of systemic financial risk from the angle of macro prudential supervision.The results of this study showed that:the FSI can well fit the situation of China’s market pressure.In 2003,2007,2008,2009,2010,China’s market had a larger pressure.Factor analysis showed that the macro economy,foreign trade, interest rate,inflation and asset bubble were the main sources of China’s financial market pressures.Risk probability threshold of KLR is 34%.The Logit model had good out of sample forecasting ability.Besides,to strengthen the central bank,CBRC,CIRC,CSRC regulatory coordination effect;distinguish between supervision and support,deepen the deposit insurance system;strengthen risk supervision of shadow banking is necessary for the prevention of financial crisis.