Research On The Asymmetric Effect Of Leverage On China’s Systematic Finan Cial Risks

As an important tool to incite financial capital,leverage has a dynamic trend that directly affects China’s macroeconomic fluctuations and systemic financial risk levels.Maintaining a moderate level of leverage in the economic system contributes to an increase in investment and consumption.However,a high level of leverage can have a negative impact on a country’s financial stability and economic growth.The subprime mortgage crisis in 2008,the European debt crisis in 2012,and the huge shocks in China’s stock market in 2015 all showed that the surge in debt in the economic sector made the sector’s leverage ratio unbalanced,which led to the financial crisis.In recent years,the leverage of various economic sectors in China has shown a rapid upward trend,and the probability of systemic financial risks has increased significantly.Preventing and controlling financial risks has become a key task of our government departments,and it is also one of the difficult problems to overcome.But if the government wants to achieve effective prevention and control of systemic financial risk through leverage management policy,it first needs to answer the following questions:What is the relationship between leverage and systemic financial risk in China?Is the impact of different sector leverage on systemic financial risk asymmetric?In this paper,further research is carried out.This paper defines the relevant connotation of leverage and systemic financial risk at first,then summarizes the incentives for the formation of systemic financial risks in China.This paper mainly summarizes the sources of systemic financial risks into four aspects:one is the systematic impact of macroeconomic risks,the other is the accumulation of risks within the financial system,the third is the irrational behavior of market entities,and the fourth is the external financial market risk spillover.At the same time,the mechanism of the impact of government departments,household departments,financial departments and non-financial enterprises on China’s systemic financial risk is sorted out from such channels as the mismatch of fund term,the liquidity of commercial banks and the fluctuation of asset prices.Secondly,measure the leverage and systemic financial risk levels of different sectors in China.The measurement results of leverage show that China’s macro and micro sector leverages have increased significantly during the period of 2008-2015 compared to the first decade of 2015,the increase and growth rate of leverage in various micro-sectors also performs asymmetry changes during the period 1996-2017.In the aspect of systematic financial risk measurement,the PCA method is used to measure China’s systemic financial risk index,and then the Hodrick-Prescott filter is used for exponential decomposition.The results show that short-term stochastic volatility shock is the main cause of systemic financial risk fluctuation.The short-term stochastic volatility faced by China’s systemic financial risks is on the rise.Finally,this paper empirically tests the asymmetric effect of leverage on China’s systemic financial risk by using ordinary least squares method and conditional quantile method.The test results show that:First,the macro-leverage is not only Helping to curb systemic financial risks will increase the probability of systemic financial risks in China.This effect should be understood from a structural perspective.Second,The impact of financial sector leverage on China’s systemic financial risk is significantly higher than that of other sectors,and it has a significant positive impact,while the leverage of government,non-financial and household sectors will form a negative impact on systemic financial risks.To the impact.Third,The impact of different departmental levers on systemic financial risks In the process of continuous evolution of risks,there will be an asymmetric trend.Fourth,Under the superposition of the asymmetric effects of the various micro-sectors,the result is a significant negative correlation between the macro-level leverage and the systemic financial risk.Therefore,we can start to prevent and control China’s systemic financial risks from the following aspects:First,strengthen the dynamic monitoring and research of financial market risks,and prevent and control the impact of short-term random fluctuations on systemic financial risks.Second,we cannot blindly emphasize "de-leverage".We should maintain the macro-level leverage level within a moderate range,avoiding excessively relaxing or excessively compressing macro-leverage to trigger systemic financial risks.Third,for different micro-subjects to implement differentiated leverage management policies,the financial sector should adopt a mandatory "lower leverage"policy,and the government and non-financial departments can implement"stable leverage"measures,and the family sector should allow leverage.The rate has risen further.