| The outbreak of the sub-prime mortgage crisis in the United States in 2008 has aroused widespread concern among academia and relevant international organizations on the measurement and prevention of systemic risk.At present,China proposes to stabilize the financial market,firmly guard against the bottom line of systemic risk,and strengthen macro prudential supervision.The regulation of systemic risk also follows the basic thread of identification,measurement and control.Because of the complexity of risk sources,systemic risk gathers a large amount of mixed information,and has many characteristics that general types of risk do not have:high infectivity,superposition,tail effect,structure and so on.In view of this,systematic risk identification has always been the basis of prevention and control measures.For a long time,China’s capital market is in an almost closed state.It restricts the inflow of foreign capital.Financial institutions whose banks are the main body are also strictly regulated.Therefore,many researchers believe that during the subprime crisis,China has cut off the direct route of systemic risk,so its impact is smaller worldwide.That is to say,an economy can almost completely block the transmission of systemic risk by blocking the capital market.However,some studies believe that the transmission of risk caused by independent shocks transcends the transmission path discussed by traditional research institutes,and the impact risk and general infection are superimposed into systemic risk.Under the special circumstances of China,this paper measures the growth rate of independent shocks,and compares the data differences between the growth indicators and the general ones in order to measure the effect of independent shocks in the Chinese market,and whether there is a structural effect of systemic shocks in China.In this paper,we use the extreme value theory combined with the Copula function to construct the lower tail correlation coefficient of the systematic financial risk.By using the Gumbel Copula to identify the tail-related lower tail correlation coefficient and the Pearson correlation coefficient as the basic data,the two sets of data are calculated.Through the results of the differential changes in risk-growth information during the subprime mortgage crisis,it can be argued that the independence shock does constitute an important part of the systemic risks encountered in the Chinese market.By comparing the main financial index data of China and the United States,it is found that under the condition that the general correlation coefficient has a small change and the growth rate is stable,the growth rate information of the lower tail correlation coefficient has a sudden increase,indicating that the market barrier is at the extreme value.The role of the incident has been greatly weakened,that is,existing regulatory barriers are difficult to resist the risk transmission caused by independent shocks.In addition,through the analysis of the data growth rate of the Chinese market,the United States,and the European multi-country market,the independent shock has the characteristics of multiple reflections.The outbreak of the US financial crisis not only has a direct independent impact on China,but also causes China to be caused by other economies in the world.Indirect independent shocks,equivalent to the impact source from the United States reached China several times,form,ing a superposition of systemic risks.As China’s development enters the new economic normal,the openness of China’s financial market continues to increase,and China’s financial sector will increasingly be exposed to the superimposed systemic risk environment.China’s current macro-prudential supervision needs to refine the risk structure information,prevent systemic risks superimposed by infection and independent independent impact,and finally gradually transition to a comprehensive systemic risk based on macro-regulation and micro-regulation.The regulatory framework effectively curbs the systemic risks of banks and the entire financial system and maintains the healthy development of the financial system and the real economy. |
