Measurement And Early Warning Of Systemic Financial Risks In My Country

The subprime mortgage crisis in the United States broke out in 2007,and then triggered the global financial crisis,which not only caused serious damage to the global financial system,but also made the global economy in a weak state.After the crisis,regulators in various countries began to attach great importance to systemic financial risks.At present,my country is in a period of economic transition and faces enormous challenges.On the one hand,domestic local government debt is high,the real estate bubble is big,and the financial sector is facing huge challenges.On the other hand,trade protectionism is on the rise,and European and American countries have imposed comprehensive sanctions on my country’s rise.On this basis,COVID-19 is out of control on a global scale,causing certain resistance to the recovery of the global economy.The complicated domestic and international situation has had a serious impact on my country’s financial stability.Once the systemic financial risk breaks out,it will not only cause severe damage to my country’s financial system and economic development,but also lead to a world crisis.Therefore,it is very meaningful to measure the systemic financial risk in our country.Based on the definition of systemic financial risk and the study of the transmission path,combined with the triggering factors of systemic financial risk in my country at the current stage,this thesis analyzes macroeconomic fluctuation risk,debt risk,banking system risk,asset bubble risk,currency liquidity risk and external market risk.For the six dimensions of impact risk,28 indicators such as GDP year-on-year growth rate and bank non-performing loan ratio are selected as the basic variables to measure my country’s systemic financial risk.Then,the deep dynamic factor model and the dynamic factor model are used to extract the hidden dynamic factors in the data,and the performance of the two models is analyzed by comparing with the GDP growth rate.Finally,the factor obtained by the model with the best performance is used as a comprehensive index to measure my country’s systemic financial risk,and the comprehensive index is used as a proxy variable of the MS-VAR model to identify and warn my country’s risk state.The results show that the systemic financial risk composite index obtained by the deep dynamic factor model and the dynamic factor model can accurately reflect the occurrence period of some major events at home and abroad,but the model obtained by the deep dynamic factor model is more sensitive,so the model can effectively measure Systemic financial risk in my country.From the comprehensive index obtained from the deep dynamic factor model,it is found that my country’s systemic financial risk generally presents an upward trend.Through the analysis of the MS-VAR model,it can be seen that my country is at high risk from the second quarter of 2013 to the third quarter of 2013,the first quarter of 2016,the second quarter of 2017,the fourth quarter of 2018 and the first quarter of 2020.The rest of the time is in a low-risk state.The probability of maintaining low risk in my country’s system is 77.95%,and the probability of transition from low risk to high risk is 22.05%,indicating that my country’s low-risk state has certain stability.At the same time,the probability of maintaining a high-risk state in my country is 22.04%,and the probability of changing from high-risk to low-risk is 75.96%,indicating that high-risk is easy to change to low-risk.Finally,the ARIMA(0,1,0)model is used to predict the systemic financial risk composite index in the third quarter of 2021,the fourth quarter of 2021,the first quarter of 2022,and the second quarter of 2022,and found through the MS-VAR model All four quarters were in a low-risk state.According to theoretical research and empirical analysis,suggestions are made from the following six aspects.The first is to effectively implement the dual-pillar policy of monetary policy and macro-control to control pro-cyclical factors and mitigate liquidity risks;the second is to curb the expansion of asset price bubbles and deepen the reform of the real estate market and stock market;Supervision coordination,improve the uniformity,pertinence and effectiveness of the supervision system,and enhance the ability to resist risks;Fourth,enhance the development potential of the real economy and maintain the stable development of the macro economy.Fifth,strengthen the risk diversification capability of banks to ensure the stable operation of the banking system.Sixth,optimize debt risk and reduce macro leverage ratio.