Measurement Of Systematic Financial Risk In China And Analysis Of Its Influencing Factors

Preventing systemic financial risks is the top priority of China’s economic work.The report to the Party’s 20 National Congress clearly states that the whole Party must improve its ability to forestall and defuse major risks and ensure that systemic risks do not occur.Therefore,it is of great significance to clarify the risk contagion mechanism among major financial industries and discover the impact of various factors on systemic risks from different perspectives to maintain the stability of the financial system.In order to analyze the influencing factors of risk contagion mechanism and systemic risk spillover in Chinese financial sector and related industries,a time-varying parameter vector autoregression(TVPVAR)model is firstly constructed.On the one hand,the influence of rolling window size on spillover effect measurement is solved to avoid missing important information.On the other hand,it solves the problem that the traditional VAR model cannot capture the time-varying characteristics of economic structure,so that the research is more in line with the actual economic situation.Based on this model,this paper obtains the spillover index based on the generalized variance decomposition and studies the cross-market risk contagion based on the tail risk spillover.Then,the conditional value at risk(CoVaR)model is used to measure the risk spillover effects of various financial sectors on the financial system.Based on the mixed panel data model,the spillover effects of managers’ overconfidence and enterprise-level factors on the system risks are studied.The results show that: firstly,the total tail risk spillover index of selected industries is 59%,indicating that extreme losses have strong cross-market infectivity.Secondly,the gold and real estate industries are the main recipients of risks,while the banking and securities sectors are the main transmitters of risks.Real estate is closely connected with banks and securities,so it can better absorb the risks spread by these two financial sectors when the risks are highly volatile,while the gold market has better risk absorption capacity when the risks are stable.Thirdly,the stability of securities and insurance companies is weaker,which is more likely to spill risks to the financial system.During a crisis,overconfident managers exacerbate risk spillovers;Fourthly,The contribution of overconfident managers in securities companies or insurance companies to systemic risk spillover is significantly greater than that of overconfident managers in banks.To sum up,the cross-market tail risk correlation of the financial sector and related industries will be enhanced rapidly during the crisis.The government departments should strengthen the supervision and take the amplification effect of risk transmission among various departments into full consideration when formulating policies.When preventing systemic risk spillover,we need to pay more attention to the spillover effect of overconfident managers on systemic risk,and pay attention to the difference of the spillover effect of systemic financial risk in different industries.