| The global economy had made poor performance for several years after the financial tsunami caused by subprime crisis in2007. As China’s financial market become more open to the world, our financial system is easily exposed to systemic risks. Several financial crises had broken out since20century began, the truth told us financial crises can infect to another market or institute because of spillover effect, which means crisis of single market or financial institute can be transferred to entire market or system, because all of them are connected by business interactions or intersect holdings. As for China’s financial regulator, how to learn experience from developed countries and combine our own practice to take precautions against financial risk caused by spillover effect, it is a very significant problem. We need to do some deep research about that.According to Mishkin (2009), one of transferring ways of financial crisis is as follows:Financial crisis erupts in a country, and then transfers to other countries; the single bank of developing countries suffers crisis, and then the entire bank system collapse. For China, the bank system is the most important part of financial institutions.The train of thought of this dissertation is as follows:Firstly we analyze the spillover effect between China and U.S., and then we measure the spillover effect of bank system, at last we take the supervision of developed countries as a lesson and give some suggestions to China’s regulation. Based on these thoughts, this dissertation concludes the main idea as follows:We introduce the development process of financial risk management tools systematically, which include mean-variance theory, VaR, sensitive measure tools, CAViaR and CoVaR measures. And we also introduce GARCH serial models, which include the model’s definition, characteristic, appliance, calculation methods and main forms. At last, we also introduce some the basic theory of macro-prudential regulation. We also use GARCH-CoVaR method to measure the spillover effect of China’s listed banks. Through the data of16listed banks and the WIND index that represents entire bank systems, we try to find out systematically important banks. This dissertation uses several GARCH models to calculate CoVaR and we choose the proper one. Through the calculation, we know the risk contribution of each bank. We can use this method to asses which bank is systematically important. The result shows that state-owned banks have low VaR, which testifies that they have low risk. Otherwise, Co VaR has no direct connections with VaR, some banks have high risk and low CoVaR, some have low risk and high CoVaR, therefore, we cannot judge the systematically important banks just by their asset scale, and we need some scientific measures. CoVaR can importantly supplement to VaR.The5th chapter concludes the financial regulation measures of developed countries, especially the policies after subprime crisis, and we extract some key points that can be useful to China’s regulators, regulators should know their responsibilities clearly, they should attach importance to cooperate with foreign regulators, they need to know how to supervise systematically important financial institutions, they must keep an eye on financial derivatives consumers and investors.The6th chapter reviews the China’s regulation reform history, and we give some suggestions to improve our macro-prudential regulation. We also combine the experience of developed countries, our own practice and previous empirical results to give some advice as follows:The financial regulators should build early warning mechanism, keep an eye on non-bank financial institutions and financial derivatives, build deposit insurance system, cooperate with foreign regulators, take precautions against transnational risk spillover effect and make good financial environment for all kinds of financial institutions.Finally, we review and conclude all the works we do in this dissertation, and look into future study based on our research.
|
PDF Full Text Request