The Study On The Relationship Between Asset Price And Systemic Risk

Research of financial systemic risk was once active in 2005 in China, but few are from the asset price fluctuation point of view to start the analysis. From the year of 2007, research on asset price fluctuation's impact on economic and financial system was vitalized again because of the subprime crisis. Based on the theoretical reflection in the post-crisis era, and the thinking of China economy's future condition while asset price growing faster, asset price fluctuation and financial systemic risk's relationship becomes a worthwhile issue to study. This dissertation focusing on asset price fluctuation and financial systemic risk's relationship, analyze the causes of financial systemic risk, and its transmission mechanism, regulation steps, pre-warning system. We intend to disengage the neo-classical theory researching model, using cambridge growth formula to put forward a theoretical model to analyze this relationship while under the assumption of collateral mechanism, monetary value measurement, considering the stock-flow combination.Firstly, this dissertation re-explains the cause of the financial systemic risk. With the existing research results, we can find that the explainations have turn to the economic reasons through the early social systems perspective. Recently, in a variety of economic reasons, explanations emerges more than that was based on asset price fluctuation explanation. Though we can't deny the non-asset price fluctuation causes, after an in-depth inquiry, it can be found that they all richly steeped in asset price fluctuation's shadow. So, along with the development of financial market, most causes can be summed up as the asset price fluctuation.Secondly, our theoretical model, which explains the relationship between the asset price fluctuation and financial systemic risk, and is built around the household sector, non-bank corporate sector and the banking sector, is a general equilibrium model. When the asset price and exogenous variables are given, the model has only one equilibrium and steady state. When the asset price variable, the equilibrium steady state is no longer unique. Base on whether system's equilibrium steady state can be achieved, this dissertation describes the financial systemic risk's transmission mechanism under the asset price fluctuation's impact. Especially, we divide the asset price into non-bank corporate equity secondary market price, bank equity secondary market price and real estate price to discuss the specific impact process and impact effect of their fluctuation to the financial systemic risk, in order to give some new useful suggestions. So, this dissertation also give some reappraisals to the effectiveness of the existing regulatory policy in regulation of the financial systemic risk.Thirdly, this paper put forward that there is a stable relationship among ratios in model's nominal variables and the broad money supply growth rate. So we suggest that monetary policy, especially the broad money supply growth rate, should be stabilized in the main, in order to maintain ratios in stable relationships and system in steady state. Fiscal policy is an effective tool in mediating system. Thus, this is an integration of Friedman's policie and Keynes's policie, and is also a return to Keynesian monetary analysis.Fourthly, this paper point out that there is positive feedback effect in asset price fluctuation. Combined with the complexity theory, the process of asset price fluctuation is similar to the evolutionary route of complexity system. As impact is greater while asset price fells, it is necessary to postpone the critical state's arrival, or at least make full preparation before the critical state's arrival, in order to minimize the losses. That is a realistic way to prevent and control the risk brought by asset price fluctuation according to the complexity system's evolutionary route. Based on this idea and combined with the paper's theoretical analysis, we construct a general framework for risk pre-warning system by improving micro-measurement techniques.Finally, this paper demonstrats the existence of the relationship between asset price fluctuation and financial systemic risk using international typical data. It also demonstrats the characteristic of asset price fluctuation, the asset price fluctuation's impact on China's economic and financial system, and the possibility to come into financial systemic risk, the effect of the adjustment. What's more, it designs a pre-warning system framework for China's asset price fluctuation.