| The financial crisis triggered by American subprime mortgage crisis in 2007 sets new records with tremendous destruction and wide scope,managing systemic financial risks is becoming a hot issue dis-cussed by government,the public and academy since then.The first annual session of the 13th National People's Congress lists making clear progress with preventing and mitigating financial risks as one of the three uphill battles in report on the work of the government.In this context,the principal focus of this paper is quantifying and analyzing China's national and regional macroscopic finance risk,putting forward supervision countermeasures.Based on the recent research progress in the field of macro-balance sheet,we attempt to compile China's balance sheets,both national balance sheets from 1991 to 2013 and regional balance sheets from 2002 to 2015.Then we measure China's national and regional financial risk through an improved contingent claims approach with random limit normal distribution.The balance sheet data together with risk data above-mentioned provide follow-up studies with fundamental support.On this basis,we firstly describe the stylized facts of the expansion and structure changes of China's balance sheets,while identifying main risk areas and estimating contagion path as well as extent.Furthermore,we discuss how market confidence and liquidity shocks would cause financial risk.In the case of American subprime mortgage crisis in 2007.we compare the pre-crisis characteristics of China with Eurozone.Secondly,we offer statistical analysis of balance sheets and risk condition from the viewpoints of region,then we discuss economic and political factors that would cause financial risk.Statistic results show that the supply structure and allocation efficiency of credit affect the risk effect of credit liquidity significantly.We develop a cross-region cross-sector risk contagion network with financial sector at the core,analyzing risk contagion path basing on spatial econometrics.We find that the financial risk changing progress is path dependent,contagion moves from local and neighbor non-financial sector and government sector as well as neighbor financial sector to local financial sector.Thirdly,we investigate the risk formation and accumulation mechanism of real estate area,which is the key area of national economy.Housing bubble burst triggers American subprime mortgage crisis in 2007,which starts with the collapse of household balance sheet.In recent years,household leverage rises significantly and asset price fluctuates drastically along with the sharp rising of housing prices.Housing market has already became the new risk area that destabilize financial system.In the use of contingent claims approach,we build and test dual-channel hypothesis,finding that rising housing prices adding to volatility as well as leverage comes up with increasing household risk.Finally,we discuss the monitoring and prevention of real estate area risk.To contain housing prices and stop the real estate overheating is the critical mission of real estate market regulation.We review China's regulation and control policies related to real estate market since 2003 and build a Real Estate Regulation Index System to study the evolution and logic of real estate regulation.In this basis,we examine impact of real estate regulation policies on housing prices and financial risk,finding that China's past real estate regulation could control housing prices effectively,but its ability to guard against financial risks has weakened since 2008.The authorities should not pressure housing prices excessively because huge housing prices declining would leave financial institute with large amounts of severely depreciated mortgage assets.This paper roots in China's unique institutional background and data condition and commit to scientific macro-financial risk quantification.We offer statistical analysis of balance sheets and risk condition both from national and regional viewpoints,analyze risk contagion path among regions and sector,investigate risk formation and accumulation mechanism of real estate area,and examine impact.of real estate regulation policies on housing prices and financial risk.This paper provides theoretical support to establish a complete framework for systemic financial risk. |
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