Systematic Risk Generation Mechanism Under Macro Prudential Supervision And Research On China's Preventive Strategies

The outbreak of each financial crisis will lead to changes in financial regulation;the core lies in the need for financial market supervision? How to supervise? After the global financial crisis in 2008,The international community has pointed out the lack of micro prudential supervision and monetary policy in the prevention of systemic risk.The systemic risk mainly comes from two aspects: one is the Pro-cyclical in which the financial system and the economic cycle are interrelated;one is the contagion of business relations within the financial system;it is proposed to construct a macro-prudential supervision framework that conforms to national conditions.At present,We are in the economic restructuring,domestic and foreign long-term accumulation of potential risk factors is emerging.China's financial regulatory agencies have always attached great importance to financial security issues,2016 "13th Five-Year Plan" once again made clear: " to speed up the establishment of a modern powerful and effective financial regulatory framework that conforms to the characteristics of modern finance,coordination and supervision,and firmly adhere to the bottom line of no systemic riskBased on the above background,this paper takes systemic risk as the research object from the perspective of "systemic risk formation and prevention mechanism",First of all,the development of macro-prudential supervision and its theoretical basis are introduced,and then along the "systemic risk formation and prevention mechanism ? spatial dimension risk infection research ? Study on the cyclicality of the leverage time dimension of commercial Banks? China's systemic risk early warning research ? China's macro-prudential supervision practice " this idea to start writing.The specific research contents are as follows:Firstly,the increasingly complex financial network is an important cause of systemic risk.When financial institutions suffer a negative impact,based on the bank network model,it is found that after the introduction of the asset price fluctuation mechanism,the default of the financial institution will enlarge the market infection loss,and the indirect effect of the asset sales is greater than the direct effect of the network connection,but the government salvage behavior helps to alleviate asset price fluctuations,reduce systemic risk.Secondly,commercial banks in the economic boom stage of excessive expansion of asset projects,leading to high levels of bank leverage,financial risks continue to accumulate in the banking system.In this paper,the panel model is used to study the cyclicality and asymmetry of the leverage of Chinese commercial banks.It is found that there are obvious procyclicality in the leverage of Chinese commercial banks.The influence of different factors on the procyclical behavior of leverage is different.Considering the asymmetry of bank leverage,bank levers increased rapidly during the uptrend period,while in the period of decline,the leverage level decreased slowly.Thirdly,Because financial risk is an unobservable variable,this paper first uses CDF-credit weighting to synthesize China's financial stress index(FSI)to measure financial risk,and then conduct empirical test based on MSBVAR model.The results show that the financial risk is in the same direction as that of CPI,M2 / GDP,export / import and house development,and the growth rate of industrial added value is in the opposite direction;The state transition smoothing probability map suggests that China will have high probability of high financial risk in the future.Fourthly,since the financial crisis in 2008,the major economies in the world have made major reforms to their financial regulatory system and established a Basel III + Macro-prudential management framework aimed at preventing and resolving systemic risks.China,as a member of the G20 and Basel Committees,uses a four-pronged capital adequacy ratio,provision ratio,leverage and liquidity to establish a counter-cyclical macro-prudential regulatory system to meet capital under the Basel III requirement,improving the macro-prudential supervision of the "toolbox".The innovation is as follows:(1)in the aspect of the infectivity of spatial dimension,the complex network model is used to simulate the simulation.Compared with the traditional measurement model,this method can better describe the connection of modern financial market.On this basis,it is also convenient to study the chain reaction of certain or some financial institutions to the whole market and assess the impact of government bailouts on asset prices and systemic risks.(2)In the study of capital adequacy ratio,provision rate,leverage and liquidity,the current research on bank leverage progression is relatively few,and this paper introduces the bank leverage in the economic upside and down symmetry discussion.(3)In the case of risk early warning,we can not directly observe whether the financial system is in a state of crisis,but there are significant differences in the size of the financial stress index(used to measure systemic risk)under different state systems.The advantage of the Bayesian estimation method is that the change of the parameter distribution of the whole model can be considered and the efficiency of the model estimation is improved.The MSBVAR model and the simple zone transfer model are different from the inherent parameters of the data.