| With the frequent occurrence of trade disputes between China and the United States and the widespread outbreak of COVID-19 around the world,the global economy has been severely negatively impacted.The downward trend of the economy has further aggravated the friction.With the rise of anti-globalization,uncertainty has gradually become a core feature of today’s world.As the world’s second-largest economy,China must pay attention to economic uncertainty when under the background of unprecedented changes in a century.At the same time,China’s economy has experienced rapid growth for more than 30 years.While economic growth has greatly improved the living standards of the people,it has also accumulated huge financial systemic risks.Through the analysis of several financial crisis events,it can be found that financial systemic risk will not only cause a complete collapse of the financial market but will also bring a huge negative impact to the macroeconomic.Therefore,preventing and dissolving financial systemic risk has become the key to China’s economic and social stability.From a global perspective,economic uncertainty and financial systemic risk are accompanied.On the one hand,economic uncertainty is the main obstacle to economic recovery from the financial crisis and the main reason for the economic recession（Bloom,2009;Benati,2013）.On the other hand,there is a mutual feedback loop between financial systemic risk and economic uncertainty（Claessens et al.,2009）.Therefore,studying the contagion and economic consequences of financial systemic risk from the perspective of economic uncertainty is an important topic under the current domestic and international dual-cycle development pattern.How to achieve an effective measurement of financial systemic risk?How to accurately understand China’s economic uncertainty and international economic uncertainty?How to examine the linkage effect of economic uncertainty and China’s financial systemic risk?Can economic uncertainty affect the dynamic balance mechanism of financial systemic risk and macroeconomic growth?This paper attempts to use systematic theoretical and empirical research to answer these questions and put forward policy recommendations.This paper will start from the characteristic facts of financial systemic risk and study the contagion and economic consequences of financial systemic risk under the background of economic uncertainty.Firstly,this paper measures financial systemic risk from three levels.The first level is based on the financial sub-markets within the financial system,which measures the extreme risk of each financial sub-market.The second level is based on the cross-market within the financial system,which measures the contagion effects of extreme risks among various financial sub-markets.The third level is based on the overall financial system,which measures the total spillover level of extreme risks in all financial sub-markets.Secondly,this paper defines economic uncertainty from the characteristics of non-lagging and unpredictable.This paper carries out relevant research on economic uncertainty based on economic policy uncertainty and unexpected event.Thirdly,this paper examines the dynamic spillover effects of economic policy uncertainty and financial systemic risk and analyzes the impact of emergencies on financial systemic risk contagion.Finally,this paper analyzes the conduction effect of economic uncertainty on the interaction between financial systemic risk and macroeconomic growth and constructs an overall research framework of financial systemic risk,economic uncertainty and macroeconomic.The specific structure of this paper is as follows:Chapter 1 is the introduction,which starts from the actual situation of the current domestic and international patterns and elaborates the reality of financial systemic risks and economic uncertainties.This chapter introduces the research background and significance of this paper.Based on the analysis of the relationship among economic uncertainty,financial systemic risk and macroeconomic growth,this chapter expounds the overall research ideas and methods of this paper and summarizes the research content and framework of this paper.Finally,the main innovations and shortcomings of this paper are summarized.Chapter 2 is the literature review.This chapter organizes the literature from the measurement and contagion of financial systemic risk,the source and economic consequences of financial systemic risk,the definition and measurement of economic uncertainty and the connection among economic uncertainty,finance and economy.This chapter summarizes the shortcomings of the existing literature and establishes research ideas for this paper.Chapter 3 measures China’s financial systemic risk.Firstly,this chapter uses the Conditional Autoregressive Value-at-Risk model to measure the extreme risk level of each financial sub-market in the financial system.Secondly,this chapter uses the Multivariate and Multi-quantiles Conditional Autoregressive Value-at-Risk model to explore the contagion relationship among various sub-markets and build an associated network of financial systemic risk.Thirdly,this chapter constructs a financial systemic risk spillover network based on the time-varying spillover index and calculates the total spillover level of the time-varying financial systemic risk to comprehensively analyze the characteristic facts of China’s financial systemic risk.Chapter 4 examines the linkage effects of China’s economic uncertainty and China’s financial systemic risk.This chapter analyzes the dynamic spillover effects between China’s economic policy uncertainty and China’s financial systemic risk based on Time-Varying Parameter VAR model.This chapter examines the causal relationship and the dynamic spillover effects between China’s financial systemic risk and China’s foreign exchange and capital account policy uncertainty,monetary policy uncertainty,trade policy uncertainty,fiscal policy uncertainty.In addition,this chapter uses the unexpected event of COVID-19 to examine the impact of economic uncertainty on China’s financial systemic risk contagion.Chapter 5 examines the linkage effects of international economic uncertainty and China’s financial systemic risk.Based on Time-Varying Parameter VAR model,this chapter examines the spillover effects of the US economic policy uncertainty on China’s financial systemic risk,as well as the spillover effects of the US economic uncertainty,global economic policy uncertainty,sovereign debt and currency crisis levels and other international economic uncertainty on China’s financial systemic risk.In addition,this chapter focuses on the characteristics of China’s financial systemic risk during the Sino-US trade friction in 2018 to analyze the impact of international economic uncertainty on China’s financial systemic risk contagion.Chapter 6 analyzes the internal mechanism of economic uncertainty,financial systemic risk and macroeconomic growth.This chapter uses the Time-Varying Parameter VAR model to construct a time-varying analysis framework and fully captures the linkage characteristics between China’s financial systemic risk and macroeconomic growth under the background of economic uncertainty.This chapter uses impulse response analysis to examine the impact of economic uncertainty on the relationship between China’s financial systemic risk and macroeconomic growth and provides a theoretical basis for the related policies.Chapter 7 is the conclusion and policy recommendations.By summarizing the empirical results,this chapter proposes targeted policy recommendations for preventing China’s financial systemic risk contagion and promoting steady growth of the macro economy.The main conclusions in this paper are:（1）Financial systemic risk indicators based on the Conditional Autoregressive Value-at-Risk model can effectively portray financial risk events and achieve an accurate measurement of China’s financial systemic risk.The contagion effects of China’s financial systemic risk are asymmetry and asynchronous.（2）The overall correlation of China’s financial systemic risk correlation network is relatively high.The money market and foreign exchange market have a relatively important position in China’s financial systemic risk correlation network and the higher breadth of risk contagion,which are closely connected to other financial sub-markets.At the same time,the total spillover level of China’s financial systemic risk is time-varying,which increases significantly during the period of risk events.The Shanghai and Shenzhen stock market and the real estate market are the main sources of risk in the financial system and have the higher depth of risk contagion,while the bond market and foreign exchange market are the main receivers of risk.（3）There is a time-varying mutual spillover effect between China’s economic policy uncertainty and China’s financial systemic risk,while there is only a one-way spillover effect between international economic uncertainty and China’s financial systemic risk.At the same time,there is a mutual spillover effects between China’s financial systemic risk and China’s foreign exchange and capital account policy uncertainty,monetary policy uncertainty,trade policy uncertainty,fiscal policy uncertainty.There are also mutual spillover effects between different economic policy uncertainties.（4）When conducting research based on the two emergencies of COVID-19 and Sino-US trade friction,it was found that rising economic uncertainty can change the contagion relationship of China’s financial systemic risk.After the outbreak of COVID-19,the Shanghai and Shenzhen stock markets,bond market and the real estate market have seen a significant increase in the net risk spillover value,which becoming the main source of risk contagion in the financial system.The currency market has changed from a risk exporter before the epidemic to a risk receiver,which is most impacted by the net risk spillover.In addition,the main exporters of risks during the Sino-US trade friction change from the foreign exchange market and energy market into the currency market,the Shanghai and Shenzhen stock markets and the bond market.The Hong Kong stock market and energy market are significantly impacted by the net risk spillover.（5）China’s financial systemic risk and macroeconomic growth can interact through the transmission of economic uncertainty when the impact and transmission effects are significantly different under different macroeconomic conditions.This paper also verifies that there is a dynamic balance mechanism among economic uncertainty,financial systemic risk and macroeconomic growth. |
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