The Measurement Analysis Of Financial Risk Ripple Effect

With financial globalization,macrofinancial risk is a prominent topic in the fields of economy and finance.Macrofinancial risk is not only associated with financial fragility,macro stress test,default probability,expected loss,etc.,but also closely related to the flow of funds among institutional sectors.Therefore,it is of great significance to measure and analyze the financial risk ripple effects based on the funds flow accounting framework.This paper focuses on the topic of financial risk ripple effect based on the funds flow accounting framework,and follows the logical structure of "transaction item classification-financial risk ripple effect measurement-characteristic analysis-influencing factors" to conduct research.First,in terms of transaction item classification,based on the funds flow account data(financial transaction),this paper classifies transaction items according to the behavioural characteristics of the transaction subject,i.e.different financing methods.On the other hand,according to the data characteristics of the transaction item,the spectral clustering method is selected to classify transaction items.Secondly,based on the classification of transaction items,we construct a ripple effect model to measure financial risk based on the funds flow accounting framework,using the funds flow method and applying the Leontief inverse principle,and measure the financial risk ripple effect of transaction items with different financing methods and based on the classification of spectral clustering,respectively.In addition,this paper further analyses the time evolution characteristics of the financial risk ripple effect of different types of transaction items and different institutional sectors from 1992 to2022 in terms of total risk ripple effect,direct risk ripple effect and indirect risk ripple effect.Finally,a regression model is constructed to investigate the influencing factors of financial risk ripple effect under different types,different institutional sectors and different time periods.Based on the above research,this paper draws the following conclusions.First,the differences in the total financial risk ripple effect are mainly reflected in different stages and different institutional sectors.Specifically,from 1992 to 2022,the total financial risk ripple effect of different financing methods and based on spectral clustering show a constant fluctuating trend,but there is heterogeneity in the total financial risk ripple effect at different stages and in different institutional sectors.Second,from 1992 to 2022,the trend of financial risk ripple effect of different financing methods and transaction items based on spectrum clustering is consistent and fluctuating,and this trend is highly correlated with the trend of the number of funds used in China’s financial transactions.On the other hand,whether classified according to different financing methods or based on the spectral clustering method of transaction items,there is heterogeneity in the overall risk ripple effect of each institutional sector,and the heterogeneity is closely related to the function of each institutional sector.Third,there is heterogeneity in the time evolution characteristics of the financial risk ripple effect of different financing methods,and the heterogeneity is mainly reflected in the size and fluctuation trend.First,from 1992 to 2022,the total financial risk ripple effect of foreign financing type of transaction items is higher.Second,the financial sector suffers the largest direct risk ripple effect in 1992-2022.In addition,the indirect risk ripple effect is highest for foreign financing type transaction items in 1992-2022.Finally,the risk ripple effect decreases as the number of indirect ripple increases.Fourth,there is heterogeneity in the influencing factors of the financial risk ripple effect of different financing methods,and the heterogeneity is mainly reflected in the transaction items of different financing methods,different institutional sectors and different periods.First,there are differences in the factors influencing the financial risk ripple effect of different financing transaction items.Second,there are differences in the drivers of financial risk ripple across institutional sectors.In addition,there are differences in the influencing factors of the financial risk ripple effect in different periods.Finally,there are also differences in the factors affecting the impact of financial risks of different financing methods in different periods.Fifth,there is heterogeneity in the time-evolution characteristics of the financial risk ripple effects of transaction items classified based on spectral clustering,which is mainly reflected in the size and volatility trends.First,from 1992 to 2022,the total financial risk ripple effect of transaction items in the medium liquidity category is slightly higher.Second,the financial sector is exposed to the largest direct risk ripple effect in 1992-2022.In addition,the financial risk ripple effect is highest for the medium liquidity category of transactions over the period1992-2022.Finally,the risk ripple effect decreases as the number of indirect ripples increases.Sixth,there is heterogeneity in the factors affecting the financial risk ripple effect of transaction items classified based on spectral clustering,and the heterogeneity is mainly reflected in different liquidity transaction items,different institutional sectors,and different time periods.Specifically,first,there are differences in the factors influencing the financial risk ripple effect of transaction items in the weak,strong and medium liquidity categories.Second,there are differences in the factors influencing the financial risk ripple effects across institutional sectors.In addition,there are differences in the factors affecting the financial risk ripple effect of transaction items in different periods.Finally,there are differences in the factors affecting the ripple effect of financial risk across different liquidity transactions over time.The results of this paper are of great significance.First,this paper measures the financial risk ripple effect in China from the perspective of fund flow accounting,which is of great significance for the accurate analysis of the financial risk ripple effect.Secondly,this paper classifies the transaction items according to the behavioural characteristics of the transaction subjects and the data characteristics of the transaction items,and then measures the financial risk ripple effect of different types of transaction items,which helps to understand the funds correlation relationship between different types of transaction items and the financial risk ripple effect,and to better understand the operating law of the financial system.In addition,this paper measures the financial risk ripple effect of different types of transaction items from 1992 to2022 and analyses their time evolution characteristics,which helps to reveal the trend of the financial risk ripple effect of different types of transaction items,understand the cycle of the financial risk ripple effect of different types of transaction items and formulate corresponding policies.Finally,this paper studies the influencing factors of the financial risk ripple effect of different types of transaction items,which helps to deeply understand the influencing factors of the financial risk ripple effect of each type of transaction items,and provides an important reference for proposing a more targeted risk supervision policy.Based on the above theoretical and empirical findings,this paper makes four suggestions.First,to meet international standards,improve fund flow statistics and enhance comparability with other countries’ fund flow statistics.Second,accurately measure and fully understand the ripple effects of financial risks,establish a comprehensive financial risk monitoring and early warning system,and strengthen financial regulation.In addition,financial innovation should be encouraged,the financial structure should be optimised,and statistics and monitoring of financial instruments should be strengthened in order to reduce the ripple effects of financial risks.Finally,measures or policies should be implemented in accordance with the functions of the institutional sectors.