Research On The Measurement And Regulation Of Our Country’s Systemic Financial Risk

The outbreak of the financial crisis in 2008 and its continuing extension indicate that the traditional micro-prudential supervision is deficient in terms of preventing systematic financial risks and it can not effectively maintain the financial stability. While the macro-prudential regulation that aims at controlling the systematic financial risks begins to get more attention. It’s becoming the consensus of the financial regulators all over the world to focus on systematic financial risks and maintaining macro financial stability. At the same time, although the financial system of China remains stable and free from the systematic and regional financial risks during the international financial crisis, however, this does not mean that there are no systematic risks therein. On the contrary, in the recent years, the macroeconomic structural contradictions becomes increasingly prominent, the potential risk of monetary liquidity appeares gradually, the credit expands excessively, the financial institutions have significant homogeneity in management, local government financing platforms remain high debt level, real estate credit risk accumulates, the international capital flows frequently, the prices of stocks and real estate fluctuate remarkably, and the regulatory gaps and arbitrage problems caused by the separate regulation system and the integrated operation and innovation of financial institutions are likely to trigger a wide range of systematic financial risk. Therefore, the further study of the current systematic financial risks in our country does not only conforms to the trend of the international community, but also has a strong practical significance in preventing the systematic financial risks and building the macro-prudential regulatory framework.This paper aims at supporting the construction of the macro-prudential regulation framework and the regulation of systematic financial risk in China based on the macro-prudential perspective. With a brief introduction to the macro-prudential regulation theory, this paper will focus on elaborating the concept, characteristics, formation mechanism and the specific forms of systematic financial risk. This paper will also construct a comprehensive evaluation system that consists of 28 indicators of four aspects of risks-the macroeconomic, the banking system, the international impact and the asset bubble-based on the comparison of the domestic and foreign systematic financial risk measure methods with a deep look into the current situation of the systematic financial risks in China. Through the measurement of the systematic financial risk from 2000 on of our country with the factor analysis method, this paper provides a prediction of the financial stability conditions from 2014 to 2016 based on ARMA model and tests the conclusions with practical data afterwards. The results show that the financial stability situation of China could be roughly devided into four stages since 2001, namely, rapid increasing stage of financial stability index (2001-2003); rapid decreasing stage of financial stability index (2004-2007); shockly increasing stage of financial stability index (2008-2012) and rapid decreasing stage of financial stability index (after 2013), and predict that the level of the systematic financial risk of China will further increase in the future. Therefore, it is necessary to construct a regulatory framework of systematic financial risks in China by considering the refferible lessons of foreign experience and practices.This paper is divided into six chapters as follows:Chapter Ⅰ-Introduction. This part mainly introduces the background and significance of the thesis, the domestic and foreign literature review, the research methods and ideas as well as the innovations and deficiencies of this thesis.Chapter Ⅱ-The Theoretical Introduction of the Macro-prudential Regulation and Systematic Financial Risks. As the theoretical basis of this paper, this chapter elaborates the concept, characteristics, formation mechanism and specific forms of the systematic financial risks in detail.Chapter Ⅲ-The Current Situation and Measurement of the Systematic Financial Risks in China. This part constructs a comprehensive evaluation system that consists of 28 indicators of four aspects of risks-the macroeconomic, the banking system, the international impact and the asset bubble-based on the analysis of the current situation of the systematic financial risks in China, the comparison of relevant research methods and the reference of current comprehensive evaluation systems. Besides, this part will measure and predict the financial stability index of China with the factor analysis method and a ARMA model and test the conclusions with practical data afterwards.Chapter Ⅳ-The International Practice and Enlightenment of the Macro-prudential Supervision of Systematic Financial Risks. This chapter mainly reviews the practices of several major developed economic entities (i.e. US, UK and EU) in strengthen the macro-prudential regulation of systematic financial risks, summarizes the similarities and differences between them and point out some experiences that we can learn from to strengthen our own.Chapter Ⅴ-Suggestions to the Construct the Macro-prudential Regulatory Framework of Systematic Financial Risk in China. This part will provide some suggestions to better construct our macro-prudential supervision framework of systematic financial risk based on the reference of the foreign experience and practices, the current situation of China and the results of the empirical analysis in this paper.Chapter Ⅵ-Conclusion and Outlook. This chapter summarizes the core ideas of the whole paper and provides some new directions for future researches.