Research On Systematic Risk Communication

The US subprime mortgage crisis happened in 2007, and in a very short period of time evolved into a global financial crisis. It is widely recognized in the world that in the past micro-prudential risk supervision measures for individual financial institutions were not comprehensive and cannot maintain the stability of the entire financial system. Therefore,systematic risk has become the focus of attention of academic circles and relevant supervisory authorities. Although China was less affected by the financial crisis, Chinese regulators are still in the initial stage of research on how to construct the overall regulatory framework to guard against systemic risks through macro-prudential tools,and the theoretical research is more scarce.Researching the process and influence of systemic risk transmission, the logical thinking is "theoretical analysis of financial systematic risk transmission mechanism,the influence of financial systematic risk transmission in DSGE model, empirical study of financial system risk transfer effect, based on risk transmission and the status quo of China's financial supervision".In terms of theoretical analysis, this paper,based on the Dynamic Stochastic General Equilibrium (DSGE) model, which is a rich dynamic equilibrium model in macroeconomics, constructs a four-sector model, including family,firm, central bank and financial institution. About empirical analysis, this paper select the impact effect, study its impact on the financial system, macroeconomic and systemic risk transmission, and illustrate its impact on the real economy through the changes. The results show that the physical economy has not been effectively improved after the three stages of systemic financial risk. Changes in indicators based on capital adequacy ratios also confirm that financial friction and capital flows in the interbank market and bank capital markets amplify and disseminate impact effects,but the macroeconomic volatility of the real impact of financial shocks can be reduced and mitigated through regulatory requirements.The conclusion shows that raising the capital adequacy ratio and implementing the classification supervision will have different effects on the fluctuation of the economic and financial system. Therefore, banks with different capital adequacy should be differentiated to be guided to optimize the business structure and reduce the financial risks. In order to effectively prevent and curb systemic risk transmission, we need to pay attention to the macroeconomic effect of capital supervision, refine the classification of bank capital requirements regulation, combined with China's actual choice of appropriate macro-prudential tools for systemic risk transfer regulation.