Research On China’s Financial Systemic Risk From The Perspective Of Common Shocks

In the related research on systemic risk,scholars have focused on systemic risk caused by risk contagion.They generally believe that the capital business relationship between financial institutions and the construction of complex financial network system are the basic path of risk contagion.In 2008,the US subprime mortgage crisis broke out all over the world,and spread rapidly all over the world,causing worldwide financial turmoil.The subprime mortgage crisis shows the new characteristics of the joint impact of risks.In a relatively short period of time,the financial institutions all over the world suffer serious risk shocks at the same time.The characteristics of systemic risks in subprime mortgage crisis are quite different from those of the risk contagion,this proves that systemic risk caused by common shocks is also worthy of attention,and it also exposes the blind spot of micro prudential supervision system for systematic risk supervision.Under the background of the "new normal" of economic development at the present stage,the potential systemic risk factors in China’s real economy and financial sector are constantly accumulating,once the financial crisis triggered by the common shocks,it will seriously threaten the security of China’s financial and real economy.It is necessary and important to identify and measure the systemic risk of China’s financial sector,and to perfect and further develop the macro supervision system in China,so as to strengthen the risk prevention and control and the comprehensive supervision of financial institutions.Common shocks can be derived from specific risks of an industry,a public information event that affects investor confidence,or a common macroeconomic factor that all companies need to face.Compared with the risk contagion,there is no causality line constructed by the relationship between creditor and debtor of financial institutions in the process of the evolution and diffusion of common shocks,and the risk is less related to counterparty risk,but mainly related to the common risk exposure of the portfolio held by the financial institutions.Because every company is faced with some specific risk factors,and during the economic crisis,these potential risk factors will show up in some way,thereby causing a greater negative impact on the stock price,and the biggest negative impact by the financial institutions will be the first to close down.In recent years,in all of the financial crisis,the subprime crisis is the most prominent one showing a common shocks characteristics,so this article to the subprime crisis as an important time node,taking into account the risk contagion effect at the same time,mainly from the common shocks impact angle,studied the conduction and the change of Chinese systematic risk of financial sector after the outbreak of the subprime crisis.This paper mainly uses the extreme value theory and Copula function,from 2000 to 2016 and the United States China a number of financial stock indexes,pathway of systemic risk to the China and the US banking system in the studied.The lower tail correlation coefficient between the calculation Chinese inside,inside the United States and the United States,the empirical results show that,after the subprime crisis,affecting the common impact on systemic risk between China financial sector the more significant than direct infectious.The results of this study indicate that,after the outbreak of the subprime crisis,financial assets hedging behavior makes the degree of correlation between Sino US financial sector is greatly reduced,financial institutions hold each asset positions and other business contacts have a contagion effect,which may cause the financial crisis relatively small.On the contrary,with the Chinese economic growth showed a "new normal",and China more and more deeply involved in international financial affairs and financial institutions Chinese possibility of systemic risk exposure resulted in common shocks in also improved significantly.In addition to the China financial regulators need to further improve the micro prudential supervision,to cope with the possibility of the risk of infection,should as soon as possible to improve the framework of macro prudential supervision,strengthen financial supervision of the homogenization of the product,to prevent systemic risk caused by a common shock.For the excessive pursuit of cross-border financial supervision,and the "lender of last resort" to provide unrestricted liquidity support to the entire banking system,there is a need for further consideration.