Research On Systemic Risk Spillover Effect Of China's Financial Sectors

The tremendous destructive power of many financial crises and other events on China's financial system has proved that it is more difficult to predict the extreme events beforehand.However,how to properly resolve or reduce the systemic damage caused by the crisis in the face of extreme events is something we can actually monitor and implement.Through in-depth analysis of the operation law of China's financial market and the risk linkage relationship among its financial departments,it is of great significance for China to prevent and reduce the cumulative risk of the entire financial system in a timely manner.Based on this,this paper starts from the change of the linkage relationship between financial markets,from the perspective of the leverage effect,threshold effect and dynamic change effect generated by the market's own fluctuations to China's banking,insurance and securities industries and China's financial The relationship between systems was studied.Specifically,based on the GARCH family of frameworks,this paper fits the distribution of conditions and the distribution of conditional heteroscedasticity in different financial markets under different distribution hypotheses.It explains the volatility aggregation effect existing in China's financial market and builds and measures the risk value and conditional risk value indicators in China's financial market.Through the analysis of relevant risk indicators combined with the fitting process of DCC dynamic changes,the average risk contribution of different financial sectors to China's financial system is analyzed and measured.The results show that,overall,China's banking system has the strongest anti-risk ability,followed by the insurance market,and the securities market's own anti-risk ability is the weakest.However,the financial institution/sector's ability to resist risks is not necessarily related to its risk spillover value for the entire financial system.Due to factors such as market share,barrier-to-entry barriers,and differences in individual market openness,the current insurance sector has the highest level of risk contribution to China's financial system,followed by the securities sector,and the banking sector has the lowest risk contribution.Therefore,when the macro economy suffers from downward pressure or other uncertainties between systems,the insurance industry is likely to become the triggerfor a systemic crisis in China.Based on this,this paper proposes a series of policy recommendations aimed at providing reference for the supervision and maintenance of the overall stability of China's financial system.