Financial Risk Contagion And The Choice Of Monetary Policy

After the international financial crisis,the supervision of systemic financial risks has gradually been put on the agenda.Keeping the bottom line where systemic financial risks do not occur has become an important prerequisite for China's financial risk supervision.In view of this,this paper first uses the systemic financial risk index srisk proposed by Acharya et al.To describe the systemic financial risk level of 43 listed financial institutions in the banking,securities and insurance industries of China.Then,based on panel Granger causality test and panel VAR model,it is verified that there is cross infection in financial risk contagion among financial sectors in China,and its contagion intensity is affected by the size of assets in each financial sector.Bank and securities sector are the two sources of risk,while insurance sector is the receiver of financial risk release.On the basis of the above research,the panel threshold regression model is used to investigate the effect of monetary policy on the inhibition of systemic financial risk.The results show that: first,under different liquidity levels,different monetary policies have threshold effect on the inhibition of systemic financial risk.Second,under the current level of China's real liquidity,the independent implementation of the price type or quantity type monetary policy has no significant impact on the risk level.Only by tightening the macro Prudential policy and strengthening the macro prudential supervision can it take effect.Third,the premise of the combination of price-based or monetary policy and macro prudential supervision is to reduce the level of liquidity to the effective range.If the liquidity is reduced to 45.66%-46.16%,tight price-based monetary policy and loose macro prudential supervision should be adopted,or tight quantitative monetary policy and loose macro prudential supervision should be adopted;if the liquidity level is not reduced to the effective range More than 45.66%,we should use loose quantitative monetary policy and loose macro prudential supervision to be effective.Finally,combined with the system importance,financial risk contagion and liquidity threshold effect,the paper puts forward policy suggestions with empirical support for China's systemic financial risk prevention and control.There are two main innovations in this paper: first,the contagion of financial risk is introduced into the analysis framework of risk contagion to explore the ability of risk release between different financial sectors;second,the level of liquidity is introduced to explore the threshold effect of different monetary policies on systemic financial risk in China and further summarize and analyze different levels of liquidity Secondly,the implementation of different monetary policies and the matching choice with macro prudential supervision.