Research On Systemic Risk's Spillover Effects Of China's Insurance Industry

After the subprime crisis,the systemic risk and its prevention and control began to attract the strong attention from all walks of life.However,from the domestic and foreign studies,most of them focus on the banking industry,while the insurance industry,as an important part of the financial system,has not received enough attention.In fact,with the continuous innovation of the insurance business,the insurance industry has become more connected with other financial industries,and its status and influence have been constantly enhanced for the financial system as a whole.In the financial crisis,the fact that the multinational insurance institution--American international group(AIG)was on the verge of bankruptcy sounded an alarm for people,which forced people to re-examine the relationship between the insurance industry and systemic risk.Although Chinese insurance companies did not face the plight of failure in the storm of financial crisis,they still need to learn from the AIG incident.In recent years,financial liberalization and integration have greatly promoted the development of the insurance industry in China.The capital and scale of the insurance industry are constantly expanding,coupled with the reform of the insurance regulatory system and the relaxation of policies,the investment scope of insurance funds is gradually diversified,which makes the insurance industry more and more closely related to other financial industries and has a greater and greater impact on the entire financial system.Once major risk events occur in the insurance industry,the impact on other financial institutions and even the entire financial market is huge.Studying the spillover effect of systemic risk in China's insurance industry plays an important role in preventing and controlling systemic risk in the insurance industry and maintaining the stability of the financial market.Firstly,this paper sorts out the meaning of systemic risk and introduces the theory of systemic risk of the insurance industry in detail from the aspects of definition,causes,characteristics and spillover mechanism on the basis of relevant theoretical framework.Secondly,based on the CoVaR model of quantile regression,this paper uses the daily closing price of insurance companies listed in the mainland of China,shenwan insurance index,shenwan bank index,shenwan stock index and zhongzheng financial index to measure and analyze the systemic risk spillover effect of China's insurance industry from three perspectives: insurance company to insurance industry,insurance industry to other financial sub-industries and insurance industry to financial market.From the empirical results,it is found that VaR is more likely to underestimate the risk than CoVaR,CoVaR is a more effective method to measure systemic risk.In terms of the spillover effects of individual insurance institutions on the insurance industry,different insurance companies have different systemic risk spillover effects on the insurance industry,the main reasons for the differences are differences in equity structure,business scope,premium income and growth rate,and investment methods,moreover,this empirical method can be used to identify systemically important insurance institutions.Among the spillover effects of the insurance industry on other financial sub-industries,the systemic risk spillover effects of the insurance industry on different industries are different,the main reason for the differences is the difference in inter-industry correlation and dependence,moreover,the industries closely related to the insurance industry have a greater risk spillover effect.In addition,the insurance industry,as an important participant in the capital market,has a significant systemic risk spillover effect on the financial system.Finally,based on the conclusion of empirical research,policy suggestions for preventing and controlling the systemic risk of insurance industry are put forward from the perspectives of insurance institutions and regulators.