Measurement Of Systemic Financial Risk And Spillover Effects Of Financial Institutions In China

With the increasing uncertainty of external environment and the transition of domestic economic structure entering a critical stage,the downward pressure of the economy increases,the economic and financial development slows down,and the potential risk increases.The Nineteenth National Congress regards preventing and resolving major risk as one of the three key battles for building a well-off society in an all-round way.It also points out that "keeping the bottom line of non-occurrence of systemic financial risk" is the basic requirement for the safe and stable operation of China's economy and finance.Under this background,this paper measures the systemic financial risk and its spillover effect of financial institutions in China,and understands the risk status of financial institutions in China,which has a certain reference value for China's financial stability and healthy economic development.This paper defines the objectives and tasks of this study by reviewing the relevant research results of academic circles on systemic financial risk of financial institutions.Through theoretical analysis,the characteristics of systemic financial risk,the mechanism of generation and evolution,and the transmission mechanism of spillover effect are qualitatively analyzed.Then,it analyses the current situation of China's economic and financial development and systemic financial risk in the financial industry.Finally,it measures the systemic financial risk and its spillover effect of banks,insurance,securities and diversified financial institutions in China,by using the conditional value at risk(CoVaR)model based on quantile regression,and makes an empirical analysis of the influencing factors of spillover effect by using the panel regression model.The study finds that the overall risk of China's financial industry is in a relatively stable range,and the level of systemic financial risk and its spillover effect of financial institutions is at a high level in 2008,which has gradually stabilized in recent years.At this stage,the possibility of outbreak of systemic financial risk is relatively small;The level of systemic financial risk and spillover effect of different financial institutions is quite different.The results show that stock market returns,stock market volatility.short-term liquidity spreads and term spreads have great differences on the impact of systemic financial risk of financial institutions;The asset size of financial institutions is an important factor affecting the systemic financial risk spillover effect.The larger the asset size,the less the risk spillover effect.Leverage ratio and term mismatch have a significant impact on risk spillover effect of banking institutions.Term mismatch of insurance and securities institutions increases risk spillover effect to a certain extent,and leverage ratio of diversified financial institutions also has a certain impact on risk spillover effect.Finally,on the basis of the research conclusions and the existing problems in China's economic and financial development,policy recommendations are put forward from the aspects of improving the macro-prudential management framework,strengthening the supervision of systemically important institutions,and continuing to pay attention to the risk situation of securities institutions and diversified financial institutions.