Research On Debt Cycle And Systematic Risk Of Stock Market

After the US subprime mortgage crisis in 2008,the federal funds rate fell to between 0 and 0.25%,and the Fed released a large amount of liquidity four times before and after the "QE".China,following its own economic considerations,followed closely with the "4 trillion yuan" stimulus plan and opened a new round of debt cycles.During 2009-2016,China's macro leverage ratio has increased year by year.As of 2016,China's credit-to-GDP ratio gap(BIS,BIS survey)reached a record high of 29%,far exceeding the safety level of 10%.To solve a series of problems caused by high debt,to maintain the bottom line without serious systemic risks.China has successively launched a series of policies such as de-leveraging and stable leverage to try to reduce the macro debt ratio to reduce the potential risks caused by high debt.During this period,every policy change and fluctuations in macro leverage have caused extensive fluctuations and adjustments in China's stock market.This paper mainly studies the relationship between the debt cycle and the systemic risk of China's stock market,and attempts to study the impact mechanism of the debt cycle on the systemic risk of the stock market.This paper is based on the data collected by the author from December to May 2018,based on the existing literature,using the ratio of credit to GDP ratio and M2 as the measure of debt level,and adopting the current mainstream financial cycle.The determination method determines the debt cycle.In the measurement of the systemic risk of the stock market,this paper not only uses the classic ? value as a measure,but also uses the current industry's more streamlined and simpler correlation coefficient(p value)to measure.The empirical results show that the debt level has a significant positive relationship with the systemic risk of the stock market,and the credit-to-GDP ratio gap increases by 1%.The systemic risk of the stock market will increase by about 1%-4%.In addition,the paper also divides the debt cycle into the rising phase,the falling phase and the stationary phase,and finds that the debt level has the greatest impact on the stock market systemic risk in the falling phase,followed by the rising phase and the weakest phase.Finally,this paper attempts to analyze the impact mechanism of the debt cycle on the systemic risk of the stock market from the perspectives of investment efficiency,financing difficulty and investor sentiment.The conclusion reached at the end of this paper is that in the process of deleveraging,China should be based on moderate de-leverage,and should not be too hasty.Always pay attention to changes in corporate fundamentals and investor sentiment.Do not blindly leverage to avoid affecting investment and financing decisions of enterprises.This has increased the systemic risk of China's stock market In addition,the fluctuation of the debt cycle should be appropriately ironed to avoid the debt level falling rapidly or rising for a long time,which leads to investors'optimism or pessimism,which in turn increases the systemic risk fluctuation of China's stock market.