Structural Analysis Of Systematic Financial Risk Transmission

The subprime mortgage crisis that broke out in 2008 not only made domestic and foreign scholars pay attention to "systemic financial risks",but also greatly affected the mainstream financial risk theory system that emphasizes risk contagion,revealing the shortcomings of traditional financial crisis prevention..In the theoretical study of financial risk,the infective channel of systematic financial risk has been concerned by scholars at home and abroad,but the new characteristics of the subprime mortgage crisis indicate that another channel for forming and disseminating systemic financial risks--common shock The channel is also worthy of attention.Studying the structure of systemic financial risk from the perspective of the common risk factor at the macro level,not just from the perspective of risk contagion,is necessary to prevent and avoid large-scale financial crisis.Contagion has always been regarded as the only channel for the spread of systemic risks,but after some years of research on the financial crisis,some foreign scholars have proposed another channel for the spread of systemic risk--common shock channel.Among them,Monika Trapp and Claudio Wewel(2013)believe that common shocks are mainly from information events that affect public confidence,such as Enron's fraud scandal,the risks specific to an industry,the risks of the petroleum industry in the last century,and all economic institutions.At the same time,macroeconomic factors such as inflation are also faced or the common risk exposure of financial assets.Compared with the risk contagion effect,there is a creditor-debtor relationship between institutions.Under the common shock channel,the inter-institutional credit and debt relationship basically does not exist.Due to the homogenization of financial institutions' assets,the assets or assets held by financial institutions Common risk exposures have spawned a common impact channel for risk.There is not much research on the common shock in China.Therefore,this paper wants to verify from the empirical point of view whether the common shock is one of the main components of systemic risk in the Chinese market.This paper combines extreme value theory and Clayton Copula function to demonstrate two aspects:(1)whether there is a common shock in the systemic risk of existing financial institutions,and whether it is dominant;(2)systemic risk of financial institutions The spillover effect of the real economy.This paper mainly selects the daily closing price of the Dow Jones Financial Index,the SSE Industry Index and the Shenzhen Stock Industry Index from January 2005 to June 2018.After processing and logarithmization,the lower correlation coefficient of the internal financial industry in China is obtained.The correlation coefficient between Chinese and American financial institutions,the next correlation coefficient between China's financial industry and the real industry,and the next correlation coefficient between Chinese and American entities,measure and compare the internal growth rate of risk and increase the transmission of infection.speed.Studies have shown that during the subprime mortgage crisis,the common impact diffusion channel is the main channel for transmitting systemic financial risks in China's financial market,and the proportion of infection chaunnels is not high.On the other hand,the empirical results also show that the degree of linkage between financial institutions and the real economy is lower than that within the real economy,which means that the impact of financial institutions such as banks on the real economy is exaggerated.This shows that it is necessary to conduct prudential supervision from the macro level.In the organizational model,the central bank is the dominant macro-prudential supervision institution;in the content construction,the counter-cyclical system should be placed at the core position,and the monetary policy and regulatory policy should be Balance,realize the effective combination of macro and micro prudential supervision,weaken the economical procyclicality;strengthen the innovative research of macro-prudential monitoring tools on tools and means,pay attention to the homogenization of assets,and encourage direct financing.