| The Asian financial crisis in 1997,the sub-prime mortgage crisis in the US in 2008 and the European sovereign debt crisis in 2011 have made people gradually realize that systemic risks have great impact on financial stability and real economy.Therefore,the measurement,transmission and prevention of systemic risk is becoming more and more important,which has also aroused the attention of our government.At the 2018 National Financial Work Conference,it was pointed out that it is an eternal task for financial work to prevent the occurrence of financial systemic risks,and we should work hard to guard against and defuse major risks.Because the systematic risk exists the concealment,as well as the market mechanism itself characteristic,causes the systematic risk to accumulate unceasingly in the financial economic activity.Therefore,the study of systemic risk measurement,transmission mechanism and influencing factors on the prevention and governance of systemic risk has important reference significance.In quantifying the size of systemic financial risk.Firstly,based on James Thomson's narrow definition of systemic risk from the perspective of spillover risk,this paper uses the Co Va R method proposed by Adrian Brunnermeier to measure systemic risk,that is,when a financial institution when the loss of other financial institutions caused by the loss(spillover risk).Secondly,in the aspect of data processing,due to the factors of data availability and stability,this paper divides thefinancial system into four main organizations: Bank,securities,insurance and trust,the comprehensive rate of return for each type is determined by a logarithmic difference.Finally,we calculate and simulate their respective risk index(Var)by the obtained return rate,and then use the multivariate conditional heteroskedasticity model under the Vector autoregression to fit the spillover effect between them(Va R-dcc-mgarch),then the contribution of systemic risk and systemic risk are calculated.First,through the Percy Grainger causality test and the orthogonal impulse response function,we find that the banking industry has a positive impact on the insurance,securities and trust industry,the trust industry is impacted by other financial industries,and the insurance industry is impacted by securities industry.Second,when fitting their spillover effects by the multivariate conditional heteroscedasticity model,we found that the correlation between banking and insurance is the highest,the dynamic correlation Coefficient is as high as 0.716,and the volatility memory among the four types of financial institutions is strong.And the size of the spillover effect between them in this way: Banks,securities,insurance,trust.Thirdly,Covar and contribution of systemic risk calculated by individual risk and spillover effect show that although the spillover risk of banking industry to the system is large,the extreme case is relaxed with the decrease of confidence level,compared with other financial institutions,the risk of spillover decreases more,whichshows that the banking industry is the core of the financial system and has the function of consolidating the stability of the financial system.In terms of studying the factors that influence systemic risk.The four types of financial institutions' systemic risk will be estimated,and the panel data of four types of financial institutions(2010-2018)will be constructed by selecting the macro-and micro-indicators that affect the systemic risk factors.And come to some important conclusions.First,we should pay attention to the institution with higher risk,because it not only generates higher systemic spillover risk,but also has less ability to resist systemic risk.Second,each institution should strive to run its own company and make its own business more profitable and solvent,as this will not only reduce its own risks but also enhance its ability to resist systemic risks,but it should not be ignored that the better the performance of the enterprise its systemic spillover risk is also greater.Third,in the construction of systemic risk early warning indicators empirical analysis found that the system risk of solvency and leverage ratio factors,in the case of a lag,still have a significant impact on the current period.However,the profitability of the previous period has no significant impact on the release and resistance to systemic risk.Fourthly,the fluctuation of the last period will stabilize the release of the current period's systemic risk,and the self-risk of the two lag periods will stabilize the current period's resistance to the systemic risk,which showsthat the fluctuation of the equity capital market among the financial sectors has certain periodicity.Fifthly,at the macro level,we find that the inflation in the last period will weaken the ability of resisting the systemic risk,and the appreciation of RMB will restrain the occurrence of the systemic risk. |
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