|
|
|
| Systemic Financial Risk and Real Economic Activity in China |
| HE Qing, QIAN Zongxin, LIU Wei
|
China Financial Policy Research Center & School of Finance, Renmin University of China;
China Construction Bank |
|
|
|
|
Abstract Using principal components quantile regression(PCQR) method, we construct a systemic financial risk index that includes institution-specific risk, comovement effect as well as volatility, liquidity and credit. The empirical results indicate that our index is able to accurately predict the distribution of subsequent shocks to the macroeconomy. The bank and credit system is the major channel, through which the systemic financial risk influences the real economy. Our result also suggests that China’s systemic financial risk is rising significantly. Preventing systemic risk and maintaining the stability of credit should be China’s first priority in macroeconomic policies.
|
|
Received: 14 June 2017
Published: 01 November 2018
|
|
|
|
|
| [1] |
李政、梁琪和涂晓枫,2016,《我国上市金融机构关联性研究——基于网络分析法》,《金融研究》第8期,第95~110页。
|
| [2] |
李志辉、李源和李政,2016,《中国银行业系统性风险监测研究——基于SCCA技术的实现与优化》,《金融研究》第3期,第92~106页。
|
| [3] |
梁琪、李政和郝项超,2013,《我国系统重要性金融机构的识别与监管——基于系统性风险指数SRISK方法的分析》,《金融研究》第9期,第56~70页。
|
| [4] |
陶玲和朱迎,2016,《系统性风险的监测和度量》,《金融研究》第6期,第18~36页。
|
| [5] |
肖璞、刘轶和杨苏梅,2012,《相互关联性、风险溢出与系统重要性银行识别》,《金融研究》第12期,第96~106页。
|
| [6] |
Acharya, V., L.Pedersen, T.Philippon, and M.Richardson, 2016, “Measuring Systemic Risk,” Review of Financial Studies, 30, 2~47.
|
| [7] |
Adrian, T. and M.Brunnermier, 2016, “CoVaR”, American Economic Review, 106, 1705~1741.
|
| [8] |
Allen, L., T.Bali and Y.Tang, 2012, “Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?” Review of Financial Studies, 25, pp.3000~3036.
|
| [9] |
Billio, M., A.Lo, M.Getmansky and L.Pelizzon, 2012, “Econometrics Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors,” Journal of Financial Economics,104, pp.535~559.
|
| [10] |
Bisias, D., M.Flood, A.Lo, S.Valavanis, 2012, “A Survey of Systemic Risk Analytics,” Office of Financial Research Working paper.
|
| [11] |
Borio, C., 2003, “Towards a Macroprudential Framework for Financial Supervision and Regulation?,” BIS Working Paper, No.128.
|
| [12] |
Brownlees, C. and R.Engle, 2017, “SRISK: A Conditional Capital Shortfall Measure of Systemic Risk”, Review of Financial Studies, 30(1), 48~79.
|
| [13] |
Clark, T. and K.West, 2007, “Approximately Normal Tests for Equal Predictive Accuracy in Nested Models”, Journal of Econometrics,138, pp.291~311.
|
| [14] |
Financial Stability Board, 2009, “Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments: Initial Considerations,” Report to G20 Finance Ministers and Governors.
|
|
|
|
