重大外部冲击如何影响系统性金融风险传染

新世纪以来,高频次的重大外部冲击严重威胁着我国社会经济安全与金融稳定。鉴此,从时间及频域多维度考察上述冲击下系统性金融风险的跨市场传染,对风险防控具有重要意义。本文以关联性时频域分解法为基础,结合复杂网络模型,通过分频域的风险溢出网络拓扑,揭示了股灾、经贸摩擦、新冠病毒感染疫情等事件下我国股票、能源、黄金、债券、货币、外汇六个金融子市场间的风险传染路径及特征。研究发现:(1)重大外部冲击下系统性风险水平出现显著提升,股票市场与能源市场为主要净风险溢出者;(2)通常重大外部冲击下的短期系统关联性最高,中期、长期依次降低,但在某些事件下,中期关联性可能高于短期;(3)不同时期风险在各金融子市场间的传染路径不同,同时最大风险溢出方也会发生变化。鉴此,本文提出了审慎管理相关金融风险,加强风险市场识别,依据金融子市场特点分类施策,分时期重点管理,完善重大外部冲击下的系统性金融风险应急管理防控体系等政策建议。

Since the beginning of the new century,high frequency major external shocks have seriously threatened China's social and economic security and financial stability.In view of this,it is of great significance for risk prevention and control to investigate the cross-market spillover of systemic financial risks under the above shocks from multiple dimensions of time and frequency domain.Based on the time-frequency domain decomposition method of connectedness,combined with a complex network model,this paper analyzes the path and characteristics of risk contagion among six financial sub-markets of China's stock,energy,gold,bond,currency,and foreign exchange under frequent external shocks such as stock market disasters,economic and trade frictions,and COVID-19.The study found that,(1)The level of systemic risk increased significantly under major external shocks,and the stock market and energy market are the main net risk spillovers.(2)The short-term system connectedness after the occurrence of frequent major external shocks is usually the highest,the medium-term and the long-term decreased successively,but under some events,the medium-term correlation may be higher than the short-term.(3)The paths of risk contagion among financial sub-markets are different in different periods,and the markets with the largest risk spillover will also change.Therefore,this paper puts forward some policy suggestions on prudent management of systemic financial risks,strengthening the identification of risk markets,classifying and implementing policies based on the characteristics of financial sub-markets,focusing on management in different periods,and improving the emergency management and prevention system for financial systemic risks under major external shocks.