全球系统性金融风险溢出与外部冲击

Global Systemic Financial Risk Spillovers and their External Impact

国际金融危机的冲击引发了各国对系统性金融风险的广泛关注以及监管机制的重新审视,"太大而不能倒"的传统原则正向"太关联而不能倒"的新理念转变。采用"有向无环图技术方法"以及网络拓扑分析方法,从网络关联视角考察全球系统性金融风险的动态演变,以及全球金融市场的风险走势发现,中国内地金融市场为风险溢出的净输入者,64%的全球波动溢出规模使得系统性金融风险具有明显的跨市场传染效应。为保持中国金融市场的稳定与安全,宏观审慎风险防范机制应该考虑"太关联而不能倒"的监管理念。

The impact of the global financial crisis sparked widespread concern across the world about systemic financial risk and led to the re-examination of regulatory mechanisms.The traditional principle of“too big to fail”is changing to a new idea:“too connected to fail.”We use“directed acyclic graph technology”and network topology analysis to examine the dynamic evolution of global systemic financial risk and the risk trends in global financial markets from the perspective of network association.Our findings show that financial markets in Chinese mainland are net importers of risk spillovers and that systemic financial risk has a clear cross-market contagion effect due to a global volatility spillover scale of 64 percent.To maintain the stability and security of China’s financial markets,consideration should be given to the regulatory precept of“too connected to fail”in establishing macro-prudential risk prevention mechanisms.