区制转换视阈下系统性风险的积聚、释放与化解——基于投资者情绪驱动的视角

Accumulating,Releasing and Defusing of Systemic Risk in Capital Market on the View Threshold of Regime Switching--Based on Investment Sentiment Driving Effect

防范与化解系统性风险是全面推进金融治理能力建设的重要任务,而资产价格泡沫突破阈值的快速破裂容易诱发系统性风险。本文从风险的积聚与释放过程的角度诠释了资本市场系统性风险的生成逻辑与演化路径,构建了非线性MS-VAR模型检验投资者情绪与资产价格泡沫的内在驱动机制与区制转换效应。研究发现:投资者情绪与资产价格泡沫的内在驱动机制并不必然导致系统性风险,我国资本市场处于低风险状态的持续期较长,泡沫的膨胀区制易于向破灭区制迁移,监管部门应构建符合我国自身特点的风险应急治理机制,放慢风险释放的速度,延长风险释放的时间,及时应对非预期冲击引起的风险状态转换。

Prevention and resolution of systemic risk is the most important task of China advancing comprehensively financial management and governance capacity building.However,when asset price bubble rapidly breaks the threshold,systemic risk can easily break out instantaneously easily.This paper reinterpreted generation logic and evolutive path of systemic risk in capital market from the perspective of the process of accumulating and releasing of risk,and then established MS-VAR model empirically examined internal driving mechanism between investment sentiment and asset price bubble and regime switching effect.The study finds that internal driving mechanism between investment sentiment and asset price bubble doesn’t necessarily lead to systemic risk.China’s capital market is in the state of low risk for a long period of time,but bubble transfers easily from expansion regime into burst regime.Therefore,our country’s regulatory authorities should build risk emergency governance mechanism in line with China’s own characteristics,slow down the speed and extend the duration of risk release and deal with the risk state transition caused by unexpected shocks.