中美系统性金融风险及内部传染效应比较研究

A Comparative Study on the Systemic Financial Risk and Internal Contagion Effect between China and the United States

金融市场日趋复杂要求对系统性风险的防范不仅要考虑"太大而不能倒",更要兼顾"太关联而不能倒"。从银行、证券、外汇、地方政府债务和房地产市场五个维度,分析中美两国系统性风险及内部各子市场间的传染效应。结果显示,近年来中美两国系统性金融风险由"背离"向"趋同"转化。其中,美国主要表现为"U"型波动特征,中国则整体呈上升态势;中国系统性金融风险经历了由"均衡主导"向"非均衡主导"的转变,当前突出表现为银行、地方政府债务与房地产的"三重主导",美国则长期以银行市场风险为主导;中国的风险内部传染效应低于美国,且中美两国内部子市场的风险中自身产生的风险逐渐减弱,而由内部传染效应引致的风险却愈演愈烈。

As the financial market becomes more and more complicated, it requires us to prevent systemic financial risks by considering not only "too big to fail", but also "too connected to fail". This paper analyzes the systemic financial risks both in China and the United States and the risk contagion effects between each of their internal submarkets from five dimensions, including banking, securities, foreign exchange, local government debt, and real estate markets. The results show that in recent years, the systemic financial risks of China and the U.S. has changed from "divergence" to "convergence". The change of the U.S. is characterized by a "U" type of volatility, while China has shown an upward trend in general. China’s systemic financial risk has experienced the transition from "balanced dominance" to "unbalanced dominance", which is currently highlighted by the "triple dominance" of bank, local government debt and real estate, while the systemic financial risk of the U.S. has been dominated by bank market risk for a long time. China’s systemic financial risk has a low internal contagion effect compared with that of the U.S., and the risks in both the two countries arising from each of the internal submarkets have been gradually diminished, while the risks caused by internal contagion effects have been greatly intensified.