杠杆波动下系统性金融风险的识别研究

Study on the Identification of Systemic Financial Risks underLeverage Fluctuations

杠杆不稳定是系统性金融风险爆发的重要隐患,因而如何进行风险识别在金融动荡时期具有显著意义。为识别杠杆波动对系统性风险的直接影响及可能造成的风险内部溢出效应,首先选择时变参数结构向量自回归模型(SV-TVP-SVAR)识别杠杆波动对系统性风险的冲击效应,并结合中国几次“去杠杆化”政策时点进行补充分析,其次采用时变参数广义预测误差方差分解模型(Tvpdy)对杠杆波动下系统性风险内部溢出关联效应进行动态刻画。研究表明:一方面,杠杆波动对系统性金融风险存在异质性冲击影响,短期效应最为显著。近年来累积的外部市场与货币流动风险对宏观经济与资产泡沫风险起到周期性的抑制作用。其中,“扩内需”去杠杆举措可有效缓释当前存在的宏观经济与外部市场风险,而“防风险”措施则对整体风险的抑制效应较为稳健。另一方面,杠杆波动下系统性风险内部溢出效应明显。各子风险多为风险的净输入者,在经济过热或金融危机等杠杆异常波动时期,溢出效应较为显著。外部市场风险后期有显著抬升的趋势,而宏观经济风险溢出方向由输入向输出转变。

Leverage instability is an important potential for systemic financial risk outbreaks,and thus how risk identification is conducted is of significant importance in times of financial turmoil.This paper first selects a time-varying parametric structural vector autoregressive model(SV-TVP-SVAR)to identify the shock effects of leverage fluctuations on systemic risk,and complements the analysis with several“deleveraging”policy points in China.The generalized forecast error variance decomposition model(Tvpdy)is then used to dynamically characterize the internal correlation effect of systemic risk under the influence of leverage in order to analyze the“outside-in”risk movements under the influence of leverage.The study shows that,on the one hand,there is a heterogeneous shock impact of leverage volatility on systemic financial risk,with the most significant short-term effects.While external market and currency flow risks have accumulated in recent years,macroeconomic and asset bubble risks have been suppressed cyclically.Among them,the“domestic demand expansion”deleveraging initiatives can effectively mitigate the current macroeconomic and external market risks,while the“risk prevention”measures have a more robust dampening effect on the overall risks.On the other hand,the internal spillover effects of systemic risk under leverage shocks are significant.Each sub-risk is mostly a net importer of risk,and the spillover effect is more significant in periods of abnormal leverage volatility such as economic overheating or financial crisis.There is a significant tendency for external market risk to arise,while the direction of macroeconomic risk spillovers shifts from input to output.