系统性金融风险文献综述:现状、发展与展望

A Literature Review of Systemic Risk:Status,Development and Prospect

防范风险是我国金融业的永恒主题。如何有效应对金融系统的异常波动、缓释国际市场的外部冲击、精准处置重点领域风险,仍将是我国“十四五”期间的重要任务。本文分别基于系统性金融风险的有效测度、传染溢出、驱动因素、前瞻预测,以及其与宏观经济的相互作用关系、风险调控政策与政策的有效性、监管理念发展等不同视角,对272篇国内外顶级(权威)文献进行了全面、深入的梳理与总结,并展望该领域的重点研究方向,从而为我国构建金融风险防控长效机制、完善“双循环”新格局下的金融监管体系提供参考,以牢牢守住不发生系统性金融风险的底线,推动经济社会高质量发展。

Summary:Risk prevention is the eternal theme for the financial sector,which also makes systemic risk a major issue worth investigating at this stage.This paper provides a comprehensive and in-depth review on 272 articles published on top journals based on the perspectives of measurements,contagions and spillovers,driving factors,forecasting,macro-finance linkages,risk control policies and their effectiveness,and the developments of regulatory principles.First,we summarize the definitions of systemic risk proposed in related literature and find that preventing and controlling systemic risk is essential for maintaining financial stability.Section 2 evaluates the exiting systemic risk measurements which are grouped based on the perspectives of portfolio analysis,tail dependence,joint default probabilities,network analysis,and composite indicators.We further comment on the merits and drawbacks of each category.As shown in section 3,studies on systemic risk contagion and spillover suggest that changes and shocks experienced by a single financial institution or market will quickly spread to other institutions and other markets through inter-sectoral linkages,thus triggering systemic crisis.Aside from theoretical analyses,we also document empirical studies on the contagion of systemic risk from three perspectives.In section 4,we review a large collection of literature to identify driving factors of systemic risk.One strand of literature looks at micro-level sources of systemic risk.Another strand of literature ascribes systemic risk to macro-level factors like macroeconomic status.Two strands of literature concerning about systemic risk forecasting are discussed in section 5.A family of papers aim to promote early warning system against systemic risk by employing methods such as signal extraction and logit regression.Alternatively,other studies try to utilize information from systemic risk series to predict corporate financial distresses and macroeconomic recessions.Then,this paper surveys the literature on macro-finance linkage in section 6,showing that there are mutual interactions between real economy and financial system.With advances in the research of this field,the“curse-of-dimensionality”problem in traditional models was circumvented with mixed-frequency methods.Based on an overview of the literature focusing on monetary,micro-prudential,and macro-prudential policies in section 7,we analyze how these policies reduce or drive financial risks and investigate the effectiveness of risk control policies.Furthermore,section 8 also relates to regulatory principles such as“too-big-to-fail”,“too-connected-to-fail”,“too-central-to-fail”,and so forth.At last,with a coverage of the latest studies on climate finance,FinTech,and public emergencies,we look into the major research focuses which are derived from the risk characteristics of China during the transition to high-quality economy.This paper thereby provides references for constructing a comprehensive and multi-level financial risk prevention and control mechanism to firmly hold the bottom line of no systemic risk and enhance the high-quality economic and social development.