系统性金融风险再认知

Revisiting Financial Systemic Risks

本文将系统性金融风险划分为内生型、外生型和混合型3类,重点讨论内生型系统性金融风险的特征刻画。认为内生型系统性金融风险的发生可归因为一些具有快速膨胀性、超额收益性、无实质进步性和汇聚性等特征的“关键性风险要素”积聚膨胀所导致,进而给出了其演化模型和度量形式。最后,在本文的理论框架下解读了房地产泡沫是我国经济的一类关键性风险要素。

This paper classifies systemic financial risks into three categories, i.e., endogenous risks, exogenous risks, and mixed risks. It proposes a theoretic framework to depict the endogenous systemic financial risk. It argues that the occurrence of endogenous systemic financial risks can be attributed to the accumulation and expansion of some idiosyncratic “key risk factors”, which have the characteristics of rapid expansion, excess return, no substantive progress and convergence. It gives a mathematical formulation to illustrate the evolution of the endogenous systemic financial risk model and a new formula to measure the risk. Finally, taking the real estate industry as an example, it demonstrates that the bubble in real estate market can be interpreted as the key risk factor in China’s economy.