基于关联溢出与金融安全的中国系统性风险研究

Research on systemic risk in China based on correlation spillover and financial security

基于国家“防范系统性风险,维护金融安全”的战略需求,从关联溢出和金融安全等多维度视角研究我国系统性风险衡量的评价体系,这是传统测度中缺乏全景式衡量框架的重要完善。通过多主体多阶段的一般均衡模型及涵盖我国金融经济各个层面的宏微观数据的实证分析,从金融部门的关联性角度讨论了系统性风险并进行相关测度。提出了相对独立且涵盖不同维度的系统性风险计算方法,并发现金融部门之间的溢出相关性对系统性风险的影响作用巨大,房地产市场潜在的价格泡沫在未来可能带来较大风险隐患,我国当前的政策工具并未实现很好的治理。金融安全是一个更全局考虑系统性风险治理的国家战略与政策安排,也是研究强调的重要政策含义。

Based on the strategic needs of"preventing systemic risks and maintaining financial security",this paper studies the evaluation system of systemic risk measurement in China from multi-dimensional perspectives such as correlation spillover and financial security.It is an important improvement of the lack of panoramic measurement framework in traditional measurement.The study builds the multi-agent and multi-stage general equilibrium model and the related empirical models to discuss the sensitivity parameters leading to systemic risk.An important contribution of this paper is to give a relatively independent systemic risk calculation method covering different dimensions.The important findings of this paper are that the spillover correlation between financial sectors has a great impact on systemic risk,the potential price bubble in the real estate market may bring greater risks in the future,and the current policy tools in China are not well managed.Financial security is a national strategy and policy arrangement that considers systemic risk governance,which is the important policy meaning of this article.