“强监管”与“去杠杆”双重约束下我国系统性金融风险的演化机制及其监控研究

In recent years, as our country gradually carrying out some new polices, such as enhanced regulatory and “deleverage” , financial “strong regulatory” and “deleverage” have been the core logic of financial market volatility, and then become the key factors to the evaluation process of systemic financial risk, including “formation → build-up → contagion and diffusion → state-switching → outbreak”. By considering some extreme risk events, such as stock market crash and bond market abnormal fluctuations, the project will systematically analyze the statistical characteristics and behavior characteristics of systemic financial risk during the financial “strong regulatory” and “deleverage” period with event study method and behavior financial theory. The state evolutionary process of systemic financial risk will be clarified by use of complex network and Markov state-switching theory, and the evolution mechanism models of systemic financial risk under the dual-constrain of financial “strong regulatory” and “deleverage” polices will be constructed based on two perspectives of financial cycle and liquidity, respectively. Finally, the multiple risk regulators’ dynamic incremental decision model will be designed by using mechanism design theory, and then the supervise-control system of systemic financial risk, which conforms to the polices of financial “strong regulatory” and “deleverage”, will be established in view of financial system stability. All of the above study will help us to prevent and defuse systemic financial risk in a more scientific and effective way, and to maintain the stability and development of financial system.

近年来，随着我国逐步强化监管和实施“去杠杆”等新政策，金融“强监管”与“去杠杆”业已成为金融市场波动的核心逻辑，进而成为影响系统性金融风险“生成→积聚→传染与扩散→状态转换→爆发”等系列演化过程的关键因素。本项目将结合本轮“股灾”、债市异常波动等极端风险事件，运用事件研究法和行为金融理论分析金融“强监管”与“去杠杆”新时期系统性金融风险的统计特征和行为特征；采用复杂网络与Markov状态转换理论厘清系统性金融风险的状态演化过程，分别从金融周期和流动性两个分析视角构建金融“强监管”与“去杠杆”双重政策约束下我国系统性金融风险的演化机制模型；最后，利用机制设计理论建立多元风险监控主体的动态渐进决策模式，从而基于金融系统稳定视角建立符合金融“强监管”与“去杠杆”政策的系统性金融风险监控体系，旨在更加科学、有效地防范与化解系统性金融风险，维护金融系统的稳定发展。

近年，在我国实施金融“强监管”与“去杠杆”政策的背景下，数字经济和新冠肺炎疫情等重大事件使得我国经济环境面临诸多不确定性，防范和化解系统性金融风险具有重要意义。本项目主要研究内容如下：首先，通过构建市场流动性新指标，分析了金融杠杆、货币政策等宏观因素影响市场流动性风险的状态转换特征、时变影响特征及周期联动特征，并基于市场信心指数揭示货币政策影响房价风险的行为特征；其次，采用动态CoVaR模型、EVT-Copula模型等方法测度了金融市场及金融行业的系统性金融风险水平，在犹豫直觉模糊信息环境下构建不确定性分析框架以提出风险测度新方法；同时，从状态转换机制、风险传导与溢出机制和时变影响机制揭示系统性金融风险的动态演化机制，并结合MS-VAR、TGARCH-Copula-CoVaR模型、TVP-SV-SVAR模型等方法对其演化机制进行实证检验，尤其是关注新冠肺炎疫情对系统性金融风险演化过程的影响；最后，构建中国金融稳定综合指数和“双支柱”调控政策耦合协调度指数，分析“双支柱”政策协调的金融稳定效应，并以数字经济为背景分析数字金融对区域金融风险、区域金融稳定的影响效应。