The Formation Mechanism of Systemic Financial Risk under External Shocks  

作　　者：FANG Yi JING Zhongbo 

机构地区：[1]School of Finance,Central University of Finance and Economics,Beijing 100083,China [2]School of Management Science and Engineering,Central University of Finance and Economics,Beijing 100083,China

出　　处：《Frontiers of Economics in China-Selected Publications from Chinese Universities》2023年第2期198-243,共46页中国高等学校学术文摘·经济学（英文版）

摘　　要：By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper constructs systemic risk indicators suitable for analyzing multiple rounds of contagion under different shocks(time dimension)and from institutions and assets(spatial dimension).Indicators that measure the indirect relevance between institutions and between assets are also innovatively built.It is found that due to deleveraging or bankruptcy among a large number of banks,the systemic risk exhibits an upward trend marked by intermittent jumps under varying intensities of shocks.Risks are generated mainly through the fire sales contagion mechanism of deleveraging under small shocks,and through the bankruptcy contagion mechanism under large shocks.In terms of influencing factors,a stronger indirect relevance,a lower leverage skewness and a higher leverage level in the banking system lead to higher risks.In particular,the influence of leverage skewness on systemic risk is stronger than that of leverage level.

关 键 词：systemic financial risk external shock banking supervision direct contagion indirect contagion 

分 类 号：F832[经济管理—金融学]