宏观金融风险联动综合传染机制

摘要

本文分步骤、分层次的解析了系统性／金融危机酝酿及演化过程中，宏观金融风险在各类因素推动下加速增高的具体机制——风险联动综合传染机制。同时利用我国2000-2008年系统性宏观金融数据①实证分析了风险传染的现实状况和不同实现机制。文章旨在从更为全面的角度分析：宏观经济／金融脆弱性的演变机制及局部性负面冲击升级演变为系统性危机的轨迹和速度。%Based on China＇s macrofinancial balance sheet data, a risk-based network of sector-level bilateral ex- posures is constructed to explore how and how fast a local shock can cause a general increase in financial vul- nerabilities. Through simulation exercises, the paper first examines how balance-sheet contagion affects the risk indicators of all sectors and how increased financial market volatility further drives systemic risk higher. The simulations also show that increase in sector-level risk exposures causes drop in risk-based value of bilateral ex- posures and thus demonstrate the transmission of risk along the network of inter-linked CCA balance sheets. In addition, the empirical evidence of risk contagion is provided to illustrate the impact of the recent financial cri- sis on China＇s macrofinancial stability.