Endogenous or Imported Financial Risks:Tracing the Risks of China's Financial Markets Back to Their Origins
Against the backdrop of intensifying uncertainty in the international financial market and increasing pressure in the domestic financial market,in order to prevent and resolve financial risks and maintain a stable and healthy economic en-vironment,it is necessary to adhere to the equal importance of preventing imported financial risks and resolving endogenous fi-nancial risks,and to focus on preventing and resolving major risks.This paper selects the stock market,bond market,foreign exchange market and commodity market as the representative sub-markets of the financial market,and adopts the tail spillover index decomposition method to measure the endogenous and imported financial risks of China's financial market,and clarifies the structure of the sources of risks in China's financial mar-ket.The main conclusions of this paper are as follows.Firstly,China's financial market risk is very sensitive to extreme events,and rises significantly when major financial shocks,trade friction events,and public health events occur.Secondly,the propor-tion of imported financial risk is greater than that of endogenous financial risk,the change of the risk of China's financial mar-ket is mainly driven by imported financial risk in the normal state,and by endogenous financial risk in extreme states.Thirdly,under normal circumstances,the input financial risk of international foreign exchange market and commodity market to China's financial market is more significant than that of international stock market and bond market,but under extreme circumstances,the input financial risk of international stock market and bond market is significantly higher.Based on the above findings,this paper puts forward the following policy recommendations.On one hand,the regulatory authorities should make targeted judgements on the main sources of risks in China's financial markets under different financial states,especially the sources of imported financial risks,and take necessary measures to block the channels of external risk in-put.On the other hand,the regulators should fully consider the cross-border information spillover effect between and among different types of financial markets,pay attention to the cross-risks between China's financial markets and international finan-cial markets,and adjust risk monitoring and control in due course.
Endogenous Financial RiskImported Financial RiskFinancial MarketsTail Spillover Index Decomposi-tion
NETL
NSTL
万方数据
