Optimal Scale and Allocation of China's Financial Stability Guarantee Fund:Analysis Based on Unexpected Losses in Macroeconomic Sectors
The financial stability guarantee fund is an important tool for achieving and main-taining financial stability within the strategic background of becoming a financial power.In this study,the macro contingent equity balance sheets of the financial sectors,government depart-ments,non-financial corporate sectors,and household sectors from 31 provinces in China,be-tween 2008 and 2020,were used as the research data.A Macro Value at Risk(VaR)model was a-dopted to measure the unexpected losses in the market value of assets and liabilities for each re-gion and department,allowing us to estimate the optimal scale and allocation of the financial sta-bility guarantee fund for comprehensive coverage of major risk exposures.The results show that the optimal relative scale of the fund,from large to small,is government departments,non-finan-cial corporate sectors,household sectors,and financial sectors.In addition,we found significant differences in the scale of the non-financial corporate and household sectors between regions.The relative scale in the eastern regions was smaller,while that in the western regions was larger.As a public sector,government departments have a responsibility of implicit guarantee for other e-conomic entities and ultimately bear the financial risk.However,they are not compensated by oth-er sectors.Hence,they are the"last line of defense"for financial stability.To ensure the preven-tion and minimization of financial risk and to maintain financial stability,the allocation of funds should be determined based on the target scale of risk adaptation,to better achieve effective allo-cation at multiple levels and sub-sectors,ultimately forming a comprehensive and multi-level allocation system.
financial stability guarantee fundbecoming a financial powerhousemacro bal-ance sheetmacro value at risk
NETL
NSTL
万方数据
