The Impact of Asset Prices and Macro Leverage on Systemic Financial Risk
Large fluctuations in asset prices and rising macro leverage are prone to triggering systemic financial risks,and preventing the occurrence of systemic financial risks and maintaining the stability of the financial system are the focus of China's economic work.This paper selects the data from the first quarter of 2007 to the second quarter of 2022,con-structs the systemic financial risk index using principal component analysis,and further uses TVP-SV-VAR model to ex-plore the dynamic impact of asset prices and macro leverage on systemic financial risk in different periods.The study finds that:there is an interactive relationship between asset prices and macro leverage;the impact of asset prices on sys-temic financial risk shows a short-term negative effect and a long-term positive effect,and the impact of leverage on sys-temic financial risk shows a negative effect during the period of economic instability and a positive effect during the period of economic stability.
asset pricesmacro leveragesystemic financial riskTVP-SV-VAR model
万方数据
维普
