The Impact of Major Public Emergencies on Systemic Financial Risk
As the world enters a period of high incidence of major public emergencies and downward economic pressure increases,preventing and defusing financial risks and maintaining financial stability are issues that cannot be ignored.The dynamic stochastic general equilibrium model(DSGE)takes the maximization of the interests of each micro subject as the starting point,so that the macro analysis has a micro foundation,and it can better portray the dynamic relationship between the exogenous shock variables and the endogenous variables.A New Keynesian dynamic stochastic general equilibrium model(NK-DSGE)is constructed including financial intermediation sector,Bayesian estimation of relevant parameters using real gross domestic product,total retail sales of consumer goods,consumer price index from 1995 Q1-2021 Q4,and total factor productivity shock,major unexpected public event shock and monetary policy uncertainty shock as the external shocks,the impact of major unexpected public events on systemic financial risk is explored,and the regulatory effects of the basic Taylor rule and the macroprudential monetary policy rule are analyzed.The results show that:(1)The occurrence of major emergencies further increases the level of systemic financial risk by influencing the lending rate to rise,increasing the cost of financing for manufacturers and then shrinking the credit scale,which makes the bank leverage ratio rise;(2)The macro-prudential monetary policy,which takes the liquidity of the credit market and the leverage ratio of the bank as the signaling source,performs better in responding to monetary policy shocks,and help achieving the policy objectives of stabilizing growth and preventing policy objectives of risk prevention;(3)Increased monetary policy uncertainty will bring about a reduction in output,investment,etc.,exacerbating systemic financial risk volatility in the economic system,and macroprudential monetary policy can reduce the volatility caused by monetary policy uncertainty.Based on the above findings,the policy recommendations are as follows:Firstly,strengthen attention to the process of mutual transmission between the real economy and financial risks when major public emergencies occur,and clarify the transmission path of systemic risks between the financial market and the real economy after major public emergencies occur.Secondly,In the event of major public emergencies,it is still necessary to continue to play the role of traditional monetary policy tools,and at the same time to strengthen the use of new monetary policy tools,focusing on identifying and finding the most appropriate macroprudential rules for the current economic environment of China's signaling sources.Finally,Further strengthen the transparency of monetary policy and the communication with the public in macroeconomic policies,and adhere to the bottom line of avoiding systemic financial risks.
major public emergenciessystemic financial riskmacroprudential policiesmonetary policy uncertaintyNK-DSGE
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NSTL
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