统计与信息论坛

为了研究外部风险输入对中国金融稳定的影响，首先利用全球股票市场的日频交易数据，采用网络关联度模型构建了全球金融风险溢出网络，并基于该网络对中国面临的外部风险输入进行了量化。然后，从传染性的视角出发，从市场、行业和机构的角度测度了中国系统性金融风险，并对外部风险输入和中国系统性金融风险的静态结构和演化动态进行了讨论。最后，采用分位数对分位数方法(Quantile-on-Quantile Approach)进行实证分析，研究了全球金融风险溢出对中国系统性金融风险的影响在两者不同分位点上的差异。研究发现，在极端分位点上，内外风险的共振较为剧烈，而在较为温和的分位点上，这种共振的强度较弱。基于研究结果，监管部门可提高系统性金融风险监测的实时性与有效性，以防范外部风险输入引发的国内风险的共振。

As economic and financial globalization continues to deepen, the degree of financial interconnectedness among countries has significantly increased, thereby a complex financial network system is constructed.To analyze the impact of external risk factors on the financial stability of China, this article utilizes the network connectedness model to investigate the overall level, static structure, and dynamic evolution of the global financial risk contagion network across various periods.Furthermore, systemic financial risk is measured in China from the perspectives of financial markets, financial industries and financial institutions.The quantile-on-quantile approach(QQA) is employed to analyze the impact of global financial risk spillovers on China's systemic financial risk across different quantile levels.Findings of the research are as follows:(1) Sudden events in the economic, financial, and political spheres tend to elevate the overall level of global financial risk spillover.(2) Developed countries are often net sources of risk spillover, whereas developing countries are primarily net recipients of risk.China frequently assumes the role of a risk recipient during periods of heightened global financial risk.(3) China's systemic risk level is influenced by a combination of domestic and international factors.The risk from the perspective of financial institutions is relatively stable, followed by the perspective of financial markets.The perspective of financial industries exhibits higher volatility.(4) Regression analysis indicates that when both global financial risk and China's systemic financial risk are at relatively low levels, the spillover from global financial risk quickly pushes China's systemic financial risk into a “Steady-state risk zone”.However, if both levels continue to rise, domestic systemic risk escalates sharply, leading to significant internal and external risk resonance.Historically, due to the absence of a severe financial crisis in China, the impact of external risk shocks is significantly mitigated by a series of interventions from decision-making departments.Effective policy interventions help the domestic financial system return to the “Steady-state risk zone”.Based on these findings, several countermeasures and suggestions are put forward:(1) Financial regulatory authorities should closely monitor factors that could trigger resonance in China's domestic financial market during periods of high-risk fluctuations in the international financial market and implement interventions to prevent the spread of panic.(2) Regulatory authorities should devise tailored control strategies to mitigate the adverse externalities of risk spillovers, thereby minimizing potential threats to the financial system.(3) Given the complexity of systemic financial risk, regulatory authorities should integrate real-time monitoring results of systemic financial risk levels to enhance the efficiency of systemic financial risk management.