关键词: 系统性风险, 外溢网状矩阵, 套利动机

Abstract: We use the latest SRISK method to measure the systemic risk of 605 financial institutions in G20 countries, and propose a high-dimensional time-varying parameter spillover-network matrix to identify the contagion path and source of global systemic risk. The study finds that the systemic risks of various countries show an obvious trend of strengthening and have strong synchronicity in times of crisis, especially the simultaneous surge of systemic risks in the period of COVID-19 spread. Developed financial markets such as Europe and America are more likely to become the source of global systemic risks. The US spillover index is significantly higher than that of other countries, and it is the main exporter of global systemic risks. On the contrary, the financial markets of emerging economies are less mature and open than those of developed countries so that most emerging markets play the role of risk absorbers. The empirical results based on the panel model show that the sudden stops of capital flows strengthen the spillover and absorption effects of international systemic risks. The arbitrage motivations of cross-border capital flows on interest and exchange are the two main channels affecting the contagion of global systemic risk. To be specific, the boom of bond market has triggered arbitrage of absorption effect and the spillover effect asymmetrically, and exchange rate appreciation enhances the spillover and absorption effects of systemic risk. In addition, the hedging motive has no effect on systemic risk contagion. One of the reasons may be that the stock markets of various countries are relatively closed compared with the bond markets, which will certainly cut off the influence of hedging behavior on the systemic risk contagion effect. Finally, based on the global research conclusions, the paper puts forward policy advice for China to prevent the impact of external systemic risks.

Key words: Systematic Risk, Spillover-network Matrix, Arbitrage Motivation