國民經濟學seminar      

系統性金融風險與金融監管

Systemic Risk and Financial Regulation          時間：2017年4月18日12:00-14:00          地點：中國人民大學明德主樓729會議室          主講人：邵琛婕 （美國史蒂文斯理工學院金融工程博士）          內容提要：              在最近二十年間，國際上分別發生了亞洲金融危機，俄國金融危機、巴西金融危機以及美國金融危機等。接連不斷的金融危機引發了學者對金融系統穩定性的反思。2010年7月，美國國會制定了多德弗蘭克法案，設立了金融系統穩定性監管協會和金融研究所。系統性金融風險被廣泛認為是金融系統穩定性研究的重要內容。              講座將從三個層次，梳理系統性金融風險的效應：第一個層次是“金融傳染性”，其表現形式是公司、行業或者體系如多米諾骨牌一樣的倒閉效應；第二層次是“金融杠桿”，通過租借加杠桿的方式購買資產的順周期效應；第三個層次是“損失額度”，即倘若系統危機事件發生，可能引發損失的效應。在理論闡述之后，講座將從實踐層面上，講解全球不同國家和地區的系統性金融風險，以及中國潛在的系統性金融風險的根源。          ABSTRACT：              Over the last 20 years, there have been significant concerns about the stability of financial systems, underlined by the East-Asian financial crisis, the Russian financial crisis, the Brazilian financial crisis, the United States financial crisis, etc. Systemic risk has been widely accepted as the fundamental underlying concept for the study of financial instability. In July 2010, the U.S. Congress enacted the Dodd Frank Wall Street Reform and Consumer Protection Act. The Dodd Frank Act created the Financial Stability Oversight Council (FSOC) and Office of Financial Research (OFR). Nowadays systemic financial risk is widely regarded as the important content of the financial system stability study.              The seminar will firstly introduce a literature review of systemic risk from three different angles. The first perspective is “contagion”, a particularly strong propagation of failures from one institution, market or system to another. The second one is “leverage”, generally referred as any technique involving the use of borrowed funds in the purchase of an asset to make profit. Many researchers find the existence of procyclicality of leveraging effect through the recent boom and crisis. The third perspective is “losses”, which describes the potential losses if a systemic event occurs. In the following, the seminar will mainly focus on systemic risk of the practices of different countries, and discuss the root of potential systemic risk in China.          嘉賓介紹：              Chenjie Shao is PhD candidate, department of financial engineering, school of systems & enterprises, Stevens Institute of Technology. Her research interests is financial engineering and systemic risk, macroeconomics and macroprudential policy, etc. url: https://www.linkedin.com/in/shao-chenjie-8505a321          
         
         Conference papers:            Shao, Chenjie & Khashanah, Khaldoun (2015), “The Macroeconomic Effects of Bank Affiliated Mortgage Companies on the Business Cycle”, the 2016 China Economist Society North America Annual Conference in Sarcremento, CA, US. Shao, Chenjie & Khashanah, Khaldoun (2016), “Monetary and Macroprudential Policy Rules in a DSGE Model with Bank Affiliated Mortgage Companies”, the 2017 Scottish Economic Society Annual Conference in Perth, Scotland, U.K..            Shao, Chenjie & Khashanah, Khaldoun (2017), “The Originate-to-Distribute Model and Macroprudential Policy”, the 2017 Canadian Economic Association Annual Conference in Antigonish, Nova Scotia, Canada.      
 
      Working papers:            Yang, Hanchao; Khashanah, Khaldoun; Shao, Chenjie & Liu, Yan (2016), “Multi-Scale Economic Dynamics: The Micro-Macro Wealth Dynamics and the Two-Level Imbalances of the Euro Crisis”, Computational Economics (submitted).      
                           中國人民大學經濟學院