Transmission of Shocks in a Network of Inter-linked CCA Balance Sheets
基于中国宏观金融资产负债表数据，构建部门级双边风险暴露网络，模拟局部冲击如何通过资产负债表传染导致整体金融脆弱性上升，并分析金融市场波动加剧系统性风险的过程。
Based on China's macrofinancial balance sheet data,a risk-based network of sector-level bilateral exposures is constructed to explore how and how fast a local shock can cause a general increase in financial vulnerabilities. Through simulation exercises,the paper first examines how balance-sheet contagion affects the risk indicators of all sectors and how increased financial market volatility further drives systemic risk higher.The simulations also show that increase in sector-level risk exposures causes drop in risk-based value of bilateral exposures and thus demonstrate the transmission of risk along the network of inter-linked CCA balance sheets.In addition,the empirical evidence of risk contagion is provided to illustrate the impact of the recent financial crisis on China's macrofinancial stability.