新发展格局下,坚持防范输入性金融风险和化解内生性金融风险并重是维护我国金融稳定的关键,准确识别并测度两类风险是实现这一目标的重要前提。本文采用尾部溢出指数分解法测度了中国金融市场的内生性金融风险和输入性金融风险水平,厘清了不同经济金融环境下中国金融市场的风险来源结构。研究发现：第一,中国金融市场风险对极端事件十分敏感,当重大金融冲击、贸易摩擦事件和公共卫生事件发生时,市场风险明显上升。第二,从风险来源结构来看,输入性金融风险占比大于内生性金融风险,且正常状态下中国金融市场风险变化主要由前者主导,而极端状态下中国金融市场风险变化主要由后者主导。第三,正常情形下,相较于国际资本市场,国际外汇市场和商品市场对中国金融市场的输入性金融风险更加显著,但在极端情形下,国际资本市场的输入性金融风险显著提高。

Against the backdrop of intensifying uncertainty in the international financial market and increasing pressure in the domestic financial market, in order to prevent and resolve financial risks and maintain a stable and healthy economic environment, it is necessary to adhere to the equal importance of preventing imported financial risks and resolving endogenous financial risks, and to focus on preventing and resolving major risks.
This paper selects the stock market, bond market, foreign exchange market and commodity market as the representative sub-markets of the financial market, and adopts the tail spillover index decomposition method to measure the endogenous and imported financial risks of China's financial market, and clarifies the structure of the sources of risks in China's financial market.
The main conclusions of this paper are as follows. Firstly, China's financial market risk is very sensitive to extreme events, and rises significantly when major financial shocks, trade friction events, and public health events occur. Secondly, the proportion of imported financial risk is greater than that of endogenous financial risk, the change of the risk of China's financial market is mainly driven by imported financial risk in the normal state, and by endogenous financial risk in extreme states. Thirdly, under normal circumstances, the input financial risk of international foreign exchange market and commodity market to China's financial market is more significant than that of international stock market and bond market, but under extreme circumstances, the input financial risk of international stock market and bond market is significantly higher.
Based on the above findings, this paper puts forward the following policy recommendations. On one hand, the regulatory authorities should make targeted judgements on the main sources of risks in China's financial markets under different financial states, especially the sources of imported financial risks, and take necessary measures to block the channels of external risk input. On the other hand, the regulators should fully consider the cross-border information spillover effect between and among different types of financial markets, pay attention to the cross-risks between China's financial markets and international financial markets, and adjust risk monitoring and control in due course.