Abstract:In this article, a new financial risk measurement, Systemic Financial Risk Index(SFRI) was proposed. Further, on the basis of measuring China's systemic financial risk in recent decades,the dynamic impact of financial risk on business and financial cycles are empirically analyzed with non-linear models.It is revealed that(1) China's systemic financial risk gathers rapidly and scatters rather slowly, and is closely connected with financial system and macroeconomy;(2) the change of financial risk affects financial market and macroeconomy in a non-symmetric way, the increasing of SFRI draws negative impact on finance cycle which is significantly stronger than that of the positive impact drawn by its decreasing,while it affects business cycle in a much weaker as well as time-varying pattern;(3)the growth of financial risk exerts non-linear impact on financial market and macroeconomy,negative impact observed in the high regime is far more severe than that in low regime, besides, its impact on financial cycle is stronger than business cycle in all regimes.The mentioned results could provide new empirical basis and beneficial policy enlightenment for the establishment of financial risk alarming system and probable improvement of macro-prudential policy.

Keywords: Systemic Financial Risk  Market Activity  Resonance Intensity  Business Cycle  Financial Cycle