金融行业间的系统性金融风险溢出效应研究  

A CoVaR Research on Spillover Effect of Systemic Financial Risk between Financial Sub-sectors

作　　者：陈建青[1] 王擎[2] 许韶辉 

机构地区：[1]中国社会科学院经济研究所 [2]西南财经大学中国金融研究中心 [3]中诚信国际信用评级有限公司

出　　处：《数量经济技术经济研究》2015年第9期89-100,共12页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金(71473200);四川省软科学计划(2014ZR0202);四川省社科规划项目(SC14B085);中央高校基本科研业务费专项资金(JBK130501;JRXT20130913);四川省教育厅高校科研创新团队项目(TD0050)资助

摘　　要：系统性金融风险的研究一直是理论界和实务界探讨的热点。本文构建静态及动态CoVaR模型,对我国金融行业间的系统性金融风险溢出效应,包括风险边际溢出效应及风险总溢出效应,进行实证分析。研究表明,金融行业间的系统性金融风险溢出效应具有正向性及非对称性;当金融风险加剧时,存在增强循环链和减弱循环链;从动态走势来看,在正常风险水平下,我国金融行业间的风险溢出效应与市场繁荣程度正相关,但在金融危机前期维持较高水平。Study of systemic financial risk has always been a hot issue in the theory circle and practical realm. Based on the theoretical analysis, combining the characteristics of the system spillovers between financial sub-sectors, this paper builds two analysis models, Co- VaR and R-CoVaR, to analysis the spillover effects of systemic financial risk under different levels empirically from the static and dynamic dimensions. The results show that： The spill-over effects of systemic financial risk between financial sub-sectors are posmve and non-sym- metry The spillover effects of systemic financial risk between financial sub-sectors changes regularly in the direction and the extent in different economic situations The degree of the risk spillover effects of the financial sub-sectors is positive correlatively with the economic prosperity under the normal risk level, but it remains stability under the extreme risk level. All of these provide an amount of references for the construction of systemic risk warning system and the prevention of the systemic financial risks.

关 键 词：金融风险 溢出效应 CoVaR模型 审慎监管 

分 类 号：F832.59[经济管理—金融学]