基于时变Copula模型的系统流动性风险研究  

Systemic Liquidity Risk Estimation Based on Time-varying Copula Model

作　　者：高波[1] 任若恩[2] 

机构地区：[1]北方工业大学理学院 [2]北京航空航天大学经济管理学院

出　　处：《国际金融研究》2015年第12期85-93,共9页Studies of International Finance

基　　金：国家自然科学基金(71171009;71031001);北方工业大学优秀青年教师培养计划(14085);北方工业大学2014科研启动费资助

摘　　要：系统流动性风险指在短期债务展期或获得新的短期债务时,多个金融机构同时面临困难,造成货币市场和资本市场普遍混乱的风险。它是一类具体的系统性风险,直接源于金融市场的资金供给不足。本文引入时变Copula模型研究系统流动性风险,刻画不同市场的流动性风险的动态相关关系,并且运用边际预期损失比较它们对系统流动性风险的贡献。实证分析2005-2014年的中国货币市场,我们发现时变t Copula模型能够更加准确地描述流动性风险的动态相关结构,并且回购市场对系统流动性风险的贡献高于拆借市场。因此,当系统流动性风险增加时,中央银行应该优先增加在回购市场的资金投放。Systemic liquidity risk refers to the risk that many financial institutions face simultaneous difficulties, when they roll over short-term debts and obtain new short-term funds, which results in the widespread dislocations of money and capital markets. It is a kind of concrete systemic risk, and directly origins from the insufficient funds provided to the financial market. The paper introduces time-varying copula model to study the systemic liquidity risk, and analyzes the dynamic correlation of the liquidity risk in different markets, and uses marginal expected shortfall to compare their contribution to the systemic liquidity risk. Through empirically analyzing China＇s money market from 2005 to 2014, we find time-varying t copula could describe the dynamic correlation structure of liquidity risk more precisely than other copulas, and the repo market contributes to systemic liquidity risk more than the interbank offer market. Therefore, when systemic liquidity risk increases, the central bank should provide more funds in prior in the repo market.

关 键 词：系统流动性风险 融资流动性 时变Copula模型 GAR-CH-GPD模型 风险价值 

分 类 号：F831[经济管理—金融学]