普惠金融体系下互联网金融风险溢出效应研究  

The Spillover Effect of Internet Financial Risk under Inclusive Financial System

作　　者：朱宝[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《广西财经学院学报》2017年第1期78-85,共8页Journal of Guangxi University of Finance and Economics

基　　金：教育部高等学校博士学科点专项科研基金项目(2011061110023)

摘　　要：互联网金融作为普惠金融体系的重要组成部分,研究其风险性对全面推进我国普惠金融发展具有重大意义。基于ARMA-GARCH族-Co Va R模型测度了互联网金融对我国银行业以及整个资本市场风险溢出效应,结果发现互联网金融自身风险价值较低,与银行业存在着正向、非对称的双向风险传递,且银行业对互联网金融的风险溢出效应要远远大于互联网金融对银行业的风险溢出值。就整个金融市场而言,互联网金融风险对于整个系统性风险贡献度并不高。未来监管部门应当给予互联网金融宽松的发展环境,出台适当性政策引导互联网金融向普惠方向发展,从机构监管拓展为功能监管。同时监管部门要密切关注行业之间的风险溢出效应,及时有效地防范整个金融市场系统性风险。Internet finance is an important part of inclusive financial system. To study the risk of Internet finance is of great significance for the promotion of China＇s inclusive financial development. In this paper, based on the ARMA- GARCHs -CoVaR model,the author measures the risk spillover effect of Internet finance on China＇s banking industry and the whole capital market. It is found that the Internet financial risk value is low and the banking industry risk has a two-way positive asymmetric transfer; the banking risk spillover effect on Internet finance is far greater than the Internet finaaice on banking risk spillover value; the Internet financial risk is not high to the systemic risk for the whole capital market. In the future, the regulatory authorities should provide a more： liberal development environment, publish proper policies to guide the development, and expand the supervisioii from an institutional one to a functional one. The regulatory authorities should pay close atteiitioii to the risk spillover cllV＇i＇l among industries to prevent effectively the systemic risk in the whole capital market.

关 键 词：普惠金融 互联网金融 风险溢出效应 ARMA-GARCH族-Co VA R 

分 类 号：F830.39[经济管理—金融学]