基于风险溢出效应的中国金融防火墙制度有效性分析  

Analysis on the Effectiveness of Financial Firewall System in China Based on the Risk Spillover Effects

作　　者：彭建刚[1] 关天宇[1] 朱宝[1] PENG Jiangang GUAN Tianyu ZHU Bao(College of Finance and Statistics ,Hunan University, Changsha 410079, China)

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4期34-43,共10页Journal of Guangxi University of Finance and Economics

基　　金：国家自然科学基金项目"我国银行业宏观审慎管理和微观审慎管理的协调创新研究"(71373071)

摘　　要：采用2000年1月到2016年5月的金融行业指数测度中国金融市场行业间的风险溢出效应。测算结果表明,从整体上讲,中国金融防火墙制度对防范金融市场的风险外溢起到了积极的作用,但是当突发性事件对市场造成较大冲击时,金融防火墙制度的效果不够明显。因此,中国金融防火墙制度在监管性防火墙方面应做如下改进:建立基于混业经营的宏观审慎监管体系;强化风险预警机制;健全市场准入机制;强化互联网金融的专项整治。在自律性防火墙方面应做如下改进:加大对信息流动的监控力度;加强对授信业务的限制;强化对关联交易的监管;完善人事任命制度。The paper measures the risk spillover effect in the market of China with the financial sector in- dex during January 2000 to May 2016. The results show that the financial firewall system in China played a role in preventing the spillover risk in financial market nough in preventing impacts from sudden crisis. To solve on the whole,but the effects were not obvious e- these existent problems,some suggestions about the improvement of the financial firewall system in China are put forward：establishing a macro prudential regu- lation system,strengthening risk early warning mechanism,perfecting market access mechanism and enhancing e-finance specific rectification work. As for self-disciplined firewall,it is necessary to intensify the restraint on commitment loan and the supervision over connected transaction and to better the personnel appointment regime.

关 键 词：混业经营 外溢风险 CoVaR 金融防火墙制度 

分 类 号：F831.4[经济管理—金融学]