金融网络关联与我国影子银行的风险溢出效应——基于GARCH-Copula-CoVaR模型的分析  

Financial Network Interconnectedness and Risk Spillover Effects of Shadow Banking System in China:Empirical Analysis of GARCH-Copula-CoVaR Model

作　　者：马亚明[1] 宋羚娜 

机构地区：[1]天津财经大学经济学院,天津300222

出　　处：《财贸研究》2017年第7期69-76,共8页Finance and Trade Research

基　　金：国家社科基金重点项目"新常态下我国影子银行体系的风险溢出效应及其对货币政策的影响研究"(15AJY021);天津财经大学研究生科研项目"我国影子银行体系的风险溢出效应研究"(2015TCS11)的资助

摘　　要：在系统阐述我国影子银行体系的特征及其与传统商业银行的关联性基础上,采用GARCH-Copula-Co VaR拓展模型测度我国各类影子银行机构对传统商业银行的系统性风险溢出及其动态效应。结果表明:证券类影子银行对我国商业银行的风险溢出效应最大,其次是信托业,最后是民间借贷类机构。整体而言,各类影子银行的风险溢出强度处于可控状态,但在2015年的股灾中,其风险溢出效应明显增强。Based on systematic formulation of the characteristics of shadow banking system and its interconnectedness with commercial banks in China,the extending model of GARCH-Copula-Co VaR is used in this paper to measure the systemic risk spillover effects of various shadow banking systems on traditional commercial banks. The result shows that the biggest effect comes from the securities industry,followed by the trust industry,and finally the folk lending industry. The overall strength of risk spillover is in a controllable state,but it is amplified in the stock market disaster of 2015.

关 键 词：影子银行 商业银行 系统性风险 风险溢出效应 

分 类 号：F832.33[经济管理—金融学]