系统风险外溢、市场约束机制与银行股票回报率——基于CoVaR和时变条件β指标的研究  

Systemic Risk,Market Discipline and Return of Bank Stocks:Based on CoVaR and Time Varying Conditional β

作　　者：张晓明[1] 李泽广 

机构地区：[1]北京交通大学经济管理学院,北京100044 [2]南开大学金融学院,天津300071

出　　处：《金融研究》2017年第12期143-157,共15页Journal of Financial Research

基　　金：国家自然科学基金面上项目(71772091和71372096);国家社科基金青年项目(11CJY094);北京交通大学基本科研业务费人文社会科学专项基金项目(2015jbwj010);南开大学中央高校基本科研业务费专项资金(2018)的资助

摘　　要：风险外溢意味着私人成本更多地由社会来承担,作为市场机制的自然反应,投资者是否会因此对系统风险外溢明显的银行股票要求更高收益率?本文借助DCC-MGARCH方法构建时变协方差系数CoVaR和时变条件β指标测度上市银行间的风险外溢程度,未发现"大而不能倒"的证据,大型银行反而在系统风险上升时会发挥"稳定器"效果;从周期性视角来看,银行的风险外溢具有顺周期特征,且风险外溢因子可以较好地解释银行股收益率的变化。市场约束机制可以对"负外部性"的银行提出更高的风险补偿要求,表现出一定的矫正机制,但对尾部风险定价失灵,仍需监管者实施流动性指标监管和稳健货币政策以规避系统危机。此外,ΔCoVaR指标能够较好地吸收和反映宏观变量信息,时变条件β指标则能够更好地吸收和反映资本充足率指标和流动性比率等银行层面信息,二者具有互补性。The interdependence of commercial banks＇ risks has become urgent research topics currently. This paper measures the time - varying covariance coefficient by using DCC - MGARCH methods. Meanwhile, we try to build Beta indicators, with the stock price variables of listed banks to quantify the spillover risk measure its extent effects. The market discipline mechanism can increase higher required return on banks with systemic risk, showing intrinsic leveling mechanism of the market, but the failure at tail risk pricing reminds the necessary of regulators＇ liquidity and approporiate monetary policy in order to avoid the systemic crisis. At the same time, with the macro - level and bank - level data analysis of the main determinants of the risk of spillover of the banks, we use Shapley decomposition approach to decompose the contribution structure of systematic risk. Conclusions are drawn that the risk of spillover Overall, commercial banks have some pro - cyclical characteristics, △CoVaR indicators of joint - stock commercial banks are more significant ; and macro variables are the key factors that determine △CoVaR indicators, capital adequacy ratios, liquidity ratios, and Beta Index are indicators the key decision variables. This shows that different indicators have strong complementarily in monitoring various risk factors.

关 键 词：ACoVaR 时变条件β指标 周期性 风险外溢 

分 类 号：F224[经济管理—国民经济] F832.51