商业银行尾部风险网络关联性与系统性风险——基于中国上市银行的实证检验  

Interconnectedness of Banks' Tail Risk Network and Its Effect on Systematic Risk: Evidence from China's Listed Banks

作　　者：蒋海[1] 张锦意 JIANG Hai;ZHANG Jinyi(Ji nan University,510632)

机构地区：[1]暨南大学经济学院 [2]广东省粤科金融集团有限公司 [3]暨南大学

出　　处：《财贸经济》2018年第8期50-65,共16页Finance & Trade Economics

基　　金：国家自然科学基金项目"基于金融稳定视角的逆周期银行监管机制设计研究"(71473103);教育部人文社科基金项目"中国逆周期宏观审慎银行监管:理论与政策框架"(13YJA790038);社科中央科研业务费"多层次;多维度的金融监管协调机制研究"(12615101)

摘　　要：中国经济进入新常态之后,经济下行压力加大,有效防范系统性金融风险已成为当前经济发展中亟须面对的重大问题。基于此,本文利用中国上市银行2010年8月19日至2017年3月31日的股票交易数据,采用分位数回归和LASSO算法,构建了上市银行尾部风险网络,同时使用滚动时间窗口法,分析了网络的动态关联性和拓扑结构。在此基础上,实证检验了上市银行尾部风险网络的关联性对系统性风险的影响。结果表明,银行尾部风险网络关联性与系统性风险显著正相关。虽然个体银行的尾部风险溢出会降低自身的风险承担水平,但也显著增强了银行网络的关联性,从而提高了系统性风险的整体水平。同时我国上市银行尾部风险网络存在较明显的时变特征,在风险积聚过程和经济下行期间,其关联性显著增强。另外,大型国有银行在整个银行网络中居中心地位,具有较强的尾部风险溢出效应。After China s economy entered a new normal,concerns about the systemic risk of Chinese financial system became increasingly prominent as the downward pressure on the economy intensified.Therefore,how to effectively guard against systemic financial risk has become a meaningful and urgent research topic.In this paper,we investigate the interconnectedness of Chinese banks tail risk network and its effect on systematic risk under the new normal of China s economy.We employ quantile regression and LASSO algorithm on a real-time data of 16 listed Banks and macro state variables from August 19,2010 to March 31,2017.Our empirical study results suggest that the tail risk network of Chinese banks has obvious time-varying characteristics in the post-crisis era.The interconnectedness will significantly increase during the process of risk accumulation and crisis.Large state-owned banks have a central position in the banking network and have a strong tail risk spillover effect.Additionally,our panel regression analysis results reveal that the high level of tail risk spillover among all banks will lead to an increase in the systemic risk.The banks with larger out-degree centrality tend to reduce the systemic risk contribution but increase other banks systemic risk.

关 键 词：尾部风险溢出 网络关联性 系统性风险 

分 类 号：F832[经济管理—金融学]