商业银行系统性风险溢出效应研究:条件风险价值估计与系统性风险贡献度测量  

Study about the Systemic Risk Spillover Effects of Commercial Banks:Measuring of Conditional Value-at-risk and Systemic Risk Contribution

作　　者：何卓静 周利国[1] 闫丽新[1] HE Zhuo-jing;ZHOU Li-guo;YAN Li-xin

机构地区：[1]中央财经大学商学院

出　　处：《中央财经大学学报》2018年第12期37-51,共15页Journal of Central University of Finance & Economics

基　　金：国家自然科学基金"商业银行物流金融信用风险的度量与防范研究:基于Copula理论视角的分析"(项目编号:71272235)

摘　　要：笔者基于商业银行与金融体系间的非对称相关结构,结合变分模态分解(VMD)和时变Copula-CoVaR方法度量金融体系系统性风险溢出的长期和短期效应,利用我国14家上市商业银行的股票市场数据进行了实证研究。结果表明:大型商业银行的系统性风险溢出效应高于小型商业银行。商业银行系统性风险溢出效应在时间维度上存在差异。工商银行、建设银行和南京银行短期系统性风险溢出效应高于其他商业银行,而民生银行、北京银行和平安银行的长期系统性风险溢出效应排名前三。从总体上说,股份制商业银行对金融体系系统性风险的贡献度要高于国有控股商业银行和城市商业银行。当股票市场处于异常波动时期,国有控股商业银行系统性风险短期溢出效应显著。Based on the asymmetric correlation structure between commercial banks and the financial system,we combine the variational mode decomposition(VMD)method and time-varying Copula-CoVaR approach to analyze the short-and long-run risk spillovers between commercial banks and the financial system,using the stock market data of 14 listed commercial banks in China.We find some evidence in our empirical studies.Firstly,the systemic risk contributions of large commercial banks are higher than those of small commercial banks.Secondly,the systemic risk spillover effect of commercial banks differs in time dimension.Industrial and Commercial Bank of China,China Construction Bank and Bank of Nanjing have higher short-term systemic risk spillovers than other commercial banks,while China Minsheng Bank,Bank of Beijing and Ping An Bank rank the top three in terms of long-term systemic spillovers.Thirdly,joint-stock commercial banks contribute more to the systemic risks of the financial system than state-owned commercial banks and city commercial banks.When the stock market is in an abnormally volatile period,the short-term spillover effect of systemic risk of state-owned commercial banks is significant.

关 键 词：系统性风险 溢出效应 时变Copula-CoVaR 变分模态分解(VMD) 商业银行 

分 类 号：F832.33[经济管理—金融学]