钢铁行业供给侧改革对股市影响研究——基于系统风险管理视角  

Research on the Impact of Supply-side Reform of Iron and Steel Industry on Stock Market:From the Perspective of Systemic Risk Management

作　　者：刘向丽[1] 张翼鹏 Liu Xiangli;Zhang Yipeng(School of Finance,Central University of Finance and Economics,Beijing 102206)

机构地区：[1]中央财经大学金融学院,北京102206

出　　处：《管理评论》2020年第7期258-266,共9页Management Review

基　　金：中央财经大学青年科研创新团队;国家自然科学基金面上项目(71471182)。

摘　　要：本文以股票市场为研究对象,立足于系统风险管理的角度研究钢铁行业供给侧改革对股市影响。基于传统CoVaR方法,本文提出了多项式分位数回归的CoVaR模型,并度量了2008—2018年我国股市中钢铁行业对大盘指数和各一级行业的系统性风险溢出(CoVaR值),并将供给侧改革前和改革后数据进行对比,发现改革后钢铁行业对股市和各一级行业的系统性风险溢出明显下降,且供给侧改革政策起到显著作用,供给侧改革对股市系统的稳定发展做出了积极的贡献。This paper takes the stock market as the research object and studies the impact of supply-side reform on the stock market from the perspective of systemic risk management.Based on the traditional CoVaR method,we propose the CoVaR model of non-linear quan-tile regression which uses polynomial to measure the systemic risk contribution(CoVaR value)of iron and steel industry to the stock market index and all first class industry in China from 2008 to 2018,and compare the data before the supply-side reform with the data af-ter the reform.We find that the systemic risk spillover of iron and steel industry to the stock market and most first class industry de-creased significantly after the reform,and the supply-side reform policy played a significant role in it.The supply-side reform made a positive contribution to the stable development of the stock market system.

关 键 词：供给侧改革 股票市场 系统风险管理 多项式分位数回归方法 CoVaR模型 

分 类 号：F224[经济管理—国民经济] F426.31F832.51