证券投资业务增加非银行业系统性风险了吗——基于面板变系数模型的实证分析  

Does Securities Trading and Investments Increase Non-Banking Financial Institutions Systemic Risk Contributions?——Evidence from Panel Variable Coefficient Model

作　　者：宋玉颖 刘志洋[2] SONG Yuying;LIU Zhiyang(Agricultural Bank of China Changchun College,Changchun Jilin,130012;School of Economics and Management,Northeast Normal University,Changchun Jilin,130117)

机构地区：[1]中国农业银行长春培训学院,吉林长春130012 [2]东北师范大学经济与管理学院,吉林长春130117

出　　处：《西部金融》2020年第5期13-21,共9页West China Finance

基　　金：教育部人文社会科学研究青年基金项目《货币政策与宏观审慎监管协同机制及有效性检验》(项目编号:19YJC790088)阶段性研究成果。

摘　　要：本文以中国上市非银行类金融机构为研究样本,运用面板回归的变系数模型,研究非银行类金融机构的证券投资业务对其系统性风险贡献度的影响。实证结论表明,整体上非银行类金融机构的证券投资业务并没有增加其系统性风险贡献度,但各个类别公司的表现也存在区别。具体而言,大多数证券公司的证券投资业务没有导致其系统性风险贡献度的上升;属于其他资本市场服务类别的非银行类金融机构的证券投资业务能够增加金融机构的系统性风险贡献度,但也有许多金融机构的证券投资业务会导致系统性风险贡献度的下降;保险公司的证券投资业务降低其系统性风险贡献度。Using listed non-banking financial institutions and panel variable coefficient model,this paper studies how securities trading and investment effects their systemic risk contributions.Empirical results show that in all,these activities do not lead to the level up of their systemic risk contributions,but each sub-categories has their own characters.Specially,most these activities do not increase securities firms’systemic risk contributions;as to other capital market service firms,these activities lead to increase in systemic risk contributions on the whole,but several firm’s business do decrease their systemic risk contributions;these activities in insurance companies generally leads to the dncrease of systemic risk contributions.

关 键 词：非银行类金融机构 系统性风险 面板变系数模型 

分 类 号：F832.7[经济管理—金融学]