基于风险溢出效应的银行杠杆监管差异化研究  

Research on Bank Leverage Supervision Based on Risk Spillover Effect

作　　者：李程[1] 杨盈 祝诗梦 LI Cheng;YANG Ying;ZHU Shi-meng(Tiangong University,Tianjin 300387,China;Northwest University,Xi’an 710069,China;China Agricultural University,Beijing 100083,China)

机构地区：[1]天津工业大学,天津300387 [2]西北大学,陕西西安710069 [3]中国农业大学,北京100083

出　　处：《西安财经大学学报》2020年第5期15-26,共12页Journal of Xi’an University of Finance and Economics

基　　金：国家社会科学基金项目“异质性视角下的杠杆率结构优化与风险防范研究”(19FJYB009);天津市艺术科学规划项目“京津冀非物质文化遗产保护与文化产业融合发展机制创新研究”(YSWC20)。

摘　　要：基于CoVaR与CCA模型,测度商业银行的风险溢出以及系统性风险,并研究商业银行杠杆通过影响银行风险溢出作用于系统性风险的传导过程。实证分析结果显示:商业银行杠杆降低能够减少银行整体的风险溢出效应,进而弱化宏观金融风险,同时存在非线性效应,杠杆过低反而会提高风险。各个银行杠杆差别与风险溢出效应的差别不完全一致。因此,可以将杠杆视为操作目标,风险溢出值视为中介目标,系统性风险视为最终目标,在对商业银行风险的监管过程中,应同时关注操作目标与中介目标,进行差异化监管,保证银行系统的安全运行。Based on CoVaR and CCA model,this paper measures the risk spillover of commercial banks and the systemic risk,and studies the transmission process of commercial bank leverage affecting systemic risk through risk spillovers.The empirical analysis shows that commercial banks which have lower leverage can reduce the risk spillover effect of the bank as a whole and weaken the macro financial risk,but too low leverage will increase risk.The difference between the leverage ratio of each bank and the risk spillover effect is not completely consistent.Therefore,this paper regards leverage as the operating goal,regards risk spillover value as an intermediary target,and regards systemic risk as the ultimate goal,in which the government should keep a close watch on both the operation and intermediate target to ensure the safe operation of the banking system.

关 键 词：金融风险 银行杠杆 系统性金融风险 风险溢出 CoVaR CCA 

分 类 号：F830.3[经济管理—金融学]