行业特征、实体经济与金融业风险溢出  

Industry Characteristics,Risk Spillover of Real Economy and Financial Industry

作　　者：黄昌利[1] 尚友芳[1] 刘向丽[1] Huang Changli;Shang Youfang;Liu Xiangli

机构地区：[1]中央财经大学金融学院

出　　处：《宏观经济研究》2021年第3期5-24,110,共21页Macroeconomics

基　　金：国家自然科学基金项目“基于高频数据的金融市场间信息溢出与风险传染的微观机理、动态模型及其应用”(项目编号:71471182);中央高校基本科研业务费专项资金;中央财经大学科研创新团队支持计划的资助。

摘　　要：本文首次利用Diebold-Yilmaz(DY)溢出指数研究中国实体经济与金融业的风险溢出情况,并创新性将行业特征纳入分析框架,研究行业特征对不同实体行业风险溢出程度的影响。研究结果表明:中国行业间风险溢出总水平在危机等重大事件发生时会显著升高,国内自身因素带来的风险溢出会高于国际因素。各行业风险输出水平呈现异质性特征,风险输入水平呈现平稳状态,其中房地产、日常消费和工业是主要的风险净输出行业。实体行业对金融业的风险溢出呈现显著差异,其中金融业和房地产存在较强的双向溢出关系,其次是能源行业。行业特征能够显著影响实体行业的风险溢出水平,宏观金融及经济环境的变化会显著影响金融业向实体行业的风险溢出。This paper uses the Diebold-Yilmaz(DY) Spillover Index to study the risk spillovers of China’s real economy and financial industry for the first time, and innovatively incorporates industry characteristics into the analysis framework to study the impact of industry characteristics on the degree of risk spillovers in different real industries. The research results show that the overall level of risk spillovers between China’s industries will increase significantly when major events such as crises occur, and the risk spillovers caused by domestic factors will be higher than those caused by international factors. The risk output level of various industries presents heterogeneous characteristics, and the risk input level presents a stable state. Among them, real estate, daily consumption and industry are the main risk net output industries. There are significant differences in the risk spillovers of the real industry to the financial industry. Among them, the financial industry and real estate have a strong two-way spillover relationship, followed by the energy industry. Industry characteristics can significantly affect the level of risk spillovers in the real industry, and changes in the macro-finance and economic environment will significantly affect the risk spillover from the financial industry to the real industry.

关 键 词：系统性风险 实体经济与金融业 风险溢出 DY溢出指数 行业特征 

分 类 号：F832[经济管理—金融学] F124