基于时变广义动态因子模型的行业间关联性及风险溢出分析  

Analysis on Connectedness and Risk Spillover among Industries Based on Time-varying Generalized Dynamic Factor Model

作　　者：李潇俊 唐攀[1] LI Xiao-jun;TANG Pan(School of Economics and Management,Southeast University,Nanjing 211189,China)

机构地区：[1]东南大学经济管理学院,江苏南京211189

出　　处：《统计与信息论坛》2021年第5期59-70,共12页Journal of Statistics and Information

基　　金：国家社会科学基金项目“基于人工智能的系统性金融风险预警体系研究”(19CJL028)。

摘　　要：金融关联性是衡量系统性风险的重要指标,成为近年来金融风险管理领域研究的热点。以往相关研究尽管在高维时间序列处理上取得一定突破,但由于模型框架固有的缺陷,仍无法完全解释金融关联性的时变性特征。时变广义动态因子模型(tvGDFM)具有时变性和大样本一致估计量特征,是目前因子模型研究的最新成果。因此,运用tvGDFM模型实证分析近年来中国股市行业间时变关联性及风险溢出程度,并以2008年金融危机和2015年股灾事件下的关联性水平构建中国股市系统性金融风险动态预警系统,对于防范化解系统性金融风险具有重要意义。研究发现:金融系统内部因素的冲击会显著增加行业间关联性,更容易产生系统性金融风险;股市关联性在长期存在吸收或可能放大市场冲击的时变效应;农林牧渔行业在系统性风险事件中的行业间时变关联性最高,时变系统性风险溢出最大;在新冠肺炎疫情期间,中国股市行业间关联性是同相的,不存在超前-滞后关系。Financial connectedness is an important indicator to measure systemic risk,and it has become a hot spot in the field of financial risk management in recent years.Previous studies have made certain breakthroughs in the processing of high-dimensional time series,but due to the inherent shortcomings of the model frameworks,they still cannot fully explain the nature of financial connectedness-time-variation.Time-Varying Generalized Dynamic Factor Model(tvGDFM)has the characteristics of time-variation and consistent estimator of large samples,and it is the latest achievement in factor model.Therefore,tvGDFM is applied to empirically analyze the time-variation and risk spillover among industries in recent years.And a dynamic early warning system for systemic risks in the stock market is established based on the connectedness of the 2008 financial crisis and the 2015 stock market crash,which is of great significance for preventing and deflating systemic financial risks.It is found that:The impact of internal factors in financial system will significantly increase connectedness among industries,making it easier to cause systemic financial risks;The connectedness of stock market has a time-varying effect that absorbs or may amplify market shocks for a long run;Agriculture&Farming has the highest time-varying connectedness among industries in systemic risk events and it has the largest time-varying systemic risks spillover.During the period of COVID-19,financial connectedness among industries in the stock market is in phase and there is no lead-lag relationship.

关 键 词：金融关联性 系统性金融风险 风险溢出 金融大数据分析 时变广义动态因子模型 

分 类 号：F832[经济管理—金融学]