互联网金融与传统金融之间的广义动态风险溢出——基于Copula-ARMA-GARCH-CoVaR的实证研究  

Generalized dynamic risk spillover between Internet finance and traditional finance——An empirical study based on Copula-ARMA-GARCH-CoVaR

作　　者：李竹薇[1] 刘森楠 李小凤 王宝璐 LI Zhuwei;LIU Sennan;LI Xiaofeng;WANG Baolu(School of Economics and Management,Dalian University of Technology,Dalian 116023,China)

机构地区：[1]大连理工大学经济管理学院,辽宁大连116023

出　　处：《系统工程》2021年第4期126-138,共13页Systems Engineering

基　　金：国家自然科学基金重点项目(71731003);国家自然科学基金资助项目(71703013);国家社会科学基金重大项目(18ZDA095);国家社会科学基金资助项目(17CJY060)。

摘　　要：选取互联网金融和三大传统金融(银行业、证券业、保险业)的行业指数为代表,构建Copula-ARMR-GARCH-CoVaR模型,从波动性信息提取、联合分布尾部相依结构估计、条件在险价值计算等方面,系统研究新旧四个金融行业之间的广义动态风险溢出效应。结果表明:新旧金融行业间的风险溢出水平随时间而变化,风险从互联网金融向传统金融的传导更为迅速;市场高涨时,互联网金融向传统金融的风险溢出水平显著增大,证券业受力最大且会以更大的力度向互联网金融反向输出风险;市场低迷时,互联网金融向传统金融的风险溢出水平比较平稳,银行业和保险业受力最大,但传统金融的反向风险输出力度较弱。建议构建金融整体风控平台,充分利用新旧金融行业间的风险溢出特征,根据不同市场态势给予严控和激励,保障金融市场平稳健康发展。This paper selects Internet financial and three traditional financial(banking,securities and insurance)industry index and builds Copula-ARMR-GARCH-CoVaR model.The generalized dynamic risk spillover effects between old and new financial industries are studied systematically from the aspects of volatility information extraction,tail dependent structure estimation of joint distribution,and conditional value at risk calculation.The results show that the level of risk spillover between the old and new financial industries changes with time,and the transmission of risk from Internet finance to traditional finance is more rapid.When the market is high,the risk overflow level of Internet finance to traditional finance is significantly increased.The securities industry has the greatest stress and will export risks to Internet finance in reverse with greater strength.When the market is in a downturn,the risk spillover level from Internet finance to traditional finance is relatively stable,and the banking and insurance industries suffer the most,but the reverse risk output of traditional finance is relatively weak.It is suggested to build an overall financial risk control platform,make full use of the risk spillover characteristics between the old and new financial industries,and give strict control and stimulation according to different market situations to ensure the stable and healthy development of the financial market.

关 键 词：互联网金融 传统金融 广义动态风险溢出 COPULA ARMA-GARCH CoVaR 

分 类 号：F830[经济管理—金融学]