中国系统性金融风险的高维时变测度与传导机制研究  

The High-Dimensional Time-Varying Measurement and Transmission Mechanism of Systemic Financial Risk in China

作　　者：陈少凌[1] 李杰 谭黎明 杨海生[4] Chen Shaoling;Li Jie;Tan Liming;Yang Haisheng

机构地区：[1]暨南大学经济学院 [2]暨南大学产业经济研究院 [3]上海财经大学经济学院 [4]中山大学岭南学院

出　　处：《世界经济》2021年第12期28-54,共27页The Journal of World Economy

基　　金：国家自然科学基金(72173055、72173141);教育部人文社会科学研究规划基金项目(21YJA790005)的资助。

摘　　要：本文以2000-2019年中国89家上市金融机构为样本,通过改进高维时变参数向量自回归模型(HD-TVP-VAR)实现了对高维时变复杂网络的有效测度。在此基础上,本文从复杂网络的视角对系统重要性金融机构进行了识别,并分析了系统性金融风险的内部成因及传导路径。研究发现,从整体来看,银行业和证券期货业分别呈现出"风险吸收型"与"风险扩散型"系统重要性,小机构则呈现出"风险杠杆型"系统重要性;流动性、杠杆率与规模是决定金融机构呈现不同类型系统重要性的影响因素,流动性高、杠杆率高、规模小的金融机构,其"风险扩散型"系统重要性通常更为显著;过度关联、发散的网络关联结构以及网络稳定性失衡是导致系统性金融风险及其传染的直接根源。Drawing on data from 89 listed financial institutions in China from 2000 to 2019,this paper constructs a high-dimensional time-varying parameter vector autoregression(HD-TVP-VAR)model to effectively measure high-dimensional time-varying complex networks.On this basis,the paper identifies systemically important financial institutions and analyzes the risk contagion mechanisms.The results of the study demonstrate that,in general,the banking sector and the securities and futures sector show systemic importance in terms of"risk absorption"and"risk spread"respectively,while small institutions show this in terms of"risk leverage".Liquidity,leverage and size are of paramount importance in determining the systemic importance of different types of financial institutions.In particular,financial institutions with high liquidity,high leverage and small size tend to have more significant and stable systemic"risk spread"importance.Finally,excessive connectedness,divergent network connected structure and network stability imbalance are the three main causes of the origin and contagion of systemic financial risks.

关 键 词：系统性金融风险 系统重要性金融机构 复杂网络 

分 类 号：F832[经济管理—金融学]