突发公共卫生事件对系统性金融风险的冲击及传染效应研究  

The impact and contagion effect of public health emergency on systemic financial risk

作　　者：欧阳资生 陈世丽 杨希特 OUYANG Zi-sheng;CHEN Shi-li;YANG Xi-te(The School of Finance,Hunan University of Technology and Business,Changsha 410205,China;Business School,Hunan Normal University,Changsha 410000,China;Business School,Sichuan University,Chengdu 610064,China)

机构地区：[1]湖南工商大学财政金融学院,湖南长沙410205 [2]湖南师范大学商学院,湖南长沙410000 [3]四川大学商学院,四川成都610064

出　　处：《高校应用数学学报（A辑）》2022年第1期35-51,共17页Applied Mathematics A Journal of Chinese Universities(Ser.A)

基　　金：国家社科基金重点项目(21ATJ009);湖南省自然科学基金(2021JJ30196);湖南省研究生科研创新重点项目(CX20201071)。

摘　　要：首先基于面板向量自回归模型考察了突发公共卫生事件对系统性金融风险的冲击影响,接着综合考虑突发公共卫生事件的影响及其所导致的收益率的非对称性构建单指标非对称CoVaR模型,最后借助LASSO惩罚函数与局部估计法进行求解,以此构建有向网络分析金融机构间的传染效应.研究发现:(1)突发公共卫生事件冲击会使系统性金融风险水平短暂上升;(2)突发公共卫生事件会增加证券类金融机构间的风险传染并且存在滞后效应;(3)中小型金融机构的传染性较强,并且证券类金融机构的风险传染最强.This article first examines the impact of public health emergencies on systemic financial risks based on the panel vector autoregressive model, and then comprehensively considers the impact of public health emergencies and the resulting asymmetry of returns to construct a single indicator asymmetry Co Va R model. Finally, the LASSO penalty function and the local estimation method are used to solve the problem, so as to construct a directed network to analyze the contagion effect between financial institutions. The study found that:(1) Public health emergencies will temporarily increase the level of systemic financial risks;(2) Public health emergencies will increase risk contagion among securities financial institutions and have a lag effect;(3) Small and medium-sized financial institutions are highly contagious, and the risk contagion of securities financial institutions is the strongest.

关 键 词：单指标非对称CoVaR模型 LASSO惩罚函数 有向网络 系统性金融风险 

分 类 号：F832[经济管理—金融学]