金融行业间的资产风险外溢影响  

Spillover Effect of Asset Risk Among Financial Industries

作　　者：邹奕格 粟芳[1] ZOU Yige;SU Fang(Shanghai University of Finance and Economics,Shanghai 200433)

机构地区：[1]上海财经大学金融学院,上海200433

出　　处：《经济与管理研究》2022年第2期97-113,共17页Research on Economics and Management

基　　金：上海市哲学社会科学规划课题“保险业系统性风险的根源、传递与影响”(2018BJB009)。

摘　　要：银行业、保险业和证券业因投资业务而构建起联系,并基于金融资产价格而具有了传染渠道。随着投资活动愈发频繁,金融行业中各行业内部的资产风险可能外溢至其他行业。本文首先从理论上分析金融行业资产风险通过投资资产外溢的过程,通过搭建资产抛售模型模拟资产风险的传染机制,从机构层面和行业层面分析资产风险的生成与传递。其次,基于金融机构实际数据的模拟分析结果显示,四大国有商业银行和中国平安具有外溢风险的能力,首先影响银行和保险公司,随后再扩散到整个金融行业,而证券业则相对较为独立。银行业的外溢影响最大,其次是保险业和证券业。但事实上很难发生足以对外部造成显著影响的损失事件。资产、投资比例、杠杆和监管要求水平在资产风险外溢的过程中具有一定的影响。The banking,insurance and securities industries are linked by their investment operations and have contagion channels based on financial asset prices.As investment activities increase,asset risks within industries can spill over to other industries.Firstly,this paper theoretically analyzes the process of industrial asset risk spillover through investment assets,simulates the contagion mechanism of asset risks by building an asset sale model,and analyzes the generation and transmission of asset risks from the institutional and industry level.Secondly,empirical simulation based on the actual data of financial institutions shows that the four state-owned commercial banks and Ping An Insurance of China have the ability to spilt risks,first affecting banks and insurance companies,and then spreading to the entire financial industry.However,the securities industry is relatively independent.Moreover,the spillover effects were greatest in banking,followed by insurance and securities,while it is very difficult to have a loss event that can have a significant external impact.Besides,assets,investment ratios,leverage and regulatory requirements also have a certain impact on the process of asset risk spillover.

关 键 词：资产风险 投资业务 资产抛售 风险外溢 传染机制 

分 类 号：F842[经济管理—保险]