强监管下金融实体行业间极端风险溢出效应测度与影响因素分析  

Measure on the Spillover Effect and Analysis on the Influencing Factors of the Extreme Risk between Financial Entities Based on Strong Supervision

作　　者：刘宇 LIU Yu(School of Economics and Management,Hubei University of Technology,Wuhan 430068,China)

机构地区：[1]湖北工业大学经济与管理学院,湖北武汉430068

出　　处：《经济体制改革》2022年第5期129-136,共8页Reform of Economic System

基　　金：教育部人文社会科学项目“基于微观主体行为决策的债务陷阱生成机制与对策研究”(17YJA790058)。

摘　　要：利用动态与静态CoVaR模型、依据2009~2020年日频数据测度强监管下我国金融实体行业间极端风险溢出效应,并对影响因素进行实证分析。结果表明:强监管下金融实体行业间极端风险溢出效应整体呈下降趋势;房地产、化工、能源与金融行业间极端风险溢出效应明显降低,通信、公共事业等实体行业与金融业间极端风险溢出效应未发生明显变化。影响因素回归结果显示:金融强监管在实体行业对金融业极端风险输出以及金融业对实体行业极端风险输出中均具有抑制作用。因此,需从构建协同监管框架、加大关键领域风险防控以及强化实体行业内控能力等方面着手,预防金融实体行业间的极端风险。This paper uses the dynamic and static CoVaR model to measure the spillover Effect of extreme risk between China’s financial entities under strong supervision based on the daily frequency data from 2009 to 2020, and analyze its influencing factors. The results show that: under the strong supervision, the spillover effect of extreme risk between the financial entity industries is on the downward trend;the spillover effects of extreme risks between the real estate, chemical, energy and financial industries have declined significantly, and the spillover effects of extreme risks between real industries such as communications and public utilities and the financial industry have not changed significantly. The regression results of the influencing factors show that, strong financial supervision can inhibit the extreme risk output of the real industry to the financial industry and the extreme risk output of the financial industry to the real industry. For this purpose, it is necessary to start from the aspects of building a collaborative supervision framework, increasing risk prevention and control in key areas and strengthening the internal control capabilities of the real industry, so as to prevent extreme risks among financial entities.

关 键 词：金融实体关联 极端风险 强监管 溢出效应 CoVaR模型 

分 类 号：F222[经济管理—国民经济]