系统性风险:金融系统与实体经济间反馈效应  

Systemic risk:Feedback effect between the financial system and the real economy

作　　者：李守伟[1,2] 王虎[1,2] 刘晓星 LI Shou-wei;WANG Hu;LIU Xiao-xing(School of Economics and Management,Southeast University,Nanjing 211189,China;Research Center for Financial Complexity and Risk Management,Southeast University,Nanjing 211189,China)

机构地区：[1]东南大学经济管理学院,南京211189 [2]东南大学金融复杂性与风险管理研究中心,南京211189

出　　处：《管理科学学报》2022年第11期25-42,共18页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71671037,71971055);国家社会科学基金资助重大专项(18VSJ035);江苏省第十六批“六大人才高峰”高层次人才培养资助项目(JY-004);江苏省社会科学基金资助项目(19GLC005)。

摘　　要：金融系统与实体经济间高度的关联性,使得系统性风险在金融系统与实体经济间具有反馈效应.本研究提出了度量系统性风险反馈效应方法,并利用中国2013年~2017年银行与实体企业相关数据进行实证研究.结果表明:忽视实体经济的作用,将会造成低估银行系统性风险,实体经济不同行业对银行系统性风险的影响具有显著差异性;银行系统对实体经济系统性风险具有显著影响,而且不同类型银行的影响具有显著差异性;银行系统对整个经济系统的系统性风险贡献程度随着时间在变化,不一定就比实体经济的高.在此基础上,本研究进一步揭示了系统性风险的影响因素.The high correlation between the financial system and the real economy results in a feedback of systemic risk between them.This paper proposes a measurement for the feedback effect of systemic risk,and makes an empirical study by using the data of Chinese banks and firms in 2013-2017.The results show that ignoring the role of the real economy will result in an underestimating of systemic risk of banks,and that the impact of different sectors of the real economy on systemic risk of banks is significantly different.Further,the banking system has a significant impact on systemic risk of the real economy,and the impact of different types of banks is significantly different.Third,the contribution of the banking system to systemic risk of the whole economic system will vary with time,while the banking system does not necessarily have a higher systemic risk than that the real economy.This paper further reveals the influencing factors of systemic risk.

关 键 词：系统性风险 反馈效应 影响因素 DebtRank模型 

分 类 号：F830[经济管理—金融学]