互联网金融与中国行业间极端金融风险传播  

The impact of internet finance on extreme risk spillover among Chinese industries

作　　者：黄乃静 史宇鹏[1,2] 于明哲 汪意成 HUANG Nai-jing;SHI Yu-peng;YU Ming-zhe;WANG Yi-cheng(School of Economics,Central University of Finance and Economics,Beijing 100081,China;China Center for Internet Economy Research,Central University of Finance and Economics,Bejing 100081,China;School of International Economics and Management,Beijing Technology and Business University,Beijing 100048,China;HSBC Business School,Peking University,Shenzhen 518055,China)

机构地区：[1]中央财经大学经济学院,北京100081 [2]中央财经大学中国互联网经济研究院,北京100081 [3]北京工商大学国际经管学院,北京100048 [4]北京大学汇丰商学院,深圳518055

出　　处：《管理科学学报》2023年第4期87-110,共24页Journal of Management Sciences in China

基　　金：国家自然科学基金资助青年项目(72003212,72103011);国家社科基金资助重大项目(21ZDA032,20&ZD101);国家自然科学基金指南引导类原创探索计划项目(72150003)。

摘　　要：作为新兴金融业态,互联网金融在发挥普惠金融等积极作用的同时,也存在着加剧金融风险传播的可能,但目前尚未有文献对互联网金融对金融风险传播的影响进行严格分析.本文从行业间极端金融风险传播的视角出发,首次对此问题进行了系统研究.本文首先构建理论模型刻画了互联网金融影响行业间极端风险传播的机制,接着利用我国31个省份、18个行业的股票收益数据,以及北京大学数字金融研究中心构建的互联网金融发展指数,进行了实证检验.研究结果表明,互联网金融发展加剧了实体经济行业间极端金融风险的传播,也使得金融与实体经济行业间的极端金融风险溢出程度增加.因此,在发挥互联网金融积极作用的同时,也要重视防范行业间的极端风险传播,以维护金融系统的安全与稳定.As a new element in financial industry,internet finance plays a positive role in inclusive finance;meanwhile,it also has the potential to exacerbate the spread of financial risk.However,there is no rigorous analysis of the impact of internet finance on the spillover of financial risk.This paper is the first to systematically study this issue from the perspective of extreme financial risk spillover across industries.First,a theoretical model is built to describe the mechanism by which internet finance affects extreme risk spread among industries.Next,stock return data from 31 provinces and 18 industries in China,as well as the internet Finance Development Index constructed by the Digital Finance Research Center of Peking University,are used to empirically testify our theoretical results.Our results show that the development of internet finance has intensified the spread of extreme financial risk between different real economy industries,and increased extreme financial risk spillovers between financial and real economy industries.Therefore,while giving full play to the positive role of internet finance,attention must be paid to preventing the spread of extreme risk between industries to maintain the security and stability of the financial system.

关 键 词：互联网金融 行业间极端金融风险 

分 类 号：F832.5[经济管理—金融学]