中国上下行风险的非对称溢出冲击研究——基于高频数据合成网络的分析  

Research on Asymmetric Spillover of Upside and Downside Risks in China——An Analysis Based on High-frequency Composite Network

作　　者：杨子晖 戴志颖 YANG Zi-hui;DAI Zhi-ying(SUSTech Business School,Southern University of Science and Technology;Advanced Institute of Finance,Sun Yat-sen University)

机构地区：[1]南方科技大学商学院 [2]中山大学高级金融研究院

出　　处：《中国工业经济》2023年第3期77-95,共19页China Industrial Economics

基　　金：国家社会科学基金重大项目“双循环新格局下我国金融风险演化及防控措施研究”(批准号21&ZD114)。

摘　　要：党的二十大报告明确指出防范金融风险还须解决许多重大问题,并提出主动防范化解风险、提高防范化解重大风险能力等要求。然而,传统文献应用的低频金融数据存在一定的信息损失,利用低频数据刻画的风险传染关系,往往弱化了系统性风险的快速演变特征,可能导致风险溢出效应的低估。本文将日内高频金融数据应用于刻画中国金融风险溢出网络,利用前沿的网络合成技术,并结合上行风险和下行风险这一崭新的研究视角,深入考察各时期风险跨行业(机构)的传染路径与传染关系。分析结果表明,上下行风险溢出关系存在明显的非对称性,下行风险外溢为熊市期间金融风险传染的主要表现形式,而上行风险则对牛市期间的风险溢出关系具有较强的解释力。与此同时,金融风险传染关系还表现出显著的非线性特征。研究还发现,第一组系统重要性银行在各时期内均属于稳定的风险净输出银行,能够对其他银行形成显著的风险冲击。本文认为,仅从传统下行风险的研究视角着手,可能导致对系统重要性金融机构的甄别出现偏差。本文为中国牢筑金融风险“防火墙”、完善新时期宏观审慎监管机制提供了重要参考依据。Systemic risks are often viewed as negative shocks relating to investment losses or financial crisis,and the Chinese characters“wei ji”(meaning crisis)serve as a better description of systemic risk.From the perspective of financial risk,the Chinese character of“wei”,which represents“danger”,describes the degree of asset price decline and measures the loss of long-position investors,that is,downside risk.The Chinese character of“ji”,which represents“opportunity”,indicates the potential loss of short position holders when asset prices rise,that is,upside risk.However,existing research mainly focuses on the downside risk contagion,ignoring the upside risk spillover.Therefore,it is necessary to evaluate the systemic importance of industries and institutions,and clarify the main path of risk transmission from the perspective of upside and downside risks,which plays a crucial role in the implementation of financial security strategy during the 14th Five-Year Plan period.In view of these,this paper applies intraday high-frequency financial data to capture China's systemic risk contagion networks.Based on the good and bad volatility of industries and banks,as well as linear and nonlinear analysis frameworks,this paper constructs the spillover network of upside and downside risks.From the perspective of multi-network,this paper further utilizes the cutting-edge network combination technology to establish the overall risk contagion networks and investigate the dynamic characteristics of China's financial risk contagion.Research findings are mainly as follows.There is an obvious asymmetric spillover of upside and downside risks in China.Specifically,downside risk is the main form of financial risk contagion in the bear market,while upside risk has strong explanatory power for the risk spillover in the bull market.At the same time,China's risk contagion also shows significant nonlinear characteristics.During the period from 2012 to 2021,systemically important banks of Group Two,according to the PBC(The Pe

关 键 词：系统性风险 风险传染 日内高频数据 合成网络 系统重要性银行 

分 类 号：F124[经济管理—世界经济]