金融业与实体经济间系统性风险溢出效应研究——基于GARCH-QRNN-POT模型  

Research on Systemic Risk Spillover Effects between Finance Industry and Real Economy——Based on GARCH-QRNN-POT Model

作　　者：王子仪 李磊[1] WANG Zi-yi;LI Lei(Xinjiang University of Finance&Economics,School of Statistics and Data Science,Xinjiang,Urumqi,830012)

机构地区：[1]新疆财经大学统计与数据科学学院,新疆乌鲁木齐830012

出　　处：《兰州财经大学学报》2023年第2期76-89,共14页Journal of Lanzhou University of Finance and Economics

摘　　要：以准确刻画金融业与实体经济间的系统性风险溢出关系作为出发点和落脚点,改进现有模型,提升测度的准确率,在此基础上,刻画金融业与实体经济间系统性风险的复杂关系以及溢出效应强度。使用GARCH族模型处理数据的波动积聚性,结合QRNN模型处理数据的非线性、非对称性关系,适时引入POT模型提升模型对于极端数据的处理能力。结果表明:金融业与实体经济间风险的复杂关系是非线性的,需要适时引入极值理论;GARCHQRNN模型在正常情况下对风险的测度较为准确,但在极端情况下的表现欠佳;POT模型的引入提升了GARCHQRNN模型对于极端情况的处理能力;实体经济对金融业的风险溢出远大于金融业对实体经济的风险溢出,同时随着极端情况的加剧,实体经济对金融业的波及程度将急剧上升。Based on the accurate description of the systemic risk spillover relationship between the fi⁃nancial industry and the real economy,this paper improves the existing model and the accuracy of mea⁃surement.On this basis,it analyzes the complex relationship of systemic risk between the financial indus⁃try and the real economy,as well as the intensity of spillover effects.The GARCH family model is used to handle the volatility accumulation of data,combined with the QRNN model to handle the non-linear and asymmetric relationship of data,and the POT model is introduced in a timely manner to improve the mod⁃el's ability to handle extreme data.The results show that the complex relationship between the risk of the finance industry and the real economy is non-linear and requires the timely introduction of extreme val⁃ue theory.The GARCH-QRNN model measures risk more accurately under normal circumstances,but its performance is poor under extreme conditions.The introduction of the POT model enhances the GARCH-QRNN model's ability to handle extreme situations.The risk spillover from real economy to fi⁃nancial industry is far greater than that from financial industry to real economy.As extreme conditions in⁃tensify,the impact of real economy on financial industry will increase sharply.

关 键 词：系统性风险 风险溢出 金融业 实体经济 

分 类 号：F124[经济管理—世界经济] F832