金融科技发展对金融机构系统性风险的影响——基于时变视角的实证研究  

The Impact of the Development of FinTech on the Systemic Risk of Financial Institutions-Empirical Research Based on Time-Varying Perspective

作　　者：安起光[1] 徐伟栋 李青召 AN Qi-guang;XU Wei-dong;LI Qing-zhao(School of Statistics and Mathematics,Shandong University of Finance and Economics,Jinan 250014,China;School of Finance,Shandong University of Finance and Economics,Jinan 250014,China)

机构地区：[1]山东财经大学统计与数学学院,山东济南250014 [2]山东财经大学金融学院,山东济南250014

出　　处：《数理统计与管理》2023年第3期556-570,共15页Journal of Applied Statistics and Management

基　　金：国家自然科学基金面上项目(71573156);山东省软科学研究计划(重大)项目(2019RZB14008)。

摘　　要：本文基于2011-2020年金融科技关键词的百度搜索指数,通过动态因子模型构建我国金融科技发展指标;利用沪深两市金融机构的相关数据,基于DCC-GJR-GARCH模型构建我国金融机构系统性风险指标。然后通过TVP-VAR模型,在控制宏观经济变量和微观金融市场变量的条件下,研究了我国金融科技发展对金融机构系统性风险的动态时变影响。实证结果表明:我国金融科技发展对金融机构系统性风险的影响有显著的时变特征,在金融科技发展初期,金融科技发展会增大金融机构系统性风险;随着金融科技进一步发展,金融科技发展会降低金融机构系统性风险。通过对金融机构进一步分类实证,发现金融科技发展对银行类金融机构系统性风险的影响更显著。Based on Baidu search index of financial technology keywords from 2011 to 2020,this paper constructs China's financial technology development index through Dynamic Factor Model;Using the relevant data of financial institutions in Shanghai and Shenzhen,this paper constructs the systemic risk index of financial institutions in China based on DCC-GJR-GARCH Model.Then,through TVPVAR Model,under the condition of controlling macroeconomic variables and micro financial market variables,this paper studies the dynamic time-varying impact of China's financial technology development on the systemic risk of financial institutions.The empirical results show that the impact of China's financial technology development on the systemic risk of financial institutions has significant time-varying characteristics.In the early stage of the development of financial technology,the development of financial technology will increase the systemic risk of financial institutions;With the further development of financial technology,the development of financial technology will reduce the systemic risk of financial institutions.Through further classification and demonstration of financial institutions,it is found that the development of financial technology has a more significant impact on the systemic risk of banking financial institutions.

关 键 词：金融科技 金融系统性风险 动态因子模型 DCC-GJR-GARCH模型 TVP-VAR模型 

分 类 号：F224.0[经济管理—国民经济] F832[理学—概率论与数理统计] O212[理学—数学]