我国金融机构的系统性风险溢出研究:测度、渠道与防范对策  

The Systemic Risk Spillover of Chinese Financial Institutions:Measurement,Channels,and Prevention

作　　者：李志辉[1,2,3] 朱明皓 李源 李政 LI Zhihui;ZHU Minghao;LI Yuan;LI Zheng(School of Economics,Nankai University;China Industrial Bank Wealth Management;School of Finance,Tianjin University of Finance and Economics)

机构地区：[1]南开大学经济学院,天津300071 [2]兴银理财有限责任公司,上海200120 [3]天津财经大学金融学院,天津300222

出　　处：《金融研究》2023年第4期55-73,共19页Journal of Financial Research

基　　金：国家社科基金重大项目(21ZDA048)的资助。

摘　　要：本文采用基于QFVAR模型的广义方差分解方法测度我国上市金融机构在极端负面与正面冲击下的尾部风险溢出,并分析金融体系和各家机构的风险溢出水平。在此基础上,本文使用面板回归模型检验了机构间风险溢出的主要渠道以及两类宏观审慎政策工具的有效性。研究发现:第一,在样本期间,金融体系面对不同方向冲击所产生的风险溢出水平具有截然不同的趋势特征,左尾溢出(负面冲击)和右尾溢出(正面冲击)分别由金融市场波动与行业杠杆水平所驱动。第二,受到负面冲击后,规模较大的金融机构具有较高的风险溢出水平,而杠杆水平较高的机构则是正面冲击下的高风险溢出机构。第三,金融机构在负面冲击下通过直接关联与间接关联渠道向外溢出风险,而正面冲击引发的风险溢出则主要通过信息关联渠道得以实现。第四,流动类政策工具可以显著减弱金融机构在直接关联渠道下的风险溢出水平,而资本类政策工具则可以显著减弱机构在间接关联与信息关联渠道下的风险溢出水平。This paper uses the QFVAR model proposed by Ando et al.(2022),which is different from the traditional GFEVD method-based VAR model(Dieblod and Yilmaz,2014),to measure the tail risk spillover effect among listed financial institutions under extreme positive and negative shocks.The left-tail risk induced by a negative shock and the right-tail risk induced by a positive shock represent risk accumulation and risk outbreak,respectively.This paper analyzes the risk spillover effect of financial systems and financial institutions,and the network structure of the risk spillover.On this basis,this paper empirically tests the risk spillover channels among financial institutions and the effectiveness of macroprudential policy tools in restraining the risk spillover effect.Our sample consists of 31 Chinese listed financial institutions,comprising 16 banks,12 securities companies,and 3 insurance companies.The sample period runs from January 2011 to December 2020.The main findings are as follows.First,during the sample period,there are two different time trends in the total spillover index of the financial system.Induced by negative shocks,the left-tail spillover index rises sharply when there is drastic volatility in the financial markets,while the right-tail spillover index,induced by positive shocks,is consistent with the trend of the financial sector's leverage.Second,the risk spillover level of financial institutions induced by different directional shocks depends on specific financial characteristics.When the risk spillover is induced by a negative shock,large financial institutions have a higher spillover-to index and financial institutions with a large amount of interbank business have a higher spillover-in index.When the risk spillover is induced by a positive shock,highly leveraged financial institutions have a higher spillover-to index and financial institutions with a serious maturity mismatch problem have a higher spillover-in index.Third,a financial institution's risk induced by a negative shock will influence ot

关 键 词：系统性风险 QFVAR模型 溢出效应 关联渠道 宏观审慎政策工具 

分 类 号：F832.3[经济管理—金融学]