系统性风险跨部门溢出网络及突发事件对风险传染的影响--来自37家上市金融机构高频交易的证据  

The Intersectoral Systemic Risk Spillover Network and the Impact of Emergencies on Risk Contagion:Evidence from High-frequency Trading of 37 Listed Financial Institutions

作　　者：吕秀梅[1] 熊笑笑 LV Xiumei;XIONG Xiaoxiao(Chongqing Technology and Business University)

机构地区：[1]重庆工商大学

出　　处：《金融经济》2023年第9期3-16,共14页Finance Economy

基　　金：国家社会科学基金“平衡效率和风险的金融科技与监管科技协同创新机制研究”(19XJY022)。

摘　　要：基于资本市场高频交易数据,采用条件在险价值模型对我国37家上市金融机构的系统性风险水平进行测度,运用DCC-GARCH模型研究房地产、银行、证券和保险四个部门之间的动态相关关系,并通过VAR模型采用方差分解方法构建该四个部门间的跨部门风险溢出网络;最后以新冠疫情为例,分析突发事件对系统性风险传染的影响。研究发现,系统性风险主要贡献来自房地产部门,然后依次是银行、证券和保险,其中又以证券部门的风险溢出最大。动态相关性分析表明,近年来四个部门间收益率主要呈正相关关系,但是房地产部门与银行部门之间、保险部门与其他三个部门之间存在过短暂的负相关关系;房地产部门与证券部门的动态相关性有较强的持续性,证券部门和银行部门的相关性受市场信息冲击较大。危机会提高部门间的关联性,使得各部门风险溢出增大。在危机时期,房地产部门会变成风险的主要输出方,其对各部门的冲击较大且持续性较强,保险部门始终是系统性风险的主要接收方,各个部门之间的风险溢出是非对称的。Based on the high-frequency trading data in the capital market,this paper measures the systemic risk level of 37 listed financial institutions in China using the conditional value at risk model,studies the dynamic correlations between the real estate,banking,securities,and insurance sectors using the DCC-GARCH mod-el,and constructs the intersectoral risk spillover network among the four sectors using variance decomposition based on the VAR model.Taking the COVID-19 pandemic as an example,this paper analyzes the impact of emergencies on systemic risk contagion.The results show that systemic risk mainly stems from the real estate sector,followed by the banking,securities,and insurance sectors,with the securities sector having the greatest risk spillover.The dynamic correlation analysis indicates that the returns of the four sectors have been mainly positively correlated in recent years,but there were short periods of negative correlation between the real es-tate and banking sectors and between the insurance sector and the other three sectors.The dynamic correlation between the real estate and securities sectors has strong persistence.The correlation between the securities and banking sectors is more susceptible to market information shocks.Crises can increase the correlations between sectors,enlarging risk spillovers across sectors.During crises,the real estate sector becomes the main source of risk output,with greater and more persistent impacts on other sectors.The insurance sector is consistently the main receiver of systemic risk.Risk spillovers across sectors are asymmetric.

关 键 词：系统性金融风险 风险溢出网络 跨部门风险传染 风险测度 条件在险价值 

分 类 号：F832[经济管理—金融学]