金融机构间非对称风险传染关系研究——基于门限MV-CAViaR模型  

Research on Asymmetric Risk Contagion Among Financial Institutions Based on Threshold MV-CAViaR Model

作　　者：王昭媛 易文德 王沁[1] WANG Zhao-yuan;YI Wen-de;WANG Qin(School of Mathematics,Southwest Jiaotong University,Chengdu 611756,China;School of Mathematics and Big Data,Chongqing University of Arts and Sciences,Chongqing 402160,China)

机构地区：[1]西南交通大学数学学院,四川成都611756 [2]重庆文理学院数学与大数据学院,重庆402160

出　　处：《数学的实践与认识》2023年第9期82-92,共11页Mathematics in Practice and Theory

基　　金：国家社会科学基金(15XJY023);重庆高校创新团队建设计划资助项目(KJTD201321)。

摘　　要：以银行、证券、保险和多元金融的指数收益率作为研究样本,提出门限MVC AViaR模型研究国内金融机构间的非对称风险传染关系,并通过Wald统计量检验,分析上涨和下跌机制下金融机构间尾部风险的溢出强度和传递方向.结果表明,门限MV-CAViaR模型能较好得识别金融机构间的风险传染情况,在上涨和下跌两种不同的机制下,金融机构表现出显著的非对称风险溢出效应,其中,上涨机制的风险传染主要体现在非银行金融机构间的闭环式传递,下跌机制的风险传染更多体现在银行与非银行金融机构的相互传递.Taking the index returns of banking,securities,insurance and diversified finance as research samples,this paper proposes the threshold MV-CAViaR model to study the asymmetric risk contagion relationship among domestic financial institutions,and analyzes the spillover intensity and transmission direction of tail risk among financial institutions under the rising and falling mechanism through the Wald statistic test.The results show that the threshold MV-CAViaR model can better identify the risk contagion among financial institutions.Under the two different mechanisms of rising and falling,financial institutions show significant asymmetric risk spillover effect,among which,the risk contagion of rising mechanism is mainly reflected in the closed-loop transmission among non-bank financial institutions.The risk contagion of the falling mechanism is more reflected in the transmission between banks and non-bank financial institutions.

关 键 词：金融机构 非对称性 门限MV-CAViaR模型 尾部风险传染 

分 类 号：F224[经济管理—国民经济] F832.3