发展非银行金融业有利于降低银行业系统性风险吗  

Is the Development of the Non-banking Financial Industries Conducive to Reducing Systemic Risk in the Banking Industry?

作　　者：王姝雅 郭田勇[1] 方意 Wang Shuya;Guo Tianyong;Fang Yi

机构地区：[1]中央财经大学金融学院 [2]中国人民大学国家发展与战略研究院

出　　处：《宏观经济研究》2024年第3期14-32,110,共20页Macroeconomics

摘　　要：随着金融业综合经营程度不断加深,各类非银行金融业对银行业系统性风险的影响更为复杂,存在风险传染和风险分担两种不同的影响方向,增加了风险识别和处置的难度。本文通过双重ΔCoVaR系统性风险溢出模型估算各类非银行金融业对银行业系统性风险的净溢出效应,平均来看,净溢出大于零的行业会加剧银行业系统性风险,即风险传染的作用更大,如保险业、投资银行业和经纪业;小于零则能降低银行业系统性风险,即风险分担的作用更大,如多元金融服务、多元资本市场、资产管理与托管银行。拆解溢出效应,进一步发现非银行金融业与银行业的相关性是决定影响方向的关键。由上,本文认为在金融业综合经营发展的过程中,既要重视防范非银行金融业带来的风险,也要重视对金融体系结构优化的研究,充分发挥非银行金融业对银行业服务实体经济的有益补充。With the deepening degree of financial industry conglomeration,the impact of various types of non-banking financial industries on the systemic risk of the banking industry is more complex,and there are two different directions of impact,namely,risk contagion and risk sharing,which increases the difficulty of risk identification and disposal.This article estimates the net spillover effect of various types of non-banking financial industries on banking systemic risk through the dual-ΔCoVaR systemic risk spillover model.On average,industries with a net spillover greater than zero exacerbate banking systemic risk,i.e.,risk contagion is more important,such as insurance,investment banking and brokerage;while those with a net spillover less than zero reduce banking systemic risk,i.e.,risk sharing is more important,such as diversified financial services,diversified capital markets,asset management and custodian banking.Disentangling the spillover effects further reveals that the correlation between the non-banking financial industries and the banking industry is crucial in determining the direction of impact.From the above,this article argues that in the process of the development of financial industry conglomeration,it is necessary to pay attention to the prevention of risks brought by the non-banking financial industries,as well as the research on the optimization of the structure of the financial system,so as to give full play to the non-banking financial industries as a useful supplement to the banking industry in serving the real economy.

关 键 词：金融业综合经营 非银行金融业 银行业 系统性风险 溢出效应 

分 类 号：F832[经济管理—金融学] O29[理学—应用数学]