金融创新风险防范路径选择——基于与实体经济行业间的风险溢出效应分析  

Path Selection for Financial Innovation Risk Prevention:An Analysis of Risk Spillover Effects with the Real Economy Industry

作　　者：段誉 张悦 方雯[1] DUAN Yu;ZHANG Yue;FANG Wen(School of Economics&Management,Beijing Jiaotong University,Beijing,100044)

机构地区：[1]北京交通大学经济管理学院

出　　处：《云南社会科学》2024年第3期69-80,共12页Social Sciences in Yunnan

基　　金：国家自然科学基金青年项目“基于Ising模型的股票价格投机泡沫形成机制研究”(项目号:72101020);北京市科学技术委员会基金项目“北京市自然科学基金项目管理创新研究”(项目号:Z181100007218009)的阶段性项目。

摘　　要：针对金融创新与实体经济指数间的复杂联动性,首先采用GJR-GARCH模型检验尾部风险的ARCH效应、捕捉极端波动冲击的杠杆效应,以及刻画指数序列尾部风险随着时间变化的动态规律;其次利用SJC-copula函数拟合边缘分布函数并描述上尾风险和下尾风险;最后采用CoVaR方法估计风险溢出的大小和方向。研究结果表明,各指数的收益率时间序列均存在ARCH效应和条件异方差特征,金融创新与实体经济间存在动态联动效应以及正向的相关关系,且下尾相关系数大于上尾相关系数,风险的溢出效应具有非对称性。这些结果可以为监管部门的政策制定和企业的风险防范提供一定的科学依据。In response to the complex linkage between financial innovation and the real economy index,this article first employs the GJR-GARCH model to examine the ARCH effect of tail risk,capture the leverage effect of extreme volatility shocks,and characterize the dynamic patterns of tail risk in index sequences over time.Then,the SJC-copula function is used to fit marginal distribution function and describe the upper and lower tail risks.Finally,the CoVaR method is applied to estimate the size and direction of risk spillovers.The research findings indicate that the return time series of each index exhibit ARCH effect and conditional heteroscedasticity characteristics.There exists a dynamic linkage effect and positive correlation between financial innovation and the real economy,with the lower tail correlation coefficient greater than the upper tail correlation coefficient,suggesting an asymmetry in risk spillover effects.These findings can provide a scientific basis for the policy-making of regulatory authorities and risk prevention for enterprises.

关 键 词：金融科技 实体经济 金融创新 风险溢出 

分 类 号：F83[经济管理—金融学]