基于复杂网络理论的行业间风险传染研究  

Research on Inter-industry Risk Contagion Based on Complex Network

作　　者：宋金彪 吕秀梅[1] Song Jinbiao;Lyu Xiumei(School of Finance,Chongqing Technology and Business University,Chongqing 400067,China)

机构地区：[1]重庆工商大学金融学院,重庆400067

出　　处：《金融理论探索》2024年第3期30-39,共10页Exploration of Financial Theory

基　　金：国家社科基金项目“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”(19XYJ022)。

摘　　要：当前我国经济下行压力较大,行业间相互依赖程度高,精准度量并及时预测行业间的风险传递可有效防范系统性风险。本文基于DCC-GARCH模型和广义预测误差方差分解法构造了行业间风险传染网络,并使用SIRS模型对我国31个行业进行了风险传染模拟研究。结果发现:不同行业间的金融风险传染呈现多样化特征,应采取差异化的风险管理策略;行业风险传染网络呈现出无标度特征,高节点度数行业在风险传染过程中具有较大影响力;在网络稳健性检验中,蓄意攻击会对网络产生更大破坏,为增强风险传染网络的韧性,需要强化高度连通节点行业的风险防控;SIRS风险模拟结果显示,在风险传染的过程中应积极采取行业救助措施以促进受影响行业的快速恢复。The current downward pressure on China’s economy is significant,and there is a high degree of interdependence among industries.Accurate measurement and timely prediction of risk transmission among industries can effectively prevent systemic risks.This study constructs an inter-industry risk contagion network based on the DCC-GARCH model and the generalized forecast error variance decomposition method.Additionally,the SIRS model is used to simulate the risk contagion of 31 industries.The research finds that risk contagion among different industries exhibits diverse characteristics,so they should adopt differentiated risk management strategies.The industry risk contagion network exhibits scale-free characteristics,and high node degree industries have a significant influence in the risk contagion process.In network robustness testing,deliberate attacks can cause greater damage to the network.To enhance the resilience of risk transmission networks,it is necessary to strengthen risk prevention and control in highly connected node industries.The SIRS risk simulation results show that industry rescue measures should be actively taken during the process of risk transmission to promote rapid recovery of affected industries.

关 键 词：金融风险 风险传染 行业风险 复杂网络 SIRS模型 

分 类 号：F832[经济管理—金融学]