中国跨市场金融风险的动态溢出效应:系统风险与异质风险  

The Dynamic Spillover Effect of Cross-Market Financial Risk in China:Systematic Risk and Idiosyncratic Risk

作　　者：徐少君[1] 张少华 Shaojun Xu;Shaohua Zhang(School of Economics and Management,Zhejiang Sci-tech University;School of Economics and Statistics,Guangzhou University)

机构地区：[1]浙江理工大学经济管理学院 [2]广州大学经济与统计学院

出　　处：《经济学报》2024年第3期193-242,共50页China Journal of Economics

基　　金：国家社会科学基金项目(19BJL066)的资助。

摘　　要：本文旨在揭示中国不同金融市场的风险类型(系统风险与异质风险)在跨市场传染中的特征、角色以及大小。为此,本文首先构建了银行部门、股票市场、债券市场以及外汇市场的金融压力指数;其次,采用主成分分析法(PCA)将四个金融市场的金融压力指数分解为系统风险和异质风险;最后,采用广义方差分解法研究四个金融市场的系统风险和异质风险间的动态溢出效应。本文创新性的研究发现主要有:(1)如果不考虑系统风险和异质风险的交互性和强传染性,则会严重低估跨市场风险传染的程度。(2)尽管四个市场的系统风险传染网络和异质风险传染网络都相对“自成体系”,但我们仍可识别出,银行系统风险是联结两个网络的主要力量,是整个系统中的重要连结节点。(3)在系统风险网络中,债市系统风险和银行系统风险之间、股市系统风险和债市系统风险之间、股市系统风险和汇市系统风险之间具有显著的双向溢出作用,这些溢出作用均是系统性风险“互溢”网络中最重要的“连接线条”,且债市系统风险是显著的“净发送方”、银行系统风险是显著的“净接收方”。(4)相较于系统风险网络关系,四个市场异质风险间的传染网络关系则更为紧密,其中,债市异质风险是显著的“净风险发送方”,而汇市异质风险则是“净风险接收方”。(5)在面对次贷和欧债危机、2013年流动性危机、2015年股灾和“811”汇改、2017年影子银行高风险和2018年中美贸易摩擦爆发等各种金融冲击时,风险溢出性和传染性增强,且不同的市场(及不同类型的风险)在面对不同的冲击时发挥着阶段性系统重要性金融市场的作用。(6)相较于金融冲击,重大公共卫生冲击(如COVID-19)带来的影响更为显著,金融市场间的溢出网络关系呈现出更为复杂交织的网络结构,且各市场的异质风险在其中发挥了重�The purpose of this paper is to reveal the characteristics,roles and sizes of the risk types(systematic risk and idiosyncratic risk)of different financial markets in cross-market contagion in China.Therefore,this paper first constructs the financial stress index(FSI)of the banking sector,the stock market,the bond market and the exchange rate market.Secondly,principal component analysis(PCA)is used to decompose the financial stress index of four financial markets into the systematic risk and the idiosyncratic risk.Finally,we use the generalized variance decomposition method of Diebold and Yilmaz(2012)to study the dynamic spillover effect among the systematic risk and the idiosyncratic risk of the four financial markets.The innovative findings of this paper are as follows:(1)If the interaction and strong contagion of the systematic risk and the idiosyncratic risk are not taken into account,the degree of cross-market risk contagion is seriously underestimated.(2)Although the systematic risk contagion network and the idiosyncratic risk contagion network of the four markets are relatively“self-contained”,we can still identify that bank systematic risk plays an important role in connecting the two networks and is an important connecting node in the whole system.(3)In the systematic risk network,there are significant two-way spillovers between the bond market and the bank,between the stock market and the bond market,and between the stock market the foreign exchange market,which are the most important“connecting lines”in the systematic risk spillover network.The systematic risk of the bond market is a significant net sender of risk and the systematic risk of the bank is a significant net receiver of risk.(4)Compared with the systematic risk network,the contagion network relationship between the idiosyncratic risks of the four markets is much closer,in which the idiosyncratic risk of the bond market is the significant net risk sender,while the idiosyncratic risk of the exchange market is the net risk receiver.(5)I

关 键 词：系统风险 异质风险 溢出效应 广义方差分解法 系统重要性金融市场(SIFMs) 

分 类 号：F832[经济管理—金融学] F224