多部门资产负债关联性对系统性金融风险的影响  

The Impact of Multi-Sector Asset-Liability Correlation on Systemic Financial Risk

作　　者：童中文 刘智华 TONG Zhongwen;LIU Zhihua

机构地区：[1]安徽工业大学商学院,安徽马鞍山243032

出　　处：《淮南师范学院学报》2025年第2期45-52,共8页Journal of Huainan Normal University

基　　金：国家社会科学基金项目“基于六部门资产负债表分层网络的系统性金融风险传播路径及防范对策研究”(22BJY183)。

摘　　要：防范化解重大风险是金融工作的主题,研究系统性金融风险的影响因素对防范化解重大风险具有一定意义。文章使用金融资产负债关联网络研究关联性,利用CCA模型研究风险传染,借助TVP-VAR模型研究关联性对系统性金融风险的影响。研究表明:金融部门与其他部门的资产关联性和负债关联性较强,在金融资产负债关联网络中处于核心地位;部门间的金融资产负债关联网络会放大初始冲击,减缩各部门的债务违约距离,提升各部门的金融风险;部门间资产关联性和部门间负债关联性对系统性金融风险的短期影响具有一致性,关联性的提高会提升系统性金融风险。Preventing and resolving major risks is the eternal theme of financial work.Studying the influencing factors of systemic financial risks is of great significance to preventing and resolving major risks.This paper uses financial asset-liability correlation network to study correlation,CCA model to study risk contagion,and TVP-VAR model to study the impact of correlation on systemic financial risk.The results show that the financial sector has strong asset correlation and liability correlation with other sectors,and is in the core position in the financial asset liability correlation network.The inter-sectoral financial asset liability correlation network will amplify the initial impact,reduce the debt default distance of each sector,and enhance the financial risk level of each sector.Inter-sectoral asset correlation and inter-sectoral liability correlation have consistent short-term impacts on systemic financial risks,and the improvement of correlation will enhance the level of systemic financial risks.

关 键 词：资产负债关联性 系统性金融风险 CCA模型 TVP-VAR模型 

分 类 号：F832[经济管理—金融学]