机构关联、风险溢出与中国金融系统性风险

Interconnectedness、Risk Spillovers and China's Financial Systemic Risk

本文基于现有研究文献,解析金融机构关联性与风险传染之间的机制,运用非对称Co VaR模型和分位数回归的方法,测度证券、银行、保险等机构的风险溢出水平,实证研究中国金融系统性风险的动态变化。结果表明,中国金融机构的风险溢出具有非对称的特征,负向冲击对金融系统的风险溢出要比遭受正向冲击时大,银行机构的风险贡献程度比其他机构小,证券部门的风险贡献值较大。

The highly interconnected may stimulate risk spillovers of financial institutions and induce systemic risk.Based on relative research,this paper explains the mechanism of interconnectedness and risk contagion. Using data,the paper apply Co VaR and quantile regression to measure risk spillover of Chinese financial institutions,which includes banking,securities and insurance sectors. The empirical results show that the risk spillovers of financial institutions are symmetric and the risk contribution of banks is small while the risk contribution of securities companies is relatively high.