金融风险动态相关与风险溢出异质性研究

A Study on the Dynamic Correlation of Financial Risk and Heterogeneity of Risk Spillover

随着金融的深度融合,金融各行业在创新驱动下,推出跨行业、跨主体的金融产品和投资业务,虽然增加了自身经营活力,但是内部控制的缺失,加上监管机制不成熟,使得金融系统内的交叉风险极易滋生和传染。为了捕捉金融风险动态关系,本文通过构建DCC-GARCH模型刻画银行业、证券业、保险业、信托业以及金融期货的动态相关性,分析它们的风险溢出效应;同时,将该模型参数和结果植入CoVaR方法中,进一步度量并解析当某一金融行业陷入困境时,对其他金融行业的风险溢出贡献。结果显示:金融行业间存在很强的风险溢出效应,但是不同的行业对其他行业的风险溢出程度存在动态变化;证券业对其他金融行业的平均风险溢出贡献最大;银行业对其他金融行业的平均风险溢出贡献较小;金融期货在市场稳定期,对金融行业的风险溢出贡献小,不稳定时期的风险溢出贡献最大。认清该事实特征,有助于监管部门发现金融风险传导和集聚路径,通过细化和分类监管,化解风险,维护我国金融系统的稳定。

As the financial integration developed deeply, financial sectors have launched some financial products and businesses cross industry and financial institute through innovation, although it improved business vitality, the lack of internal control, and supervision mechanism was not mature, the cross risk is easy to breed and spread in the financial system. To capture the dynamic relationship of the financial risk, this paper constructs DCC-GARCH model, and describes the dynamic correlations between banking, securities, insurance, trust and futures, analyzes their risk spillover effect. Meanwhile, substituting the parameters and results of DCC-GARCH model into the CoVaR method, we measure and analyze the risk spillover contribution to other financial sectors when a financial sector is in trouble. The results show that there is a strong risk spillover effect in financial sectors, but there is a dynamic volatility of risk spillover in different sectors. The securities has the largest contribution of risk spillover to other financial sectors. The banking contributes the less risk spillover to other financial sectors. Stock index future has little contribution of risk spillover to other financial sectors in the stability period, but it has greatest contribution of risk spillover to other financial industry in the instability period. Recognizing those characteristics, they can contribute to regulatory authorities to find differences of risk contagion in financial sectors, we can decrease risks through the refinement and classification regulation, and maintain the stability of China＇s financial system.