基于图神经网络模型的金融危机预警研究——全行业间信息溢出视角

A Study on Financial Crisis Early Warning Based on Graph Neural Networks Models:A Perspective of Information Spillover among Industries

建立科学的金融危机预警模型,对防范化解重大金融风险和维护国家金融安全具有重大意义。不同于现有的以预警指标体系为基础的预警模型,本文提出了一种新的以信息溢出网络为基础的图神经网络(GNNs)预警模型。首先运用Elastic-Net-VAR模型构建我国各行业间的三种信息(风险、波动率和收益率)溢出网络,然后分别运用门控图神经网络(GGNN)和图同构网络(GIN)建立以信息溢出网络为输入变量的金融危机预警模型(包括双信号预警模型和三信号预警模型)。最后综合对比了GNNs模型和其他5种模型的预警性能。实证结果表明:风险溢出网络和波动率溢出网络对危机事件的敏感程度强于收益率溢出网络。工业、可选消费和材料行业居于网络的中心位置,是主要的系统重要性行业,金融行业更易受到实体行业风险溢出的影响,实体行业间主要表现为产业链上游供给方对下游需求方产生风险溢出。在双信号预警模型中,基于风险溢出网络的GGNN模型和支持向量机(SVM)模型具有最优的预警性能;在三信号预警模型中,基于风险溢出网络的GIN模型具有最优的预警性能。本文的研究为监管部门科学防范金融危机提供了具有可操作性的新工具。

Establishing a scientific financial crisis early warning model is of great significance to prevent and dissolve major financial risks and maintain national financial security.Different from the existing early warning models based on early warning index system,this paper proposes a new graph neural networks(GNNs) early warning model based on information spillover networks.Firstly,this paper uses Elastic-Net-VAR model to construct three kinds of information(risk,volatility,and return rate) spillover networks among Chinese industries,and then uses gated graph sequence neural networks(GGNN) and graph isomorphism networks(GIN) to establish the financial crisis early warning models(including the dual signal early warning models and the three-signal early warning models) with the information spillover networks as the input variables.Finally,the early warning performance of the GNNs models is comprehensively compared with other five models.The empirical result shows that the risk spillover networks and the volatility spillover networks are more sensitive to crisis events than the return spillover networks.Industrial,consumer discretionary,and material industries are at the center of the networks,and are the main systemically important industries.The financial industry is more susceptible to risk spillover from the entity industries.The entity industries are mainly affected as the risk spillover from the upstream supply side of the industrial chain to the downstream demand side.In the dual signal early warning models,the GGNN model based on the risk spillover networks and support vector machine(SVM) model have the best early warning performance.In the three-signal early warning models,the GIN model based on the risk spillover networks has the best early warning performance.The research of this paper provides an operable new tool for regulatory authorities to prevent financial crisis scientifically.