中国金融体系的系统性风险度量

Measurement of the Systemic Risk of China's Financial System

金融体系的系统性风险在2007-2009年金融危机以后受到广泛的关注。基于CoVaR方法,本文度量了我国公开上市的27家金融机构2008-2013年的系统性风险,并建立了一个预测系统性风险的模型。结果显示,我国银行业金融机构对系统性风险的贡献较大,证券期货业金融机构对系统性风险贡献最小;金融危机期间,金融机构的系统性风险明显高于其他时期,而2012年7月以来,金融体系的系统性风险呈上升趋势;根据系统性风险的预测模型,财务杠杆率高、规模小、盈利能力好的金融机构的系统性风险贡献更高,自身风险较高的金融机构其系统性风险贡献也更高。系统性风险预测模型能有效指导金融监管政策的实施,并能避免依据当期系统性风险状况进行监管的顺周期性问题。

The systemic risk in financial system attracted widespread attention after the financial crisis of 2007-2009. Based on the CoVaR measure, this paper measures systemic risk of 27 publicly listed financial institutions between 2008 and 2013. And we proposed a model to predict systemic risk in the future. The results showed that： the banking institution had a large contribution to the systemic risk, and the securities and futures industry＇ s contribution was the least. During the finan- cial crisis, the systemic risk was significantly higher than other periods. And since July 2012, the systemic risk had demon- strated a rising trend. Based on the forward model, if an institution has a higher leverage, or its size is smaller, or it has a better profitability, it also has higher systemic risk contribution. In addition, the contribution of high-risk financial institutions is also higher. The forward systemic risk model can effectively guide the implementation of the financial regulation policy, and avoid the procyclicality of the regulation policy based on the current systemic risk.