中国金融业系统性风险溢出效应测度——基于GARCH-Copula-CoVaR模型的研究

The Measure of Systematic Risk Spillover Effect in China's Financial Sector——Study Based on the GARCH-Copula-CoVaR Model

随着学术界对系统性风险研究的逐步深入,"风险溢出效应"1越来越受到关注。本文从中国金融业发展现实出发,采用GARCH-Copula-Co VaR拓展模型测度了银行、保险、证券以及信托四个子市场对金融业的系统性风险贡献程度以及各子市场之间的风险溢出程度。研究发现:1每个子市场都存在明显的系统性风险溢出效应,但不同子市场对系统性风险的贡献程度存在差异,银行业是系统性风险的最大爆发源,其次是证券业,保险业和信托业的贡献程度较小;2不同子市场之间也存在风险溢出效应,但溢出程度呈非对称性,银行业和证券业之间的风险溢出效应远大于其它子市场,但应特别关注混业经营趋势下银行业和信托业之间的风险溢出效应。以上结论对动态监测系统性风险的生成和传导,防范系统性金融危机发生具有实证支持作用。

With the gradual depth of academic research on systemic risk,'risk spillover effect'is attracting more and more attention in the academic circles. Based on the reality of China's financial sector,the extending model of GARCH-Copula-CoVaR is used in this paper to measure the contribution to the systemic risk of the financial sector,which includes banking,insurance,securities and trust industry and the risk spillover effects among the different sub-markets. The research results show that there is an obvious spillover effect in each sub-market,which has different contributions to systemic risk. The banking sector is the biggest burst source of systemic risk. Securities rank second and the contribution degree of insurance and trust industry is relatively small. There is a risk spillover effect among different sub-markets but the spillover effect is asymmetric,of which,the risk spillover effect between banking and securities industry is greater than that of other submarkets. The risk spillover effect between banking and trust industry under the mixed management condition should be especially concerned. The above conclusions in this study have empirical support roles in generating and conducting the dynamic supervision of systematic risk and preventing financial crisis.