金融机构关联度与系统性风险的测度

Connectedness and Systemic Risk Measuring of Financial Institions

日益增加的金融机构倒闭和日趋严重的金融市场动荡引起全球对于金融系统风险的关注,文章基于主成分分析方法和格兰杰因果检验所构建的指标,从金融机构之间的关联度入手,采用银行、证券、保险、基金四个部门2008—2012的周数据,测量中国金融机构的风险传染和系统性风险的水平,结果发现,中国的证券机构与其他金融机构的关联最为紧密,因而容易溢出风险也容易受到其他金融机构的冲击,而中国的商业银行虽然规模巨大,但在风险的传导方面却比较稳定,同时,文章还通过识别高风险溢出的金融机构,预测和防范中国的金融系统性风险。

As financial crisis outbreak frequently,the systemic risk issue has attracted more and more attention.In this paper,we propose several measures of connectedness and the systemic risk degree based on principle components analysis and granger causality method.We contain four financial sectors in our analysis,including banking,securities,insurance and fund.We find that the securities sector has more connections with others,likely increasing the level of systemic risk.And the banking sector seem to be more stable in our analysis,though it has large size.In this paper,we also try to monitor the dynamic changes of financial systemic risk and recognize the high risk spillover institutions.