摘要
2015年第二、三季度,我国股市继2008年金融危机之后又出现了一波股市震荡,其震动幅度之大、波及范围之广、波动频率之快,引发了对金融体系系统性风险的担忧。本文采用EVT-GARCH-CoVaR模型,对2008年1月-2015年6月我国金融体系的系统性风险进行了测度,主要结论是:从长期来看,此次股市震荡无论各类金融机构还是整个金融体系的风险基本达到了2008年金融危机时的水平;此次股市震荡引致的整个金融体系的风险主要来自各种类别金融机构自身风险的累积,而不是由个别种类或个别金融机构的风险溢出效应引发。
In the second and the third quarter of 2015, there emerged a round of shock in China＇ s stock market after the financial crisis in 2008, the large amplitude of the vibration, the wide range of the spread and the fast fxeqnency of the fluctuation have triggered the concern about the systemic risk of the financial system. Using EVT-GARCH-CoVaR model, the paper measures the systemic risk of the financial systemin from January 2008 to June 2015 in China. The main conclusion is that in the long nan, the shock of the stock market makes the risks of all kinds of financial institutions and the entire financial system almostly reach the level of the financial crisis in 2008. The risk of the entire financial system led by the stock market shock mainly comes from the accumulation of various categories of financial institutions themselves rather than the risk spillover effect of the individual categories or the individual financial institutions.
出处
《西部金融》
2015年第12期9-13,共5页
West China Finance
