保险机构与其他金融机构系统关联性研究——兼论保险机构的系统重要性

The Research on Systematic Correlation between Insurance Companies and Other Financial Institutions——Also on the Systemic Importance of Insurance Companies

金融机构混业经营的趋势在提高金融体系效率的同时加剧了其关联性风险,这使得研究我国保险机构与其他金融机构间的系统关联性问题尤为重要。本文选取保险、银行、证券与信托四部门的上市金融机构,分别在一般情况和两次牛熊市转化的极端情况下基于Granger因果网络模型研究保险机构与其他金融机构系统关联性,并且在考虑规模、关联性与复杂度三个因素下对金融机构进行了系统重要性分析。研究表明,银行部门是与保险部门联系最紧密的金融部门;保险部门对其他金融部门在熊市时比在牛市时存在更显著的Granger关系;规模是保险机构系统重要性评估中的重要指标。

The trend of mixed operation by financial institutions improves the efficiency of the financial system, but also increases the correlation risk. This phenomenon makes the research on the correlation between insurance insti- tutions and other financial institutions crucial. Based on this, we selected 4 kinds of publicly listed financial institu- tions, insurance companies, banks, security firms and trust companies, and using the Granger causality test meth- od, analyzed their correlation in a common situation and two extreme situations of bull bear transformation. We also carried out the study on their systemic importance by considering their size, complexity and correlation. The results showed that the banking sector was the most closely correlated to the insurance sector;the insurance sector in the bear market had more significant Granger ties to other financial institutions than in the bull market;size was an im- portant factor in assessing the systemic importance of insurance institutions.