摘要
本文利用标准的GARCH-CoVaR状模型计算我国外部影子银行体系对上市商业银行的风险溢出效应。在对前人研究总结的基础上，分析影子银行对商业银行的作用机理和GARCH-CoVaRR模型的计算，实证研究结果表明：考虑影子银行对商业银行风险溢出后，股份制银行中，民生银行、中信银行的风险溢出强度大，而城商行中则以宁波为代表，他们对其他银行的强度较小。
This paper uses the standard GARCH-CoVaR model to calculate the risk spillover effect of China＇s external shadow banking system on listed commercial banks. Based on the summary of the previous studies, the paper analyzes the mechanism of the shadow bank＇s commercial banks and the calculation of the GARCH-CoVaR model. The empirical results show that after considering the risk of commercial banks＂ risk spiUovers, the Bank, Minsheng Bank, CITIC The bank＇s risk spillovers are strong, and the city＇s firms are represented by Ningbo, and their strength on other banks is small.
作者
姚亚伟
耿娜
Yao Yawei Geng Na(Shanghai Normal University, Shanghai 200033, Chin)
