我国金融市场间风险传染与系统性风险溢出效应——基于银行、证券、保险市场的E-CoVaR模型分析

E-CoVaR Research on Risk Contagion and Systemic Risk's Spillover Effects: Take Banking, Securities and Insurance Industries of China for Example

本文运用E-CoVaR模型,结合分位数回归技术,测度了我国银行、证券和保险市场之间的风险传染强度以及各金融市场系统性风险溢出效应,并探明了各金融市场系统性风险溢出效应随经济形势变化的规律。研究结果表明:总体来看,银行市场的风险传染强度和系统性风险贡献度最大,证券市场其次,保险市场再次;从动态分析来看,我国金融市场的系统性风险贡献度与市场繁荣程度正相关,在金融危机期处于较高水平。

In this paper, based on E-CoVaR model and Quantile Regression Theory,we measure the risk contagion effection among banking,securities and insurance industries.We also quantify the contribution of single financial industry to China＇s financial systemic risk and its time-variant trend under different risk levels. Theresult indicates that banking contributes the most risk contagion effection and systemic, while the insurance contributes the least. The securities＇ contributions are between the above two. From the dynamic analysis, the degree of the risk spillover effects of the financial sub-sectors is positive correlatively whit the economic prosperity and during the financial crisis, the risk spillover effects of our country＇s financial industries are larger than the normal.