经济波动、业务异质性与保险业系统性风险研究

Economic Fluctuations,Business Heterogeneity and Systemic Risk in Insurance Sector

本文将马尔科夫区制转移模型和CCA模型相结合,对保险业系统性风险中内部脆弱性和外部经济波动的影响进行分解,研究引起系统性风险变化的内生性因素,刻画不同经济状态下外部经济波动对保险业系统性风险影响的时变特征,并引入保险业务异质性背景,研究其与系统性风险中经济波动影响的关系。实证结果表明,经济波动对美国保险业系统性风险的影响较为明显,影响来源于国内经济波动、国内政策干预和国际经济波动三种因素;而中国保险业系统性风险主要来源于内部脆弱性,经济波动发挥"增效器"作用。业务异质性在"经济上行期"对保险业系统性风险中的经济波动影响作用有限,而在"经济下行期",非核心业务的大量开展会显著增加系统性风险中的经济波动影响。因此,本文建议对保险公司核心业务和非核心业务实施差异化监管,同时关注中国保险业系统性风险的顺周期性特征。

This paper combined Markov regime switching model with CCA model, to separate the impact of internal vulnerability from external economic fluctuations in the systemic risk of the insurance sector. Subsequently, it ana- lyzed the endogenous factor resulting in systemic risk changes and depicted the time-varying feature of the impact of external economic fluctuations on insurance sector＇ s systemic risk under different economic conditions. Then,it con- sidered the background of insurance activity heterogeneity, and studied its relationship with the impact of economic fluctuations on systemic risk. The empirical results indicated that American insurance sector＇ s systemic risk was significantly influenced by economic fluctuations ,with domestic economic fluctuations, domestic policy intervention and international economic fluctuations as the sources of impact ; however, China＇ s insurance sector＇ s systemic risk mainly originated from its internal vulnerability, while economic fluctuations exerted a ＂ multiplier＂ effect. During the period of ＂economic upswing＂, business heterogeneity had little to do with economic fluctuations in the systemic risk of the insurance sector, while during ＂ economic downturn＂, massive non-core business would significantly in- crease the impact of economic fluctuations on systemic risk. Therefore, this paper suggested that we should make differentiated supervision between core business and non-core business of insurance companies, as well as pay attention to the pro-cyclicality of systemic risk in China＇ s insurance sector.