基于不同市场状态机制的金融机构风险溢出效应研究

Research on Risk Spillover Effect of Financial Institutions Based on the Mechanisms of Different Market States

系统性金融风险是理论界和实务界探讨的热点。从平静、正常和震荡三种市场状态出发,通过构建静态及动态SDSVaR模型,以及利用两阶段分位数回归法对中国保险、银行、证券及基金业之间的系统性金融风险溢出效应进行实证分析,并以脉冲响应函数刻画风险溢出的方向、强度和持续时间。研究表明:在静态SDSVaR模型下,中国金融机构之间的系统性金融风险溢出效应呈现出不对称性;在动态SDSVaR模型下,中国金融机构之间的系统性金融风险溢出效应与股市走势一致,且SDSVaR模型在市场震荡期对危机的反应更为敏感;对于同一当量的冲击水平,震荡市场状态下的风险溢出效应最强,其中源于基金业的溢出效应最为剧烈,银行业、保险业次之,证券业则最为微弱。应高度警惕经济冲击对金融机构造成的负面影响,稳步推动金融机构的混业经营,全面强化宏观审慎的监管力度,使监管机构发挥其功能性监管的作用。

The systematic financial risk has been a hot issue in the theoretic cycle and the practical circle. Starting from the three market states, i.e., tranquility, normality and vibration, this paper conducts an empirical analysis of the spillover effects of systematic financial risks among Chinese insurance, banking, securities and fund industries through constructing static and dynamic SDSVaR models with the method of two-stage quantile regression. Meanwhile, it uses the impulse response function to depict the direction, intensity and duration of the risk spillover. The findings show that the spillover effects of systematic financial risks among the financial institutions presents an asymmetry under the static SDSVaR model; while under the dynamic SDSVaR model, the risk spillover effect among the financial institutions is consistent with the trend of the stock markets, and the SDSVaR model seems to response more sensitively to the crisis during the period of volatile market. Under the impact of the same equivalent level, the risk spillover effect in the volatile market state is the strongest of all, of which the spillover effect from the fund industry ranks the first, followed by the banking and insurance industries, and the security industry is the weakest. It is necessary to keep a heightened alertness of the negative impact of the economic shock on the financial institutions, steadily promote the mixed operation of the financial institutions, strengthen the macro and prudence regulation in an all around way, and give full play to the regulators in their role of functional regulations.