基于相互关联性视角的我国金融体系系统性风险和体系内风险传导的时变研究

Time-varying Analysis on Systemic Risk and Risk Transmission in the Financial System of China in the Perspective of Interconnectedness

基于相互关联性的视角,本文采用主成分分析法和VAR-MVGARCH(1,1)-BEKK模型对我国金融体系的系统性风险进行衡量,并对系统内各个行业或市场间的风险传导进行检验。主成分分析法具有在收益率层面更好地展现系统性风险时变特征的优势,VAR-MVGARCH(1,1)-BEKK模型则在波动率层面考虑了风险传导方向伴随某些政策事件可能发生的变化。结果表明,我国金融体系的系统性风险在近十几年中具有显著的时变特征,宽松的货币政策是导致系统性风险升高的重要原因。我国各项政策的颁布和市场环境的改变也导致风险在金融体系内各个行业或市场间传播的方向发生变化。

In the perspective of interconnectedness,we evaluate the fluctuation of the systemic risk and determine the direction of the risk transmission in the financial system in China by using respectively the principal component analysis and the VAR-MVGARCH（1,1）-BEKK model.The methods take into account the time-vary characteristic of the systemic risk and the possible change of the risk transmission direction. The results show that in the recent fifteen years,the systemic risk in the financial system is fluctuating constantly,and the accommodative monetary policy is a main reason causing the increase of the systemic risk. The direction of the risk transmission is also changing along with the enacting of new policies and the varying of the financial environment.