基于动态Copula-CoVaR模型的影子银行风险溢出效应研究

An Empirical Study on the Risk Spillover Effect of Shadow Banking Based on Dynamic Copula——CoVaR Models

依据2007-2017年中国金融市场运行数据,构建动态Copula-CoVaR模型,考量影子银行风险溢出效应。结果表明:影子银行与传统金融市场存在双向净风险溢出效应,随着时间的推移,溢出效应在逐渐增大;极端风险溢出效应存在不对称特征,影子银行对传统金融市场的冲击较大,且这种冲击具有滞后效应。鉴此,监管部门应夯实金融体系运行基础,创新影子银行监管工具,完善其协调监管模式。

Shadow banking has become an important part of China’s financial system. By using the Chinese financial market data from 2007 to 2017, this paper constructs a dynamic Copula-CoVaR model to study the risk spillover effect of shadow banking in China. The empirical results show that there is a bi-directional risk spillover between shadow banking and financial market;and with the time going by, this kind of risk spillover effect gradually increases. Meanwhile, extreme risk spillover is asymmetric, the shadow banking has stronger extreme risk contagion to traditional financial market, and this effect is accompanied by the lag effect. Thus, the supervisors should strengthen the basis of the financial market, invent more effective supervisory tools and improve the coordination of supervision.