机构困境关联下风险溢出网络研究——基于我国上市金融机构的实证

Research on Risk Spillover Network under Institutional Predicament

现有金融网络实证研究鲜有涉及机构陷入困境引发风险关联的描述,而现实中的系统性风险往往通过这种极端情形下的关联进行传导。选取2008—2017年上市金融机构数据,以机构间极端风险溢出能力建立有向加权网络,对我国金融行业间的风险动态关联趋势进行分析,并结合网络指标对其中关键金融机构节点进行了识别。结果表明,风险溢出网络对极端金融事件有较好描述作用,网络整体在危机期间的极端风险关联水平较高,2017年金融风险有所释放;银行机构节点具有较强的风险外溢属性,证券机构较易受到其他网络节点的风险冲击,网络中风险溢出关键节点正从早期的国有商业银行向证券业转变。

The current financial network empirical research few concern risks associated with institutional predicament,but the systemic risk in reality is often transmitted through such an extreme case. Based on the data of listed financial institutions from 2008 to 2017, a directed weighted network is established with the extreme risk spillover ability among institutions. The trend of dynamic risk correlation among financial industries in China is analyzed, and the key financial institution nodes are identified with network indicators. The results show that the risk spillover network has a better description of extreme financial events, and the extreme risk correlation level of institutions is higher during the crisis. China’s financial risk declined in 2017. The bank institution nodes have strong risk spillover properties, and the securities institutions are more vulnerable to the risk of other network nodes. The key nodes of risk spillovers in the network are changing from the early state-owned commercial banks to the securities industry.