互联网金融业对传统金融业风险溢出效应研究

Research on Risk Spillover Effect of Internet Financial Industry on Traditional Financial Industry

通过建立EGARCH-POT-Copula-CoVaR模型,本文分析了互联网金融业对于银行业、证券业和保险业的风险溢出效应。结果显示:第一,如果互联网金融业面临极端风险,其对于银行业、证券业和保险业均存在明显的风险溢出效应,平均溢出比例较高,并且平均溢出效应和平均溢出比例均是证券业最高、保险业次之、银行业最小;第二,在现实中的互联网金融业风险集中爆发时间段内,溢出效应绝对值均增大,但是溢出比例却呈现出差异性,其对于证券业溢出比例增大,而对于银行业和保险业反而减小;第三,互联网金融可能在一定程度上助涨了股市泡沫,监管当局需要严格防范互联网金融风险引发的股市危机。

This paper establishes EGARCH-POT-Copula-CoVaR model to analyze the risk spillover effect of Internet finance industry on banking, securities and insurance industries. The results show that there is a signi ficant risk spillover effect on the banking, securities and insurance industries if the Internet financial market faces extreme risk, and the average spillover effect and the average spillover ratio both are the highest in the securities industry, the second in the insurance industry and the smallest in the banking industry. In the real time of the concentrated outbreak of Internet financial industry risk, the absolute values of spillover effect were all increased. However, the spillover ratio is different, and the spillover ratio of the securities industry was increasing, while the banking industry and the insurance industry were both decreasing. Internet finance may have promoted the stock market bubble to a certain extent, and the regulatory authorities need to strictly guard against the stock market crisis triggered by internet financial risk. Finally, we provide relevant countermeasures and suggestions for the prevention of risk spillover effect of the Internet financial industry to Internet financial platform, traditional financial institutions and regulatory authorities.