金融去杠杆前后银行业系统性风险传染发生变化了吗

Has the Systemic Risk Transmission of the Listed Banking Financial Institutions Changed before and after Financial Deleveraging

金融去杠杆是我国供给侧结构性改革关键领域的核心工作之一,是规范金融机构经营发展、防范化解系统性风险的重要举措。合理测度和评价金融去杠杆的成效,是进一步推进供给侧结构性改革的重要内容之一。本文对于金融去杠杆成效的评价,主要是从上市银行业机构系统性风险传染的变化角度开展。通过上市银行股票价格数据和基于分位数回归的CoVaR方法,测度单家机构系统性风险的边际贡献情况,并对供给侧结构性改革前后的风险溢出情况进行了对比分析。结果显示:供给侧结构性改革在一定程度上降低了商业银行发生系统性风险的概率,其中股份制银行和地方中小法人银行的风险溢出程度下降更为明显。

Financial deleverage is one of the core tasks in the key areas of supply-side structural reform in China. It’s an important measure to regulate the development of financial institutions and prevent and resolve systemic risks. Measuring reasonably and evaluating the effectiveness of financial deleveraging is one of the important contents of further promote supply-side structural reform. This paper mainly evaluates the effectiveness of financial deleveraging from the perspective of the systemic risk contagion of listed banking institutions. The article measures the marginal contribution of systemic risk of a single institution through the stock price data of listed banks and the Co Va R method which based on quantile regression, and compares the risk spillover situation before and after the supply-side structural reform. The results show that the structural reform of the supply side reduces the probability of systemic risks in commercial banks to a certain extent, and the risk spillovers of joint-stock banks and local small and medium-sized corporate banks have declined more obvious.