中国香港、中国内地及日本金融系统风险测度与溢出效应探究

Study on Risk Measurement and Spillover Effect of Financial System in China.Hong Kong,China's Mainland and Japan

进入新世纪以来,随着全球金融一体化程度加深与国际形势不确定性的增强,不同区域与国家间金融系统风险的传染性明显提升,准确识别并有效防范金融系统风险刻不容缓。文章在梳理现有文献的基础上,采用VaR模型分别对中国香港、中国内地和日本的金融系统风险进行度量。研究结果表明,中国香港金融系统风险基本趋于平稳,但偶有剧烈波动;中国内地金融系统风险整体波动明显,但维持在可控水平;日本金融系统风险虽然近两年趋于稳定,但阶段性高点也较为突出。研究发现,中国香港、中国内地、日本之间存在金融系统风险的传导链关系和显著的风险溢出效应,这使得三地难以独自维持金融稳定、实现金融安全。因此,只有在加强对三地金融系统风险监测的基础上,构建与完善区域金融协调机制,才是应对风险的上策。

Since the beginning of the new century,with the deepening of global f inancial integration and the increasing uncertainty of international situation,the contagion of financial system risk among different regions and countries ha s increased significantly.Therefore,it is urgent to accurately identify and eff ectively prevent financial system risk.Based on reviewing the existing literatur e,this paper uses VaR model to measure the financial system risk of Hong Kong,China's Mainland and Japan respectively.The results show that,the financial sys tem risk in Hong Kong,China tends to be stable,but occasionally fluctuates vi olently;the overall financial system risk in China's Mainland fluctuates obviously,but remains at a controllable level;the financial system risk in Japan tends to be stable in recent two years,but the staged high points are also relativel y prominent.Further research shows that there are transmission chain and signif icant risk spillover effect between Hong Kong,China's Mainland and Japan,which m akes it difficult for them to maintain financial stability and achieve financial security alone.Therefore,Building and improving the regional financial coordi nation mechanism on the basis of strengthening the risk monitoring of the three financial systems is the best way to deal with risk.