机构规模、财务杠杆与金融系统性风险溢出--基于区域、行业及机构异质性的视角

Institutional Size,Financial Leverage and Financial Systemic Risk Spillover——Based on the Heterogeneity Perspective of Regions,Industries and Institutions

在我国实施金融严监管和去杠杆的背景下,深入研究金融机构系统性风险的演化趋势及其关键驱动因素,对于化解金融系统性风险具有重要意义。本文以国内60家上市金融机构为研究对象,采用DCC-GARCH-CoVaR方法和动态面板模型来测度这些金融机构的系统性风险溢出效应及其关键影响因素。研究结论表明:各金融子行业之间的联动性呈下降趋势,表明2017年实施的金融严监管政策有效降低了金融机构的系统性风险溢出效应;金融机构系统性风险溢出具有显著的自相关性和顺周期性特征,资产规模、财务杠杆、自身风险、市场波动均对其有显著的正向促进作用,且这种作用存在行业、区域和企业性质上的差异;金融深化也会提升金融机构的系统性风险水平并扩大其溢出效应,但这种促进作用会随着区域经济发达程度的上升而下降。鉴此,本文认为,降低金融机构的财务杠杆、增强其盈利能力和运营能力,是降低其系统性风险水平和溢出效应的重要途径。

Under the background of strict financial supervision and de-leverage in China, it is of great significance to study the evolutionary trend of financial institutions and its key drivers in order to resolve financial systematic risks. This paper takes 60 listed financial institutions in China as the research object, and uses DCCGARCH-CoVaR method and dynamic panel model to measure the systematic risk spillover effects and key influencing factors of these financial institutions. The linkage among various financial sub-industries shows a downward trend.The financial strict supervision policy implemented in 2017 has effectively reduced the systematic risk spillover effect of financial institutions. Systematic risk spillovers in financial institutions have significant autocorrelation and procyclical characteristics. Asset size, financial leverage, risk at value, and market volatility all have a significant positive effect on systematic risk and its spillovers, but this effect varies in industry, region, and firm nature. The degree of financial deepening has exacerbated the systematic risk level and spillover effects of financial institutions, and this promotion has declined as the degree of regional economic development increased. Reducing financial institutions’ financial leverage, enhancing their profitability and operational capabilities are important ways to effectively reduce their systematic risk levels and spillovers.