我国金融混业经营与系统性金融风险——基于高维风险关联网络的研究

China's Universal Financial Operation and Financial Systemic Risk--A Study on High-Dimensional Risk Interconnected Network

针对金融体系内混业经营趋势带来的系统性金融风险高维特性,本文采用可以处理高维时序变量的LASSO-VAR模型和广义方差分解方法构建我国63家上市金融机构以及房地产机构的波动风险关联网络,并从总体、部门与机构三个层面进行网络分析,以探究不同时期系统性金融风险的产生原因与跨部门传染特征。研究结果表明:(1)我国金融体系波动风险关联总水平在风险聚集时期会出现显著上升,而跨部门风险关联水平上升是重要推动因素;(2)自身经营风险水平以及市场占比等因素会决定各部门在风险关联网络中扮演的角色,其中,证券部门为主要的风险溢出部门,其他金融业与房地产部门为主要的风险溢入部门;(3)混业经营可以提高不同部门机构间实际关联水平,从而成为部门间风险关联水平上升的重要推动因素之一,且各部门中混业经营程度越高的机构跨部门风险传染行为越显著,并在危机时期加剧了系统性金融风险水平的上升。

Considering the high-dimensional characteristic of systemic financial risk due to the trend of the universal financial operation,this paper uses the LASSO-VAR model that can handle high-dimensional time-series variables and the generalized variance decomposition method to construct the volatility risk interconnected network of 63 listed financial institutions and real estate companies in China.Network analysis is conducted at three levels of the whole,the department,and the institution to explore the causes of systemic financial risk and the characteristics of cross-sector contagion in different periods.The results are as follows:first,the overall level of volatility risk interconnectedness within China's financial system increases significantly during the period of risk accumulation,and the rise of cross-sector risk correlation is an important driving factor;second,the sector's own operational risk level and market share will determine its role in the risk interconnected network;the securities sector is the main risk-spreader while other financial sectors and the real estate sector are the main risk-takers;third,increasing the level of business connectedness between two sectors,the universal financial operation pattern raises their risk interconnectedness significantly.Moreover,the institutions with a higher comprehensive operation level tend to transmit more cross-sectoral risk,and such impact will be more significant during the financial crisis.