我国系统性金融风险传染的空间结构及时变特征

The Spatial Structure and Time-varying Characteristics of China's Systemic Financial Risk Contagion

本文构建一个格兰杰因果尾部风险网络,从整体网络关联性视角考察我国系统性金融风险的空间结构及时变特征。结果表明:一是从总体看,2008年以来,金融体系风险溢出效应波动上升,资管新规的实施使溢出效应由升转降,新冠肺炎疫情导致溢出效应短暂上升,但目前已回落至低位;二是从风险的空间结构看,房地产部门较高的风险出度和入度引发了风险加速机制,使其成为重要的风险源和承担者;三是从风险的时变特征看,保险、证券等业务创新多的部门风险来源的角色在强化,银行向信托、证券业的风险溢出近年来有所上升。基于以上结论,本文认为,当前应当进一步完善资管新规,加大对金融创新业务的风险监测,密切关注房地产部门风险。

Constructing a Granger causal tail risk network,the spatial structure and time-varying characteristics of systemic financial risks are to examined from the perspective of the overall network relevance.The results show that:firstly,from a general perspective,the financial system risk spillover effect has increased since 2008.The implementation of new asset management regulations has stopped the rising trend of the spillover effect.While the Covid-19 caused the spillover effect to rise temporarily,but it has fallen to a low level now;secondly,from the perspective of the spatial structure,the higher outbound and inbound indexes of the real estate sector have triggered a risk acceleration mechanism,making it an important source and bearer of risks;thirdly,from the perspective of the time-varying characteristics of risks,the role of risk sources in sectors with more innovative businesses such as insurance and securities is strengthening.Bank risk overflow has led to an increase in the risks assumed by the trust and securities industries in recent years.Based on the above conclusion,it is imperative to improve the targeting of risk prevention and resolution,strengthen risk monitoring of financial innovation businesses and pay close attention to the risks of the real estate sector.