城市商业银行风险的关联性及溢出效应研究

Research on the Risk's Correlation and Spillover Effect of the City Commercial Bank

基于2017—2020年12家沪深上市城市商业银行863个交易日的面板数据,利用广义方差分解法,分析上市城市商业银行金融风险的关联性及空间溢出效应。研究结论表明:城市商业银行间的风险溢出显著双向关联且存在风险溢出性,外部冲击对城市商业银行间的冲击具有异质性,但是银行间的风险外溢及风险净溢出效应具有一定差异。城市商业银行间的风险具有动态溢出效应,金融风险具有周期波动性且极端事件的外部冲击较为明显。城市商业银行金融风险溢出效应具有显著的网络效应,部分银行的网络溢出效应较为突出。为此,需要强化地方商业银行经营风险监管、增强造血能力、建立风险联席处置机制,以不断降低其金融风险及风险传染性。

Based on the panel data of 863 trading days of 12 Shanghai and Shenzhen listed city commercial banks in 2017 and 2020,the generalized variance decomposition method is used to analyze the financial risk relevance and spatial spillover effects of listed city commercial banks.The results show that the risk spillover among city commercial banks is significantly two-way related and there is risk spillover,and the impact of external shocks on city commercial banks is heterogeneous.However,there are some differences in risk spillover and net risk spillover effects between banks.The risk among city commercial banks has dynamic spillover effect,the financial risk has periodic volatility and the external impact of extreme events is more obvious.The financial risk spillover effect of city commercial banks has a significant network effect,and the network spillover effect of some banks is more prominent.For this reason,it is necessary to strengthen the operational risk supervision of local commercial banks,enhance the ability of hematopoiesis,and establish a joint risk management mechanism to continuously reduce their financial risks and risk infectivity.