我国金融部门的系统性风险:系统重要性与脆弱性

Systemic Risk of Financial Sector in China:Systemic Importance and Vulnerability

文章选取2007年1月至2021年4月的日数据,基于极端风险溢出视角,采用cross-quantilogram模型对我国证券、银行、保险三个金融部门与股市间的风险溢出效应进行实证分析,重点考察各金融部门在2008年、2015年、2018年股灾及2020年新冠肺炎疫情中的系统性风险,评估其系统重要性与脆弱性。结果表明:全样本下各金融部门与股市间存在显著的双向极端风险溢出效应;各金融部门的系统重要性与脆弱性在不同极端事件中存在着异质性特征,其中证券部门在历次极端事件中表现最强。

This article uses the cross-quantilogram model to analyze the risk spillover effects between the stock market and the financial sectors of securities,banking and insurance in China,based on the perspective of extreme risk spillovers and daily data from January 2007 to April 2021.What’s more,it focus on examining the systemic importance and systemic vulnerabilities of various financial sectors in the stock market crashes of 2008,2015,2018 and the COVID-19.The study finds that there is a significant extreme risk spillover effect between each financial sector and the stock market under the full sample.And the systemic importance and systemic vulnerabilities of various financial sectors are heterogeneous in different extrem events,while the securities sector performed the strongest in all extreme events.