中国金融机构时变关联性测度研究——来自频域视角的新证据

Time-varying connectedness measurement of Chinese financial institutions:New evidence from the frequency domain perspective

金融机构关联是衡量系统性金融风险的重要指标,厘清金融关联在时域和频域的动态机制,有助于完善我国金融风险防范体系.本文运用时变广义动态因子模型,基于高维视角研究我国35家上市金融机构间的频域关联,并从低频关联和高频关联两方面,探讨了金融机构关联的周期特征.同时,借助相位谱分析方法,构建金融机构时变关联相位图,考察了金融机构关联的“同频共振”效应.研究发现:1)金融机构频域关联具有长周期特征,市场冲击会显著增强金融机构间的长周期关联.2)银行业关联具有顺周期性,证券业、保险业和多元金融业关联具有逆周期性.3)银行业、证券业和保险业存在同相关联,容易发生风险共振,而多元金融业存在异相关联,发生风险共振的可能性较小.

The connectedness of financial institutions is a very important indicator to measure systemic financial risks.It has significant impact on financial risk prevention system in China.Especially,understanding the dynamic mechanism in the time domain and frequency domain.This paper uses the time-varying generalized dynamic factor model to explore the cyclical characteristics of financial institution connectedness.At the same time,based on low-frequency and high-frequency,we study the frequency domain connectedness among 35 listed financial institutions in China from a high-dimensional perspective.In addition,this paper applies the phase spectrum analysis method to the connectedness of financial institution.The time-varying phase diagram deepens the understanding of the"same frequency resonance"of financial institutions from the perspective of phase.We find that the low-frequency components can amplify frequency domain connectedness of financial institutions and therefore strengthen low-frequency connectedness of financial institutions by market shocks.Further evidence shows that the banking industry is pro-cyclical,while the securities,insurance and diversified financial industries are counter-cyclical.Overall,our study shows that the connectedness between banking,securities and insurance industries tends to be in phase,whereas the diversified financial industries are hetero-connectedness and the responses to market shocks are heterogeneous.