金融关联双重复杂挑战下的风险溢出研究

Research on Risk Spillover under the Double Complex Challenges of Financial Interconnectedness

基于在中国A股上市的31家金融机构,可以构建出包括均值层、波动层、尾部风险层的多层金融网络,进而以此为基础综合利用时频分析研究金融机构间、金融子部门与金融系统整体的关联特征。研究发现,不同网络层间存在明显的结构性差异且随时间变化;中小金融机构在有些阶段同样会表现出较高的节点中心性;在金融风险溢出总效应中,短期效应占主导,随时间推移长期效应减弱并发生结构性改变。据此建议监管机构在评估金融机构关联度时应综合考虑金融风险溢出的多种渠道;强化对高风险、高关联性的中小金融机构监管;并采取措施规避金融风险积聚。

We construct a multilayer financial network based on 31 financial institutions listed on A-shares in China which include the mean layer, volatility layer, and tail risk layer. Then we study the interconnectedness in the financial system. We find that firstly there are many differences among different layers which change over time. Secondly, small and medium-sized financial institutions also show high node centrality in some stages. Thirdly, in the total effect of financial risk spillover, short-term effects dominate while long-term effects weaken and change structurally as time goes by.Accordingly, it is recommended that regulators should take into account multiple channels of financial risk spillover when assessing the interconnectedness of financial institutions;strengthen the supervision of highly connected small and medium-sized financial institutions;and take measures to avoid the accumulation of financial risks.