尾部风险研究述评及开展国内研究的建议

Review of Tail Risk Studies and Suggestions for Domestic Studies

自2008年金融危机发生以来,系统性风险的相关研究如雨后春笋般涌现。其中,尾部风险虽被归类为非系统性风险,但是近年来越来越多的系统性风险以尾部风险的形式表现,因而尾部风险的研究越来越受到学术界的重视。本文通过系统梳理1988—2022年发表在Web of Science核心合集的关于尾部风险的2340篇学术论文,运用文献计量学方法,从论文发表趋势、期刊发表平台、核心学者和关键节点文献、研究热点演进等方面呈现国外尾部风险研究概况。在此基础上,聚焦分析96篇发表在9个国际顶级期刊上的英文文献,构建基于“市场层次-测度模型-影响因素-传染机制-影响效应”的尾部风险整合研究框架。最后,在梳理国内尾部风险代表性文献的基础上,基于国内市场的特性,提出进一步开展基于中国市场尾部风险研究的建议:一是创新尾部风险测度模型,提高研究对中国市场尾部风险的解释能力;二是挖掘尾部风险影响因素及其效应,探索政府行为对尾部风险的影响,比较国内外尾部风险影响因素及其效应的异同;三是探索尾部风险传染机制,比较国内外不同行业组成,不同市场构成的金融网络间尾部风险传染在机制上的共同点和差异性。

Since the financial crisis in 2008, the related research on systemic risk has mushroomed.Although tail risk is classified as non-systemic risk, in recent years, more and more systemic risks are manifested in the form of tail risk, so the study of tail risk has been paid more and more attention by the academic community. By systematically combing 2340 academic papers on tail risk published in the Web of Science Core Collection from 1988 to 2022, this paper presents the overview of foreign research on tail risk from the aspects of paper publication trend, journal publication platform, core scholars and key node literature, and the evolution of research hotspots by using bibliometrics.