基于信息熵的中国金融体系内关联性研究

Research on the Dependence Relationship in China's Financial System Based on Information Entropy

将中国金融体系分为金融市场元素和金融机构元素等几部分,以复杂网络为研究视角,使用互信息的方法计算金融体系各个元素间的相依关系并构造相依关系网络;结合滑动窗口的方法考察每个元素与其他元素间相依关系的动态演化情况;引入空间分层异质性的概念,结合地理探测器和最大生成树的方法刻画元素间相依关系的分层性质与核心结构.研究发现:金融体系元素间的相依关系具有明显的分层异质性特点;股票市场与其他元素间的相依关系最为紧密且该市场的中心性最强,金融机构在相依关系网络中的节点强度普遍较强;另外,金融体系元素间相依关系在中国股市异动和新冠肺炎疫情两个阶段附近增长较快且波动剧烈.

This paper divides China's financial system into two major parts,namely the financial markets and financial institutions,and based on previous research and the actual situation of financial operation,subdivides the markets and institutions,obtaining a total of 16 elements of the financial system.In specific empirical research,the paper takes complex networks as the research perspective,using a data-driven method which does not rely on specific models and parameter settings and could be applied in both linear and nonlinear environments,mutual information method,to calculate the dependence relationship between various elements of the financial system,and construct a dependence network;Using the sliding window method to examine the dynamic evolution of the dependence relationship between each element and other elements;Introducing the concept of Spatial Hierarchical Heterogeneity,combining the methods of geographic detectors and maximum spanning trees to characterize the hierarchical properties and core structure of the dependence relationships among elements;Finally,a robustness test is conducted on the above results to ensure the robustness and scientificity of the results obtained in this paper.The main findings of this paper are as follows:The dependence among elements in the financial system has a clear characteristic of hierarchical heterogeneity;The interdependence between the stock market and other elements is the closest and the centrality of the market is the strongest,banking financial institutions generally have strong node strength in the dependence network,which reflects the core position of the stock market and banking financial institutions in China's financial system;In addition,the dependence relationship between the elements of the financial system grows rapidly and fluctuate violently near the two stages of Chinese stock market turbulence in 2015 and the COVID-19.