互联网金融与传统金融的双向系统性风险溢出效应研究——基于AR-GARCH-CoVaR模型分析

Study on the Systemic Risk Spillover Effects from Internet Finance and Traditional Financial Industry Both Side——Based on the AR-GARCH-CoVaR Model

互联网金融的迅猛发展,对我们的生活产生了巨大影响,有关它的研究也备受关注。本文建立了互联网金融对传统金融机构的双向系统性风险溢出效应模型,采用AR-GARCH-Co VaR分析方法。研究表明,互联网金融是风险损失最大的行业,应加强自身风险控制和消费者保护。其次,互联网金融对银行业的风险传染最为明显,远远大于证券业和保险业。最后,两者的双向风险传染效应均为正向,且存在不对称性,以银行与互联网金融的关系最为显著。传统金融业在与其竞争时应加强风险监控、促进自身业务转型、创新金融互联网模式。

Internet Finance has a rapid development,and brings a huge impact on our daily life.The topics about them have attracted more and more people.This paper establishes a model about systemic risk of internet finance,thinking about the spillover effects of risk between the internet finance and the traditional financial institutions.The model of research is AR-GARCH-Co VaR.The results show that the internet finance is the largest risk industry,the authorities should strengthen their ability to control risk,and establish consumer protection system.The spillover effects from internet finance to the banking are most obvious,and far greater than others.Finally,the spillover effects are positive and asymmetry.Then the asymmetry between internet financial and banking is most significant.Banking,securities and insurance sectors should try to withstand the risk spillover,accelerate business transformation,and use the model of financial innovation.