基于DCC-GARCH模型的金融业风险动态相关性研究

Research on the Dynamic Correlation of Financial Industry Risks Based on DCC-GARCH Model

在日益复杂的国际政治经济环境下,深入研究金融业内的风险动态相关性问题对于中国金融体系的重大风险防范和化解具有重要意义。本文选取银行、保险、证券以及多元金融四大金融行业指数的收益率数据,采用DCC-GARCH模型,探究上述金融行业之间的动态相关性问题以及整体相关系数的时变特征。实证结果表明,金融行业中的各子行业之间存在高度的正相关;金融行业的各子行业之间的波动性与经济的稳定性呈现负向相关关系;金融行业之间的动态条件相关系数也呈现出显著的时变特征。鉴此,文章提出了一系列政策建议,包括实施差异化监管、预防系统性风险的不对称聚集、加强金融监管机构之间的协作等,以更好地维护金融体系的稳定性。

In the increasingly complex international political and economic environment, in-depth research on the dynamic correlation of risks in the financial industry is of great significance for the prevention and resolution of major risks in China’s financial system. This article selects the return data of the four major financial industry indexes of banking, insurance, securities and diversified finance, and uses the DCC-GARCH model to explore the dynamic correlation issues between the above-mentioned financial industries and the time-varying characteristics of the overall correlation coefficient. Empirical results show that there is a high degree of positive correlation between various sub-industries in the financial industry;the volatility between various sub-industries in the financial industry shows a negative correlation with the stability of the economy;the dynamic conditional correlation coefficients between financial industries It also shows significant time-varying characteristics. In view of this, the article puts forward a series of policy recommendations, including implementing differentiated supervision, preventing asymmetric aggregation of systemic risks, and strengthening collaboration among financial regulatory agencies, to better maintain the stability of the financial system.