为研究我国系统重要性银行的风险溢出,文章基于我国14家系统重要性银行的股票收盘价,采用分位数回归计算的条件在险价值方法与格兰杰因果检验方法,研究了我国系统重要性银行的溢出风险。研究结果表明国有四大行的溢出风险呈逐年下降态势...为研究我国系统重要性银行的风险溢出,文章基于我国14家系统重要性银行的股票收盘价,采用分位数回归计算的条件在险价值方法与格兰杰因果检验方法,研究了我国系统重要性银行的溢出风险。研究结果表明国有四大行的溢出风险呈逐年下降态势,但总体风险仍相对较高;一些股份制银行的波动区间较大,需要特别注意。基于此,文章建议,第一要构建适用于我国金融发展水平的系统性风险监测预警体系;第二是突出重点,强化系统重要性银行与机构的监管;第三是不能忽视中小银行引发系统性风险的可能。To study the risk spillover of China’s systemically important banks, this article is based on the closing stock prices of 14 systemically important banks in China. It employs quantile regression calculations, conditional value-at-risk, and Granger causality tests to investigate the spillover risk of these banks. The research results indicate that the spillover risk from the four major state-owned banks in China has shown a year-on-year decreasing trend, but the overall risk remains relatively high. Some of the commercial banks with different ownership structures exhibit a wider range of volatility, requiring special attention. Based on these findings, the article recommends three main actions: firstly, the need to construct a systemic risk monitoring and early warning system suitable for China’s level of financial development;secondly, emphasizing a focus on and strengthening the regulation of systemically important banks and institutions;and thirdly, not disregarding the potential for smaller banks to trigger systemic risks.展开更多
宏观审慎监管需要识别出系统重要性机构(SIFIs),目前已有相关研究,但还没有就如何有效识别达成共识。首先阐述MES法、SRISK法和Co Va R法三个主流的市场识别法原理与计算,在统一的DCC-GARCH模型相关性分析框架中,对它们做了理论比较...宏观审慎监管需要识别出系统重要性机构(SIFIs),目前已有相关研究,但还没有就如何有效识别达成共识。首先阐述MES法、SRISK法和Co Va R法三个主流的市场识别法原理与计算,在统一的DCC-GARCH模型相关性分析框架中,对它们做了理论比较。然后,以中国上市银行为样本,收集市场交易数据,用DCC-GARCH模型拟合相关结构,分别进行了中国SIFIs识别,根据各指标的理论特征分析了各系统重要性排序结果的有效性及其经济意义。展开更多
文摘为研究我国系统重要性银行的风险溢出,文章基于我国14家系统重要性银行的股票收盘价,采用分位数回归计算的条件在险价值方法与格兰杰因果检验方法,研究了我国系统重要性银行的溢出风险。研究结果表明国有四大行的溢出风险呈逐年下降态势,但总体风险仍相对较高;一些股份制银行的波动区间较大,需要特别注意。基于此,文章建议,第一要构建适用于我国金融发展水平的系统性风险监测预警体系;第二是突出重点,强化系统重要性银行与机构的监管;第三是不能忽视中小银行引发系统性风险的可能。To study the risk spillover of China’s systemically important banks, this article is based on the closing stock prices of 14 systemically important banks in China. It employs quantile regression calculations, conditional value-at-risk, and Granger causality tests to investigate the spillover risk of these banks. The research results indicate that the spillover risk from the four major state-owned banks in China has shown a year-on-year decreasing trend, but the overall risk remains relatively high. Some of the commercial banks with different ownership structures exhibit a wider range of volatility, requiring special attention. Based on these findings, the article recommends three main actions: firstly, the need to construct a systemic risk monitoring and early warning system suitable for China’s level of financial development;secondly, emphasizing a focus on and strengthening the regulation of systemically important banks and institutions;and thirdly, not disregarding the potential for smaller banks to trigger systemic risks.
文摘宏观审慎监管需要识别出系统重要性机构(SIFIs),目前已有相关研究,但还没有就如何有效识别达成共识。首先阐述MES法、SRISK法和Co Va R法三个主流的市场识别法原理与计算,在统一的DCC-GARCH模型相关性分析框架中,对它们做了理论比较。然后,以中国上市银行为样本,收集市场交易数据,用DCC-GARCH模型拟合相关结构,分别进行了中国SIFIs识别,根据各指标的理论特征分析了各系统重要性排序结果的有效性及其经济意义。
