金融业系统性风险溢出的非对称性研究

Asymmetric Spillover of Systematic Risk in Financial Industry

中文关键词:  系统性风险  金融风险  风险溢出  风险传染  信息溢出  非对称性溢出

英文关键词:systemic risk  financial risk  risk spillover  risk contagion  information spillover  asymmetric spillover

中文摘要:

      采用基于广义预测误差方差分解的信息溢出模型,对2007年1月—2018年10月我国银行、证券、保险、多元金融及房地产五个行业的非对称风险溢出进行了实证分析,结果发现:我国金融业系统性风险溢出较高,整体溢出值高达70%,且表现出极强的非对称性,在样本期内负向风险溢出占据了绝对的主导,且这种非对称性与股市上涨或下跌无关；除银行业外,其他行业的风险溢出表现出不同程度的非对称性。实证结论验证了我国金融业系统性风险溢出的非对称性,同时也为系统性金融风险的监管防范提供了一定的经验借鉴。建议加强对金融风险尤其是对下行风险的监控和预防；建立金融防火墙；防止金融风险在不同行业间的迅速扩散；针对不同行业采取不同的监管措施。

英文摘要:

      Based on the Diebold & Yilmaz information spillover model which is based on generalized predictive error variance decomposition, this paper empirically analyzes the asymmetric risk spillovers in China's banking, securities, insurance, diversified finance and real estate industries during the period from January 2007 to October 2018. The results show that China's financial industry has a high systemic risk spillover, with an overall spillover value of 70% and a strong asymmetry. The negative risk spillover dominated the sample period, and this asymmetry is not related to the ups and downs of stock markets. Except banking, the risk spillovers in other industries also show the varying degrees of asymmetry. The empirical conclusions verify the asymmetry spillover of systemic risk in China's financial industry, and it also provides some experience for the supervision and prevention of systemic financial risks. Therefore, it is recommended to strengthen the monitoring and prevention of financial risks, especially for downside risks, establish financial firewalls to prevent the rapid spread of financial risks among different industries, and take different regulatory measures for different industries. 