基于CoVaR溢出特征的系统性金融风险研究

江西财经大学学报 ›› 2021, Vol. 0 ›› Issue (2): 40-54.

基于CoVaR溢出特征的系统性金融风险研究

周亮^1,2

1.湖南财政经济学院财政金融学院,湖南长沙 410205;
2.湖南师范大学商学院,湖南长沙 410081

收稿日期:2020-08-26 修回日期:2020-09-27 出版日期:2021-03-25 发布日期:2021-03-25
作者简介:周亮,湖南财政经济学院讲师,湖南师范大学博士研究生,主要从事金融工程研究,联系方式66473405@qq.com。
基金资助:
国家社科基金项目“我国资本空间流动对区域经济发展的影响机制研究”（14BJL086）; 湖南省社科评审委员会一般项目“金融系统性风险测度及其防控研究”（XSP19YBC233）

Research on Systematic Financial Risks Based on CoVaR Spillover Characteristics

ZHOU Liang^1,2

1. Hunan University of Finance and Economics, Changsha 410205;
2. Hunan Normal University, Changsha 410081, China

Received:2020-08-26 Revised:2020-09-27 Online:2021-03-25 Published:2021-03-25

摘要/Abstract

摘要： 现代金融机构间网络关联性越来越强,风险很容易在机构之间溢出,因此有效识别并分析系统性风险是防范金融危机的关键步骤。选取2012年1月至2019年9月45家金融机构的所有日数据,采用Diebold信息溢出网络分析机构间CoVaR的溢出特征,结果发现：第一,金融机构间系统性风险的传染非常紧密,静态和动态总溢出值分别高达71.41和86.78,且银行业是最主要的风险溢出源,而证券业的净溢出值会在风险爆发时显著增加;第二,分行业来看,证券业内部的系统性风险传染更为紧密,其次为银行业,保险业最小,规模适中的银行机构和规模较大的证券机构在整个系统中的影响力更大。因此,应建立金融防火墙防止金融风险在不同行业间的迅速扩散,并针对不同行业采取不同的监管措施,并加强对系统性重要机构的识别和监督。

关键词: CoVaR, 金融风险, 系统性风险, 风险溢出, 风险传染

Abstract: The network correlation between modern financial institutions is getting stronger and stronger, and the risks are easy to overflow among the institutions, therefore, to effectively identify and analyze systemic risks is a key step to prevent financial crisis. This paper selects all the daily data of 45 financial institutions from January 2012 to September 2019 and uses the Diebold information spillover network to analyze the spillover characteristics of CoVaR among the institutions. The results show that, firstly, the systemic risks among financial institutions are very contagious, the static and dynamic total spillover values ??are as high as 71.41 and 86.78 respectively, and the banking industry is the most important source of risk spillovers, while the net spillover value of the securities industry will increase significantly when the risks break out. Secondly, in terms of industries, the systematic risk contagion inside of the securities industry is more close, followed by the banking industry, the insurance industry is the smallest; the moderately-sized banking institutions and the larger-scale securities institutions have greater influence throughout the system. Therefore, we should establish financial firewalls to prevent the rapid spread of financial risks among different industries, adopt different regulatory measures for different industries, and strengthen the identification and supervision of important systematic institutions.

Key words: CoVaR, financial risks, systemic risk, risk spillover, risk contagion

中图分类号:

F832

周亮. 基于CoVaR溢出特征的系统性金融风险研究[J]. 江西财经大学学报, 2021, 0(2): 40-54.

ZHOU Liang. Research on Systematic Financial Risks Based on CoVaR Spillover Characteristics[J]. Journal of Jiangxi University of Finance and Economics, 2021, 0(2): 40-54.

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