贵州财经大学学报

贵州财经大学学报 ›› 2023 ›› Issue (03): 39-49.

• 金融经济 • 上一篇    下一篇

中国上市金融机构风险传染研究——基于动态关联网络的视角

刘晓星, 任超, 李绍芳   

  1. 东南大学 经济管理学院, 江苏 南京 211189
  • 收稿日期:2022-05-26 出版日期:2023-05-15 发布日期:2023-05-23
  • 作者简介:刘晓星(1970-),男,湖南隆回人,东南大学经济管理学院教授、博士生导师,研究方向为金融工程与风险管理;任超(1988-),男,安徽芜湖人,东南大学经济管理学院博士研究生,研究方向为金融工程与风险管理;李绍芳(1984-),女,河南鹤壁人,东南大学经济管理学院副教授、博士生导师,研究方向为金融风险、资产定价。
  • 基金资助:
    本文获国家自然科学基金面上项目“流动性循环与金融系统安全:影响机制及其监控研究”(基金号:72173018)的资助。

The Risk Spillover Effects of Chinese Listed Financial Institutions—A Study Based on Dynamic Interconnected Network

LIU Xiaoxing, REN Chao, LI Shaofang   

  1. School of Economics and Management, Southeast University, Nanjing, Jiangsu 211189, China
  • Received:2022-05-26 Online:2023-05-15 Published:2023-05-23

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摘要： 随着金融创新和金融科技的发展,金融机构作为金融体系的核心载体,相互间的关联网络日益紧密,跨机构的风险传染程度不断增加。从风险溢出视角,基于TENET模型构建风险溢出动态关联网络,深入研究金融机构间风险传染的方向和路径,结合2014~2021年我国金融机构间的相关数据,实证分析我国金融机构间非线性风险溢出网络结构和风险溢出水平。研究发现,我国金融机构系统性风险水平呈现周期性变化,非线性特征明显,其中证券部门的风险溢出强度最高,金融科技机构的系统性风险溢出逐渐增强,银行部门吸收了其他金融机构的大部分风险溢出,在维持金融系统稳定方面发挥了主要作用。当前,要进一步重视金融科技的监管应用,加强对系统性金融风险跨部门传染的监管,守住不发生系统性金融风险的底线。

关键词: 系统性金融风险, TENET, 风险溢出, 非线性测度

Abstract: With the development of financial innovation and financial technology, financial institutions, as the core carrier of the financial system, are increasingly related to each other. Therefore, the degree of risk contagion across institutions is increasing. From the perspective of Risk Spillover, this paper constructs a dynamic correlation network of Risk Spillover model Based on TENET to study the direction and path of risk contagion among financial institutions, and the dynamic evolution mechanism of Risk Spillover intensity. The data of Chinese financial institutions from 2014 to 2021 is selected to empirically analyzes the nonlinear risk spillover network structure and Risk Spillover level among the institutions. It is found that the systemic risk level of Chinese financial institutions presents periodic changes and nonlinear characteristics. In addition, the Risk Spillover intensity of the securities sector is the highest. Furthermore, the Systemic Risk Spillover of financial technology institutions is gradually increasing. Moreover, the banking sector absorbs most of the Risk Spillover of other financial institutions, which plays a major role in maintaining the stability of the financial system. It is suggested that the regulatory application of financial technology should be noticed. The supervision of cross-market risk contagion among financial institutions should be strengthened. The recommendations of this paper can help China's financial risk prevention system to keep the bottom line of systemic financial risk nonoccurrence.

Key words: systemic risk, TENET, risk spillover, nonlinear measure

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