摘要
如何衡量我国金融市场的系统性风险,风险在我国金融市场之间如何传播?构建金融系统性风险的量化监测指标,从而进行风险的识别与预警,成为了一个重要的课题.本文研究了中国股票市场、债券市场、基金市场、商品市场、货币市场和外汇市场之间的长期均衡关系、指数联动特征以及收益溢出关系,分析了我国金融系统的风险传播特征,发现股票市场、债券市场、基金市场和商品市场存在长期协整关系.股票市场和基金影响着其他金融市场.本文认为,我国金融系统性风险的防控重心应放在股票市场和基金市场;继而本文使用滚动时间窗口方法,构建了我国金融系统性风险指数,进行系统性风险的早期识别与预警.本文发现,我国当前的系统性风险总体可控.在对该金融体系的探讨中,进一步加入近年来风险频发的网贷市场,并发现网贷市场对于整个金融系统性风险影响较小.
How could we identify systemic and understand the risk contagion pattern in our financial market?Therefore,to quantify financial systemic risk indicator for systemic risk identification and early warning becomes an important research question.In this paper,the long-run equilibrium,index connectedness and spillover are studied with Chinses stock,bond,fund,commodity,money market and foreign exchange market.Risk contagion pattern is studied to conclude that the stock and fund market plays the key role in affecting other markets,the key focus of controlling systemic risk would be these two markets.Furthermore,we construct systemic risk index by time rolling technique for systemic risk identification and early warning signal.We conclude that the systemic risk is under control.Further analysis is done on employing online lending market,we find that it has little impact on the finical market risk.
作者
何枫
郝晶
谭德凯
王紫微
HE Feng;HAO Jing;TAN Dekai;WANG Ziwei(School of Finance,Tianjin University of Finance and Economics,Tianjin 300222,China;Institution of Financial Development,Nankai University,Tianjin 300072,China;Tianjin Laboratory for Fintech and Risk Management,Tianjin 300222,China)
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2022年第2期289-305,共17页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(71701106,72001156,71532009)
中国科协战略发展部支持项目。
