保险机构与其他金融机构系统关联性研究——兼论保险机构的系统重要性

发布时间：2018-04-26 08:11

本文选题：系统关联性 + Granger因果网络模型　；参考：《保险研究》2017年01期

【摘要】：金融机构混业经营的趋势在提高金融体系效率的同时加剧了其关联性风险,这使得研究我国保险机构与其他金融机构间的系统关联性问题尤为重要。本文选取保险、银行、证券与信托四部门的上市金融机构,分别在一般情况和两次牛熊市转化的极端情况下基于Granger因果网络模型研究保险机构与其他金融机构系统关联性,并且在考虑规模、关联性与复杂度三个因素下对金融机构进行了系统重要性分析。研究表明,银行部门是与保险部门联系最紧密的金融部门;保险部门对其他金融部门在熊市时比在牛市时存在更显著的Granger关系;规模是保险机构系统重要性评估中的重要指标。
[Abstract]:The trend of mixed operation of financial institutions not only improves the efficiency of financial system, but also intensifies its risk of association, which makes it particularly important to study the systemic correlation between insurance institutions and other financial institutions in China. In this paper, the listed financial institutions in the four sectors of insurance, banking, securities and trust are selected to study the relationship between insurance institutions and other financial institutions based on the Granger causality network model under the general situation and the extreme case of two bull and bear market transformation. The systematical importance of financial institutions is analyzed considering three factors: scale, relevance and complexity. The study shows that the banking sector is the financial sector most closely connected with the insurance sector; the insurance sector has a more significant Granger relationship with other financial sectors in bear market than in bull market; scale is an important indicator in assessing the systemic importance of insurance institutions.
【作者单位】：中央财经大学保险学院;中央财经大学金融学院;
【基金】：国家自然科学基金项目:保险市场系统性风险识别、度量和评估研究——理论模型与实证检验(项目批准号:71403305)的资助
【分类号】：F842.3;F832.3

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