系统性金融风险的影响因素研究——基于金融机构关联性的视角

发布时间：2018-08-22 14:00

【摘要】：金融机构关联性是2007年美国次贷危机之后国内外学者对系统性金融风险的研究中较为关注的问题之一。本文采用实证方法从金融机构关联性的视角对系统性金融风险的影响因素进行分析,明确关联性及其他因素对系统性金融风险的影响大小并对其影响机理进行研究。研究发现:金融机构关联性具有风险转移的特性,对金融机构系统风险边际贡献的影响分为直接影响与间接影响,直接影响体现为风险的直接上升,而间接影响则表现为将杠杆率、期限错配和金融业综合经营程度的风险在金融机构间进行分摊。此外,金融机构的规模越大、盈利能力越强、市场收益水平越高、GDP增速越低,金融机构对系统性金融风险的边际贡献越小。
[Abstract]:The relevance of financial institutions is one of the problems that scholars at home and abroad pay more attention to in the study of systemic financial risk after the subprime mortgage crisis in 2007. This paper uses empirical method to analyze the influence factors of systemic financial risk from the perspective of financial institution relevance, to clarify the influence of correlation and other factors on systemic financial risk and to study its influencing mechanism. It is found that the correlation of financial institutions has the characteristics of risk transfer, and the influence on the marginal contribution of financial institution risk is divided into direct impact and indirect impact, and the direct impact is the direct increase of risk. The indirect effect is to spread the risk of leverage ratio, term mismatch and financial comprehensive management among financial institutions. In addition, the larger the scale of financial institutions, the stronger the profitability, the higher the market income level and the lower the GDP growth rate, and the smaller the marginal contribution of financial institutions to systemic financial risk.
【作者单位】：同济大学经济与管理学院;
【基金】：国家自然基金项目“中国资本市场系统稳定性评估与监测研究”(71273190) 国家社科基金重大项目“创新型国家背景下的科技创新与金融创新结合问题研究”子课题“促进科技创新的资本市场创新研究”(11&ZD139)
【分类号】：F830.3

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