金融系统性风险的双向溢出效应及其CoVaR模型估计
发布时间：2019-05-11 03:57
【摘要】：在信息化金融社会,风险的衡量与预警成为金融稳定的重要影响因素。文章以商业银行为实证,通过在险价值CoVaR模型,利用我国16家上市商业银行数据对商业银行系统性风险的双向溢出效应进行模型估算。研究显示,商业银行系统性风险存在明显的正向双向溢出效应。资产规模对商业银行应对风险的能力产生较大影响,一些规模较小但经营灵活的商业银行由于区域特色较为明显,也具有较强的风险抵御能力。
[Abstract]:In the information financial society, the measurement and early warning of risk has become an important influencing factor of financial stability. Based on the CoVaR model of risk value, this paper estimates the two-way spillover effect of systemic risk of commercial banks by using the data of 16 listed commercial banks in China. The research shows that the systematic risk of commercial banks has obvious positive two-way spillover effect. The scale of assets has a great influence on the ability of commercial banks to deal with risks. Some commercial banks with small scale but flexible operation have strong ability to resist risks because of their obvious regional characteristics.
【作者单位】： 湖南财政经济学院财政金融系;
【基金】：湖南省哲学社会科学基金资助项目(2010YBB054) 湖南财政经济学院重点学科建设项目资助项目(2012CJ)
【分类号】：F832.3;F224
本文编号：2474227
[Abstract]:In the information financial society, the measurement and early warning of risk has become an important influencing factor of financial stability. Based on the CoVaR model of risk value, this paper estimates the two-way spillover effect of systemic risk of commercial banks by using the data of 16 listed commercial banks in China. The research shows that the systematic risk of commercial banks has obvious positive two-way spillover effect. The scale of assets has a great influence on the ability of commercial banks to deal with risks. Some commercial banks with small scale but flexible operation have strong ability to resist risks because of their obvious regional characteristics.
【作者单位】： 湖南财政经济学院财政金融系;
【基金】：湖南省哲学社会科学基金资助项目(2010YBB054) 湖南财政经济学院重点学科建设项目资助项目(2012CJ)
【分类号】：F832.3;F224
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