中国系统性金融风险的监测和度量——基于EGRACH-VaR模型的实证研究

发布时间：2018-03-27 23:23

本文选题：系统性金融风险　切入点：CoVaR　出处：《现代经济探讨》2017年11期

【摘要】：利用中国2003年10月-2016年9月的数据,选取了包括银行、股票以及外汇市场在内的相关指标进行综合化处理,并使用EGARCH-Co Va R模型测算各市场在给定置信水平下的最大损失以及其对整体市场的风险溢出程度。研究结果发现:(1)股票市场在给定置信水平条件下的损失程度最高,其次为外汇市场以及银行市场。(2)根据Co Va R的计算结果,在给定三个市场最大损失的情况下,整体市场的损失程度存在一定的收敛。(3)ΔCo Va R和%Co Va R的计算结果显示,三个市场对系统性金融风险的溢出程度存在一定的趋同特征。但对整体市场损失程度贡献最大的依然是股票市场。在坚守不发生系统性金融风险的背景下,监管机构之间要建立更加科学的协调监管机制,避免出现监管真空。对于金融机构的业务创新要进行有效的识别,防止风险的过度积累。此外,政府应当采取措施引导市场预期,以防投资者出现过度的非理性行为。
[Abstract]:Based on China's data from October 2003 to September 2016, the relevant indicators, including banks, stocks and foreign exchange markets, were selected for comprehensive processing. The EGARCH-Co VaR model is used to measure the maximum loss and the risk spillover degree of each market under the given confidence level. The results show that the stock market has the highest loss under the given confidence level. Secondly, the foreign exchange market and the bank market. (2) according to the calculation results of CoVa R, given the maximum losses in the three markets, the degree of loss in the whole market is convergent to a certain extent) the calculated results of 螖 Co Va R and Co Va R show that, The spillover degree of the three markets to systemic financial risk has some convergence characteristics, but the biggest contribution to the overall market loss is still the stock market. More scientific regulatory coordination mechanisms should be established among regulators to avoid a regulatory vacuum. Business innovations in financial institutions should be effectively identified to prevent excessive risk accumulation. The government should take steps to guide market expectations in order to prevent excessive irrational behavior by investors.
【作者单位】：对外经济贸易大学金融学院;
【分类号】：F224;F832

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