中国系统性金融风险信息溢出者是谁——来自SRISK模型及网络分析法的经验证据
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引用本文:任英华,刘 洋,彭庆雪,汤季蓉.中国系统性金融风险信息溢出者是谁——来自SRISK模型及网络分析法的经验证据[J].湖南大学学报社会科学版,2021,(3):49-59
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任英华,刘 洋,彭庆雪,汤季蓉 (湖南大学 金融与统计学院湖南 长沙 410006) 
中文摘要:基于SRISK模型测度2009-2019年银行、多元金融、保险和房地产四部门共计240家上市公司的系统性风险,并通过有向网络分析金融机构之间风险信息的溢出效应,研究发现:“ h=132天,C =-40%”更加符合我国系统性危机事件定义方式;在风险总量上,银行和保险部门占据重要地位,房地产近年来上升趋势明显;在风险信息传导上,银行是重要的长期风险信息溢出者。
中文关键词:SRISK  系统性金融风险  蒙特卡罗方法  有向格兰杰因果检验  风险溢出网络
 
Who is the Spillover of China's Systemic Financial Risks Information? Empirical Evidence from SRISK Model and Network Analysis
Abstract:On the basis of establishing the SRISK model to measure and analyze the systemic risk in the large financial industry composed of 240 listed companies in four sectors of bank, diversified finance, insurance and real estate from 2009 to 2019, and the spillover effect of systemic risk information among financial institutions is analyzed through directed network. It is found that the definition "h=132 days, C=-40%" is more consistent with the systemic crisis events in China. Besides, the banks and insurance play important roles in the system risk amount, and the real estate industry has an obvious rising trend in recent years. Furthermore, in terms of the transmission of risk information, bank industry is an important long-term risk information spiller.
keywords:SRISK  systematic financial risk  Monte Carlo method  directed granger causality test  risk spillover network
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