跨部门金融机构系统重要性和共振效应的动态演化研究——基于中国A股市场的实证

doi:10.16381/j.cnki.issn1003-207x.2020.04.004

中国管理科学 ›› 2020, Vol. 28 ›› Issue (4): 36-47.doi: 10.16381/j.cnki.issn1003-207x.2020.04.004

跨部门金融机构系统重要性和共振效应的动态演化研究——基于中国A股市场的实证

陈暮紫¹, 赵婷婷¹, 刘承林¹, 陈敏²

1. 中央财经大学管理科学与工程学院, 北京 100081;
2. 中国科学院数学与系统科学研究院, 北京 100190

收稿日期:2018-09-19 修回日期:2019-06-24 出版日期:2020-04-20 发布日期:2020-04-30
通讯作者: 陈暮紫(1983-),女(汉族),广西北海人,中央财经大学管理科学与工程学院,副教授,研究方向:风险管理、复杂网络和金融统计等,E-mail:zizizhuzhu0320@163.com. E-mail:zizizhuzhu0320@163.com
基金资助:
国家自然科学基金资助项目（71673315，71850008）；北京市社科基金资助项目（16YJB036，15JGB072）

Dynamic Evolution Study on Inter-sector Financial Institution Systemic Importance and Resonance Effects

CHEN Mu-zi¹, ZHAO Ting-ting¹, LIU Cheng-lin¹, CHEN Min²

1. School of Management Science and Engineering, Central University of Finance and Economics, Beijing 100081, China;
2. School of Mathematics and System Science, CAS, Beijing 100190, China

Received:2018-09-19 Revised:2019-06-24 Online:2020-04-20 Published:2020-04-30

摘要/Abstract

摘要： 金融机构由于其规模性和关联性对金融系统稳定有着举足轻重的作用。本文基于金融机构异质性风险下的收益，通过Granger因果引导关系构建金融部门的关联网络，从机构中心性、关联性和系统紧密性分析不同市场状态下银行、证券、保险和信托部门内和跨部门间的关联网络动态演化，并在关联分析的基础上引入规模指标，对金融机构的系统重要性进行综合评价。研究发现，我国金融系统的整体性和关联性日趋增强，系统内各部门之间和单一部门内金融机构联系都日趋紧密，跨部门间系统共振效应不断增强；银行和证券部门的影响力显著高于保险和信托部门，银行和保险部门的Granger影响力在熊市时相对增强，牛市时相对减弱，证券和信托部门的影响力则恰好相反；从多角度分析金融共振效应，最终给出我国金融机构系统重要性的分层级评价。结果不仅可以为金融机构的监管和系统性风险的控制提供参考依据，也可以对资本市场投资提供借鉴意义。

关键词: 跨部门, Granger因果网络, 中心性, 动态关联度, 系统重要性

Abstract: Financial institutions play an important role on the stability of financial system due to scale and interconnectedness. Too big to fail or too relevant to fail is not only one of the difficulties in academic research, but also the focus of industry and regulatory agencies.Based on up to about 10 years' return of financial institutions' cross-cycle heterogeneity risk, the financial sectors' interconnected networks are constructed through Granger causality, and the dynamic evolution of causal interconnected networks within and among banks, brokers, insurances and trusts sector is analyzed under different market states. Different financial sectors' capital market performance characteristics under the bull, the bear and the shock market are obtained from aspects of institution centrality, interconnectedness, system tightness,subgroup and core-edge structure. The empirical results show that China's financial system is becoming more integrated and interconnected. The influence of the bank and broker sectors is significantly higher than that of the insurance and trust sectors. The dynamic Granger correlation of the bank and insurance sectors is enhanced in bull market and weakened in bear market.The bank sector has become the most systemically important sector in China's financial system.The results of this study can provide important references for the financial institution supervision and systemic risk control as well as provide inspiring significance of capital market investment.

Key words: inter-sector, Granger-causalitynetwork, centrality, dynamicinterconnectedness, systemic importance

中图分类号:

F83.2

陈暮紫, 赵婷婷, 刘承林, 陈敏. 跨部门金融机构系统重要性和共振效应的动态演化研究——基于中国A股市场的实证[J]. 中国管理科学, 2020, 28(4): 36-47.

CHEN Mu-zi, ZHAO Ting-ting, LIU Cheng-lin, CHEN Min. Dynamic Evolution Study on Inter-sector Financial Institution Systemic Importance and Resonance Effects[J]. Chinese Journal of Management Science, 2020, 28(4): 36-47.

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跨部门金融机构系统重要性和共振效应的动态演化研究——基于中国A股市场的实证

Dynamic Evolution Study on Inter-sector Financial Institution Systemic Importance and Resonance Effects

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