跨行业风险溢出冲击下我国银行业系统性风险研究

doi:10.16381/j.cnki.issn1003-207x.2022.0060

摘要/Abstract

摘要： 实体行业受到外部冲击时存在跨行业风险溢出效应，导致银行所持有的不同行业资产的损失之间存在较高相关性。本文首先基于LASSO-VAR构建行业风险溢出网络，准确刻画特定行业风险上升带来的行业间风险联动特征。然后，利用DBNM-BA模型构建跨行业风险溢出冲击下的“实体行业-银行系统”两层级风险网络，并分别识别两层级网络中导致银行业系统性风险上升的关键节点：系统重要性行业和系统脆弱性银行。本文实证研究表明：(1)若不引入行业风险溢出网络，我国银行业系统性风险被低估约57.78%。(2)系统重要性行业方面。行业间风险溢出特征对系统重要性行业分布具有显著影响，行业相对规模的影响显著性次之，行业贷款集中度的影响显著性最弱。(3)系统脆弱性银行方面。我国银行体系抗风险能力总体呈上升趋势。2015年之后，国有商业银行和股份制商业银行风险水平迅速降低，银行业系统性风险主要来源于部分城市商业银行与农村商业银行。本文为我国采取精准措施防范化解系统性风险提供科学参考依据。

关键词: 银行业系统性风险；行业间风险溢出网络；DBNM-BA模型；抛售-降价机制

Key words: systemic risk; industry risk spillover network; DBNM-BA model; selling-price reduction mechanism

中图分类号:

F830

刘志东, 张培元, 荆中博. 跨行业风险溢出冲击下我国银行业系统性风险研究[J]. 中国管理科学, 2022, 30(12): 1-12.

LIU Zhi-dong, ZHANG Pei-yuan, JING Zhong-bo. Research on the Systemic Risk of China’s Banking Industry under the Impact of Cross-industry Risk Spillover[J]. Chinese Journal of Management Science, 2022, 30(12): 1-12.

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