中国管理科学 ›› 2022, Vol. 30 ›› Issue (12): 1-12.doi: 10.16381/j.cnki.issn1003-207x.2022.0060
• 论文 •
刘志东, 张培元, 荆中博
收稿日期:
2021-07-31
修回日期:
2022-01-28
发布日期:
2023-01-10
通讯作者:
荆中博(1985-),男(汉族),河北沧州人,中央财经大学管理科学与工程学院,副教授、硕士研究生导师, 博士, 研究方向: 大数据分析与金融风险管理,Email:zbjing@cufe.edu.cn.
E-mail:zbjing@cufe.edu.cn
基金资助:
LIU Zhi-dong, ZHANG Pei-yuan, JING Zhong-bo
Received:
2021-07-31
Revised:
2022-01-28
Published:
2023-01-10
Contact:
荆中博
E-mail:zbjing@cufe.edu.cn
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。
中图分类号:
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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