中国金融业不同板块间风险传导的非对称性研究——基于非对称MVMQ-CAViaR模型的实证分析

doi:10.16381/j.cnki.issn1003-207x.2017.08.007

中国管理科学 ›› 2017, Vol. 25 ›› Issue (8): 58-67.doi: 10.16381/j.cnki.issn1003-207x.2017.08.007

中国金融业不同板块间风险传导的非对称性研究——基于非对称MVMQ-CAViaR模型的实证分析

曾裕峰¹, 简志宏², 彭伟³

1. 复旦大学经济学学院, 上海 200433;
2. 华中科技大学经济学院, 湖北武汉 430074;
3. 中南财经政法大学, 湖北武汉 430073

收稿日期:2016-02-27 修回日期:2017-03-07 出版日期:2017-08-20 发布日期:2017-10-16
通讯作者: 简志宏(1968-),男(汉族),四川泸州人,华中科技大学经济学院教授,博士生导师,研究方向:金融数学、宏观金融,E-mail:jian8822@sina.com. E-mail:jian8822@sina.com
基金资助:
中央高校基本科研业务费资助项目（2016AD007）；国家自然科学基金资助项目（71402191）

Study on Asymmetric Effect of Risk Transmission between Different Financial Sectors in China

ZENG Yu-feng¹, JIAN Zhi-hong², PENG Wei³

1. School of Economics, Fudan University, Shanghai 200433, China;
2. School of Economics HUST, Wuhan 430074, China;
3. School of Finance, Zhongnan University of Economics and Law, Wuhan 430073, China

Received:2016-02-27 Revised:2017-03-07 Online:2017-08-20 Published:2017-10-16

摘要/Abstract

摘要： 针对原始MVMQ-CAViaR模型未考虑正负冲击具有非对称性的不足，本文将其扩展为非对称MVMQ-CAViaR模型和联合非对称MVMQ-CAViaR模型，继而运用该模型分析了我国金融业不同板块间的风险传导效应，并采用严谨的后测检验对比了各个模型的预测效果。结果表明，银行对证券和保险板块均具有显著的风险传染效应，而证券只能单方向地吸收其他板块的风险溢出；正负信息冲击对自身以及其他板块存在不同程度的非对称特征，且指数下跌对VaR的影响效果要强于指数上涨，联合负向冲击会放大原有的风险水平；新构建的两个非对称模型能显著提升原有模型风险预测精度，其中联合非对称MVMQ-CAViaR模型的预测效果更佳。

关键词: 风险传导, MVMQ-CAViaR模型, 非对称性, 系统性风险

Abstract: Ever since the 2008 global financial crisis, the supervision of systemic financial risk has been a hot topic in the field of academic and policy-making departments, both at home and abroad. Especially since 2012, financial system reform began to accelerate, and investment constrain have been gradually deregulated. The extensive relevance and intersectionality of the financial services business brought about significant changes in the financial sector, which led to a substantial increase in systemic financial risk.The multivariate quantile regression model provides a good tool for analyzing systemic risk. Considering the deficiency of original MVMQ-CAViaR model ignores the asymmetric impacts of positive and negative shock. In this paper, it is extended to asymmetric MVMQ-CAViaR model and joint asymmetric MVMQ-CAViaR model. Subsequently, these models are used to study China's financial industry risk transmission effect between different sectors. Then both Kupiec LR(likelihood ratio) test and dynamic quantile test are used to backtest the prediction performance of these models.
The results show that:Banks have significant spillover effects on securities and insurance sectors, while securities can just unidirectional absorb other sectors' risk;The impacts of good and bad news exhibit leverage effect to some extent to their own as well as other sectors. In general, negative shock has greater effect than positive effect. Furthermore, joint negative impact will amplify the current risk level;Two newly constructed models can significantly improve the risk prediction accuracy, and joint asymmetric MVMQ-CAViaR model is relatively more competitive.
Important practical and social implication are suggested.First of all. Regulators should pay special attention on strengthening the disclosure system of bank risk and the transparency of bank financial information. Then policy makers should strengthen the macro-prudential regulatory requirements and build good co-operation relationship between different industries in order to deal with emergency warning system.

Key words: risk transmission, MVMQ-CAViaR model, asymmetric characteristics, systemic risk

中图分类号:

F830.91

曾裕峰, 简志宏, 彭伟. 中国金融业不同板块间风险传导的非对称性研究——基于非对称MVMQ-CAViaR模型的实证分析[J]. 中国管理科学, 2017, 25(8): 58-67.

ZENG Yu-feng, JIAN Zhi-hong, PENG Wei. Study on Asymmetric Effect of Risk Transmission between Different Financial Sectors in China[J]. Chinese Journal of Management Science, 2017, 25(8): 58-67.

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中国金融业不同板块间风险传导的非对称性研究——基于非对称MVMQ-CAViaR模型的实证分析

Study on Asymmetric Effect of Risk Transmission between Different Financial Sectors in China

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