重大突发事件背景下金融行业间极端风险相依和风险溢出研究
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引用本文:谢 赤1,2,莫廷程1,李可隆1.重大突发事件背景下金融行业间极端风险相依和风险溢出研究[J].财经理论与实践,2021,(3):2-10
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谢 赤1,2,莫廷程1,李可隆1 (1. 湖南大学 工商管理学院湖南 长沙 4100822. 湖南大学 金融与投资管理研究中心湖南 长沙 410082) 
中文摘要:金融行业的风险问题关系到金融稳定和经济安全。构建包含利空消息和利好消息的时变Copula CoVaR模型,结合金融危机、股市震荡、贸易摩擦、疾病疫情等重大突发事件,考量金融行业之间的极端风险相依结构和风险溢出效应及其动态演化过程。结果表明,金融行业间风险相依和风险溢出均具有显著的厚尾性、非对称性和时变性特征,同时存在显著的动态极端风险相依和风险溢出,且下尾风险相依和风险溢出的程度更大,对市场行情下跌的反应更为敏感;银行业在整个金融系统中发挥着至关重要的作用,其对证券业、保险业和其他金融业的极端风险相依和风险溢出均处于较高水平;不同时期的重大突发事件对金融行业间极端风险相依和风险溢出的影响存在明显差异,事发后风险相依变化较为平缓,而风险溢出急剧加强并表现出持续性。
中文关键词:金融行业  极端风险  风险相依  风险溢出  重大突发事件  时变Copula CoVaR
 
Research on Extreme Risk Dependence and Risk Spillover among Financial Industries under the Background of Major Emergency
Abstract:The risk of financial industry is related to financial stability and economic security. Based on major emergencies such as financial crisis, stock market turbulence, trade friction and disease epidemic, this paper constructs a time varying Copula CoVaR model including bad news and good news to study the extreme risk dependence structure and risk spillover effect between financial industries and its dynamic evolution process. The empirical results show that the risk dependence structure and risk spillover effect between financial industries have significant fat tailed, asymmetric and time varying characteristics, and there are significant dynamic extreme risk dependence and risk spillover. In addition, the greater the degrees of tail risk dependence and risk spillover are, the more sensitive the reaction to the market decline is. The bank industry plays a vital role in the whole financial system, and its extreme risk dependence and risk spillover to the securities industry, insurance industry and other financial industry are at a high level. Major emergencies in four periods have significantly different influences on extreme risk dependence and risk spillover between financial industries. After the occurrence of the major emergencies, the change of risk dependence is relatively gentle, while the risk spillover increases sharply and shows continuity.
keywords:financial industry  extreme risk  risk dependence  risk spillover  major emergency  time varying Copula CoVaR
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