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。
There is cross-industry risk spillover effect when the entity industry is affected by external shocks,resulting in a high correlation between losses on assets held by banks in different industries.An industry risk spillover network is constructed based on LASSO-VAR to accurately describe the interconnection characteristic of risks caused by the rise of specific industry risk at first.A DBNM-BA model is used to construct a double-layer “entity industry-banking system” risk network under cross-industry risk spillover shocks.The key nodes are identified that lead to the rise of systemic risk in the banking industry in the double-layer risk network:systemically important industries and systemically vulnerable banks.The empirical study shows that:(1) If the industrial risk spillover network is not introduced,China’s banking systemic risk is underestimated by about 57.78%.(2) In terms of systemically important industries,industry risk spillover characteristic has a significant impact on the distribution of systemically important industries.The influence of industry relative scale is the second,and the influence of industry loan concentration is the weakest.(3) In terms of systemically vulnerable banks,the overall risk resistance of China’s banking system is on the rise.After 2015,the risk level of state-owned commercial banks and joint-stock commercial banks has decreased rapidly,and the systemic risk of the banking industry mainly comes from urban commercial banks and rural commercial banks.A scientific reference basis for China is provided to take precise measures to prevent and resolve systemic risks.
作者
刘志东
张培元
荆中博
LIU Zhi-dong;ZHANG Pei-yuan;JING Zhong-bo(School of Management Science and Engineering,Central University of Finance and Economics,Beijing 100081,China)
出处
《中国管理科学》
CSSCI
CSCD
北大核心
2022年第12期1-12,共12页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(72271253)
应急管理项目(71850008)。
