外部系统对保险业系统性风险溢出效应研究
首发时间:2018-05-29
摘要:随着金融自由化、金融一体化的发展,金融市场间的协动性日益加强,关联错综复杂,金融机构或金融市场间的系统性风险溢出效应越来越受到关注。保险业作为国民经济以及金融体系中的重要组成部分,其系统性风险的产生不仅与行业内部机构的经营状况有关,同时也会受到外部环境的影响。本文选取银行业、证券业以及房地产业作为外部系统的代表,引入信息溢出检验体系中的VaR-Granger因果检验方法,考察了外部系统与保险业之间是否存在系统性风险溢出效应以及风险的溢出方向;同时,本文使用GARCH-CoVaR模型度量了外部系统对保险业的风险溢出强度。研究结果表明: 在极端风险条件下,银行业、证券业以及房地产业对保险业有显著的风险溢出效应; 同时研究发现银行业对保险业风险溢出效应最强烈,证券业其次,房地产业最弱。最后,本文根据外部系统对保险业系统性风险的传导路径,有针对性的提出了防控保险业系统性风险的建议。
关键词: 外部系统 风险溢出 系统性风险 VaR-Granger CoVaR
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A Study on Systematic Risk Spillover Effects of External Systems to Insurance Industry
Abstract:With the development of financial liberalization and financial integration, the synergies between financial markets have become increasingly stronger, and the linkages are complicated. The systemic risk spillover effect among financial institutions or financial markets has drawn increasing attention. As an important component of the national economy and the financial system, the insurance industry is not only related to the operating conditions of internal agencies but also affected by the external environment. This paper selects the banking, securities, and real estate industries as representatives of external systems, introduces the VaR-Granger causality test method in information spill testing systems, and examines whether there are systematic risk spillovers and the overflow direction between external systems and the insurance industry. At the same time, this paper uses the GARCH-CoVaR model to measure the risk spillover intensity of the external system to the insurance industry. The results show that: Under extreme risk conditions, the banking, securities and real estate industries have a significant risk spillover effect on the insurance industry. In addition, the study finds that the banking industry has the greatest risk spillover effect on the insurance industry, followed by the securities industry, and the weakest in the real estate industry. Finally, based on the external system\'s conduction path to the systemic risks of the insurance industry, this paper proposes specific suggestions for preventing and controlling the systemic risks of the insurance industry.
Keywords: external systems ;risk spillover;systemic risk VaR-Granger;CoVaR
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