期刊论文

中文

财经理论与实践

1003-7217

2019

40

2

36-40

10.3969/j.issn.1003-7217.2019.02.005

湖南省自然科学基金(2017JJ3518)

本校为第一机构

依据2007-2017年中国金融市场运行数据,构建动态Copula-CoVaR模型,考量影子银行风险溢出效应。结果表明:影子银行与传统金融市场存在双向净风险溢出效应,随着时间的推移,溢出效应在逐渐增大;极端风险溢出效应存在不对称特征,影子银行对传统金融市场的冲击较大,且这种冲击具有滞后效应。鉴此,监管部门应夯实金融体系运行基础,创新影子银行监管工具,完善其协调监管模式。

Shadow banking has become an important part of China’s financial system. By using the Chinese financial market data from 2007 to 2017, this paper constructs a dynamic Copula-CoVaR model to study the risk spillover effect of shadow banking in China. The empirical results show that there is a bi-directional risk spillover between shadow banking and financial market;and with the time going by, this kind of risk spillover effect gradually increases. Meanwhile, extreme risk spillover is asymmetric, the shadow banking has stronger extreme risk conta...