摘要
以银行(bank)变量与非银行金融机构(non-bank)变量作为研究对象,从趋势维度、波动维度和稳定维度分别构建门限多元多分位点向量自回归风险价值模型(门限MVMQ-CAViaR模型),研究bank与non-bank之间的尾部风险溢出水平,并在1%、5%和10%的分位数水平下刻画趋势维度的动态风险和传染关系。结果表明,门限MVMQ-CAViaR模型可以较好地识别和预测3个维度下尾部风险聚集性和传染性,bank变量与non-bank变量间的尾部风险传染为双向且非对称的。non-bank对bank的风险外溢主要体现在繁荣时期,而bank对non-bank的风险外溢主要体现在低迷时期,需要加强监管在市场低迷时期non-bank的风险传递。
Taking the bank and non-bank variables as the research objects,the threshold Multivariate Multiquantile Conditional Autoregressive Value at Risk model(threshold MVMQ-CAViaR model)is constructed from the trend dimension,volatility dimension,and stability dimension to study the level of tail risk spillover between banks and non-bank financial institutions,and depict the dynamic risk and contagion relationships of the trend dimension at the 1%,5%,and 10%quantile levels.The results show that the threshold MVMQ-CAViaR model can effectively identify and predict the tail risk aggregation and contagion in all three dimensions,and the tail risk spillover between the bank and nonbank variables is bidirectional and asymmetric.Non-bank financial institutions exert greater risk spillover on banks during prosperous periods,while banks exert greater risk spillover on non-bank financial institutions during downturns.Therefore,it is necessary to strengthen regulatory supervision on non-bank’s risk transmission during downturns.
作者
王昭媛
黄炜
WANG Zhaoyuan;HUANG Wei(Basic Teaching Research Department,Xinjiang Institute of Science and Technology,Korla Xinjiang 841000;College of Biomedical Engineering,Xinjiang Second Medical University,Karamay Xinjiang 834000)
出处
《首都师范大学学报(自然科学版)》
2025年第6期41-48,共8页
Journal of Capital Normal University:Natural Science Edition
基金
国家自然科学基金项目(12126357)
新疆科技学院校级科研基金项目(2024-KYPT28)。
