摘要
选取我国86家上市金融机构的股价收益率数据,利用CoVaR、截面VaR、吸收比率、格兰杰因果指数、信息溢出指数等5个指标来衡量系统性金融风险,详细考察了5个指标间的领先滞后关系及其对宏观经济的预测能力,结果发现:CoVaR、吸收比率、格兰杰因果指数和信息溢出指数对宏观经济均有一定的提前预测能力,但截面VaR却没有预测能力;格兰杰因果指数相对其他指标具有一定的领先性,吸收比率和溢出指数则相对滞后;综合而言,格兰杰因果指数是一个较好的系统金融风险测度,并具有稳健的经济预测能力.
Based on the stock price return data of 86 listed financial institutions in China,this paper uses CoVaR,cross-section VaR,absorption ratio,Granger causality index,and information spillover index to measure systemic financial risk.After ddetailed inspecting lead-lag relationship between these indexes and their abilities to predict the macro economy,the results indicate that:Co VaR,absorption ratio,Granger causality index and information Spillover index all have a certain ability to predict the macro economy in advance,but the cross-section VaR does not have the forecasting power;Granger causality index has a certain lead over other indicators,while the absorption ratio and Spillover index are relatively lagging.In summary,the Granger causality index is a good systemic financial risk measure and has a robust economic forecasting ability.
作者
李红权
周亮
LI Hongquan;ZHOU Liang(Business School,Hunan Normal University,Changsha 410081,China;Hunan University of Finance and Economics,Changsha 410205,China)
出处
《计量经济学报》
2021年第4期892-903,共12页
China Journal of Econometrics
基金
国家自然科学基金(71871092,71473081)
宏观经济大数据挖掘与应用湖南省重点实验室
关键词
系统性风险
风险测度
经济预警
格兰杰因果网络
systemic risk
risk measurement
economic early warning
Granger causality network
