摘要
金融危机后,系统性风险的度量与规避成为国内外学者研究的重点。文章从流动性传导视角,构建了包括银行间市场、证券市场以及房地产市场在内的三市场流动性间相互作用及影响的系统流动性风险度量框架,分析三市场间系统流动性风险的传播路径。基于相应的Copula函数模型验证金融体系系统流动性风险的存在性,研究发现:银行间流动性与证券市场和房地产市场流动性呈现此消彼长的态势;但是对于证券市场流动性和房地产市场流动性,财富效应使其同向变动、相互带动;而替代效应和投资资产组合理论又认为两者在一定程度上相互制约,从而形成了相互作用机制。
After financial crisis, the systematic risk measurement and its circumvention have become the study focus of domestic and foreign scholars. From the perspective of liquidity transmission, this paper constructs a systematic liquidity risk measurement framework for the interaction and influence of liquidity in three markets, including interbank market, securities market and real estate market, and analyzes the transmission path of liquidity risk among the three markets. And then the existence of liquidity risk in financial system is verified based on the corresponding Copula function model. Study results find that the liquidities of inter-bank, securities market and real estate market presents a trend of one disappearing and the other growing;for the liquidity of securities market and that of real estate market, the wealth effect makes them move in the same direction and drive each other,but the substitution effect and the portfolio theory also think that they restrict each other to a certain extent, thus forming the interaction mechanism.
作者
陈金鑫
朱元倩
Chen Jinxin;Zhu Yuanqian(Department of Statistics arid Finance,University of Science and Technology of China,Hefei 230026,China;China Banking Regulatory Commission,Beijing 100140,China)
出处
《统计与决策》
CSSCI
北大核心
2019年第3期162-166,共5页
Statistics & Decision
基金
国家自然科学基金青年项目(71403251)
关键词
系统流动性风险
证券市场
房地产市场
商业银行
动态相关
systemic liquidity risk
securities market
real estate market
commercial bank
dynamic correlation
