摘要
基于16家上市银行相关数据,实证研究了我国银行业多层网络结构对系统性风险溢出的影响。首先,利用时变Copula-CoVaR模型测度各银行的系统性风险溢出效应;其次,基于银行股票收益率间三种相关性,构建了银行多层网络模型;然后,选取多层网络结构中心性指标,建立了面板回归模型分析多层网络结构对银行系统性风险溢出效应的影响。研究表明:在银行多层网络中,度中心性对系统性风险溢出有着显著的正向影响,而中介中心性则对系统性风险溢出无显著影响。
Based on the data of 16 listed banks,this paper empirically studies the impact of multiplex network structure on systemic risk spillovers inChina s banking industry.Firstly,we use the time-varying Copula-CoVaR model to measure the systemic risk spillover effect of banks;secondly,based on the three correlations between bank stock returns,we construct a multiplex network model of banks;finally,we select the central index of multiplex network structure and establish the panel regression model to analyze the impact.The results show that the degree centrality of the bank multiplex network has a significant positive impact on systemic risk spillovers while intermediary centrality has no significant impact on them.
作者
李守伟
解一苇
杨坤
龚晨
LI Shou-wei;XIE Yi-wei;YANG Kun;GONG Chen
出处
《东南大学学报（哲学社会科学版）》
CSSCI
2019年第4期77-84,147,共9页
Journal of Southeast University(Philosophy and Social Science)
基金
国家自然科学基金项目(71671037)
教育部人文社会科学研究规划基金项目(16YJA630026)
国家社会科学基金重大专项(18VSJ035)
江苏高校哲学社会科学研究重点项目(2018SJZDI046)阶段性成果
