摘要
引入极值理论模型,依次测算我国上市非银行金融机构的自身极端风险概率、极端风险网络关联度以及金融系统整体极端风险网络关联度.2017年金融强监管周期开启后,证券、信托、保险三类机构自身极端风险概率均有所降低;三类机构的极端风险网络关联度也均降低,但仍需要进一步监管;金融系统整体极端风险网络关联度亦明显下降.面板回归结果显示,金融强监管政策显著降低了非银行金融机构的极端风险网络关联度;影子银行规模比重对极端风险网络关联度呈U型影响,最优规模比重约为0.35,部分机构需进一步降低影子银行规模比重,监管层需要注意监管边界,维持影子银行业务适度发展.
The extreme value theory model is introduced to measure the extreme risk probability and the extreme risk network connectedness degree of listed non-bank financial institutions in China,and the extreme risk level of the whole financial system.After the implementation of strong financial regulatory in 2017,the extreme risk probability of the securities,trusts and insurance institutions have been reduced;the extreme risk network connectedness degree of these three types of institutions has been reduced,but further regulation is still needed;the extreme risk level of the whole financial system has also been reduced.The panel regression results show that:The strong financial supervision policy has significantly reduced the extreme risk network connectedness of non-bank financial institutions;the proportion of shadow banking has a U-shaped effect on the extreme risk network connectedness degree,and the optimal level is about 35 percent.Some non-bank financial companies need to further reduce the size of shadow banking.Regulators need to pay attention to regulatory boundaries,maintain the appropriate development of shadow banking business.
作者
马亚明
胡春阳
MA Ya-ming;HU Chun-yang(School of Finance,Tianjin University of Finance and Economics,Tianjin 300222,China)
出处
《管理科学学报》
CSSCI
CSCD
北大核心
2021年第2期75-98,共24页
Journal of Management Sciences in China
基金
国家社会科学基金资助项目(15AJY021)。
关键词
非银行金融机构
极端风险关联
金融强监管
影子银行
极值理论
non-bank financial institutions
extreme risk connectedness
strong financial regulation
shadow banking
extreme value theory
