行业系统性风险的动态特征及其影响因素

现代经济主体间网络关联性越来越强,风险很容易在不同行业间扩散,因此有效识别并分析系统性风险是防范金融危机的关键步骤。基于条件风险价值(CoVaR)和边际期望损失(MES)两个指标,对巨潮行业指数系统性风险的静态和动态特征进行了研究。结果发现,各行业间系统性风险的相关性较强,动态特征显示2009年年初和2016年3月为系统性风险的两个峰值;从分行业来看,材料行业的系统性风险最高,而消费和医药行业的系统性风险最低。采用动态面板模型分析影响行业系统性风险的市场面因素发现,短期涨幅较高、长期涨幅较低及流动性较充分的行业,其系统性风险往往更低。因此,应加强对系统性风险较高行业的监管力度,建立好金融防火墙,防止外部金融风险的过度传染;同时应加强对各行业的实时监控,尤其是关注短期暴涨暴跌及流动性充分与否的监控。

Research on Dynamic Characteristics and Influencing Factors of Industry Systematic Risk

The interconnectedness of networks among modern economic entities is getting stronger and risks can easily spread between different industries.Therefore,effectively identifying and analyzing systemic risks is a key step in preventing financial crises.Based on the two indicators of Conditional Value at Risk(CoVaR)and Marginal Expected Loss(MES),the static and dynamic characteristics of the systematic risk of the Tide industry index were studied.The results show that:The systemic risk among industries is highly correlated,and the early 2009 and March 2016 are the two peaks of systemic risk;From the perspective of different industries,the systemic risk of the material industry is the highest,while the systemic risk of the consumer and pharmaceutical industries is the lowest.The dynamic panel model is used to analyze the market factors that affect the systemic risk of the industry.It is found that industries with higher short-term gains,lower long-term gains,and more liquidity tend to have lower systemic risks.It is necessary to strengthen the supervision of industries with higher systemic risks;establish financial firewalls to prevent excessive transmission of external financial risks;and strengthen real-time monitoring of various industries,especially focusing on short-term surges and liquidity.