脱实向虚和金融强监管对金融实体行业间极端风险关联的影响

随着金融机构影子银行业务的扩张和部分实体企业“脱实向虚”倾向的加剧,金融与实体经济的联系愈发紧密,对于极端风险的研究不应只局限于金融体系内部。故此,本文首先基于行业指数日度数据与五分钟高频数据测算行业风险价值,其次利用Elastic-Net-VHAR模型构建金融实体极端风险网络进行动态演化分析,最后研究实体与金融行业间风险溢出水平的影响因素。结果显示:第一,基于横截面维度,材料和工业行业在网络中居于中心位置,金融行业的风险净溢出水平为负;第二,2017年金融强监管政策开启后,网络整体密度明显下降,实体行业对金融行业风险输出水平降低,而金融行业对实体行业风险输出水平略有提升;第三,面板回归结果显示,实体行业“脱实向虚” 程度显著提升了实体与金融行业之间双向风险溢出水平,并且在金融强监管与双向风险溢出水平之间起到了正向调节效应。根据上述结论,建议监管层进一步推进金融强监管政策,注意金融监管政策与供给侧结构性改革政策之间的配合,还应特别重视对实体企业金融化规模进行严格监控,更加有效地防范系统性风险。

The Impact of Fictitious-toward Economy and Strong Financial Supervision on the Extreme Risk Connection between Financial and Entity Industries

With the expansion of shadow banking business of financial institutions and the aggravating tendency of the “economy from substantial to fictitious” of some entity enterprises, the relationship between finance and entity economy is becoming closer and closer. The research on systemic risk should not be limited to the financial system only. Therefore, this paper first calculates industries’ value-at-risk by industrial index daily data and five-minute high-frequency data, then uses Elastic-Net-VHAR model to construct the extreme risk network of financial and entity industries for dynamic evolution analysis, and finally studies the influencing factors of risk spillover level between financial and entity industries. The main conclusions are as follows: firstly, based on the cross-sectional dimension, the material and industrial industries are at the center of the network, and the net risk spillover level of the financial industry is negative. Secondly, after the introduction of the strong financial supervision policy in 2017, the density of the network decreases significantly, the level of risk export from the entity industries to the financial industry decreases, while the level of risk export from the financial industry to the entity industries slightly increases. Thirdly, the panel regression results show that the degree of “economy from substantial to fictitious” of the entity industries significantly improves the level of two-way risk spillover between the entity and financial industries, and plays a positive regulatory role between the strong financial supervision and the two-way risk spillover level. According to the above conclusions, it is suggested that the regulators further promote the strong financial supervision policy, pay attention to the coordination between the financial supervision policy and the supply-side structural reform policy, and attach importance to the strict monitoring of the financialization scale of the entity enterprises, so as to prevent systematic risks more effectively.