王琳++++沈沛龙

内容摘要：本文以我国15家上市银行为研究对象，就银行间的风险联动关系进行研究。对银行间相关性的研究主要包括三个方面：上市银行收益率两两间的时变相关系数测算；4家大型国有商业银行与11家股份制商业银行间的整体相關程度的测算；以及根据我国上市银行间的动态相关关系构建银行体系风险联动的预警指标。研究发现：我国上市银行间普遍存在显著的非对称的动态相关关系，4家大型国有银行间的平均动态相关系数比他们和其余11家银行间的相关系数高；我国的4家大型国有商业银行与11家股份制商业银行的整体相关程度也很高； 15家上市银行两两的动态条件相关系数序列构建的银行体系系统性风险预警指标能够及时检测市场风险。

关键词：上市银行 系统性风险 动态相关 风险预警

Abstract： The article targets at 15 listed banks in China and analyses the risks correlation among banks. The research on the interbank pertinence involves the following three parts： the measurement of time-varying correlation coefficients of yield rate of public banks； the measurement of the overall correlation between 4 large state-owned commercial banks and 11 joint-stock commercial banks； and the establishment of early-warning index of banking system risks correlation according to dynamic correlation among the listed banks in China. The study indicates that： a kind of unsymmetrical dynamic correlation prevails among the listed banks， in which the average dynamic correlation coefficient of four large state-owned commercial banks is higher than that of eleven banks； the overall correlation between four large state-owned commercial banks and eleven joint-stock commercial banks is also found high； the early-warning index of banking system risks correlation built on the basis of dynamic correlation index among fifteen listed banks can detect the market risks in time.

Key words： Listed Bank； Systematic Risk； Dynamic Correlation； Risk Warning

一、引言

银行机构是大多数国家金融体系的主导者，银行系统性风险也是金融危机研究的核心内容。无论是1929年美国经济大危机，还是2008年以雷曼兄弟破产为导火索的美国次贷危机，以及这期间数百次的金融危机或是困境，都伴随着银行体系风险的不断积累、快速传染、集中爆发。而银行间相互密切的业务往来关系使得银行间收益率的波动存在一定的相关性。相关性能够反映序列间波动的关联程度，市场风险的传染最早就是通过相关系数进行衡量，相关系数的增加反映了联动关系的增强，即风险传染的增强。……