网络相关性、结构与系统性金融风险的关系研究

摘要

This paper establishes a mutual information based network model, uses financial enterprise total market capitalization to build mutual information correlation matrix time series,max-span-tree and scale-fee network. with these tools we study the relations between network correlation, network structure and systemic risk. By the data of financial enterprise total market capitalization of China between 2014 and 2016, we give three conclusions, there is no monotonous relations between network correlation and systemic risk. The change of network structure is a course for financial system to shock. provide a method to intervene systemic risk.%本文建立了一个互信息系数网络模型,以我国上市金融机构2014-2016年总市值数据为研究对象,利用互信息系数矩阵时间序列、各时点的最大生成树与相关性网络等研究了网络相关性、结构与系统性风险的关系.结果表明,我国金融系统的相关性与系统性风险没有单调关系,但可以用相关性预测系统性风险;网络结构在受到冲击后更加中心化;针对网络相关性、结构与系统性风险的关系,提出了一种利用相关性干预系统性风险的方法.最后分析了我国当前系统性金融风险,给出了政策建议.