基于转移熵的银行间风险传染效应实证研究

摘要

鉴于资本市场交易数据相对容易获得,提出了一种基于转移熵方法的银行间风险传染效应度量工具.基于16家上市银行具体交易数据,基于转移熵方法对银行间风险传染效应进行了实证研究.实证研究表明,该方法可以有效地度量银行间风险传染效应和银行对银行业风险贡献度.这有利于识别出系统中的重要性银行,为维护银行系统稳定提供决策依据.%In view of the relatively easy access to transaction data of the capital market,this paper proposes a measurement tool for interbank risk contagion effect with the transfer entropy method.Using the specific transaction data of 16 listed banks,interbank risk contagion effect is studied based on the transfer entropy method.Empirical results show that this method can effectively measure interbank risk contagion and bank contribution to banking risk.This is conducive for identifying the important banks within the banking system, w hich may serve as a basis for decision-making in maintaining banking stability.