宏观审慎框架下中国上市银行系统性风险监测研究

摘要

Within macro-prudential framework,this study applies market data of China's listed banks from September,2003 to January,2014,to explore systemic risk's characteristics dynami-cally based on time series analysis:accumulation,transverse covibration from cross-sectional di-mension,and longitudinal covibration from time dimension.The main conclusions are as follows:(1)the systemic risk allocating mechanism of listed banks has gradually formed;(2)the systemic risk of state-owned large commercial banks is more significant;(3 )the inter-correlation of the listed banks is strengthening gradually;(4)the systemic risk of the listed banks is exogenous and procyclical.%采用2003年9月~2014年1月的市场数据，基于时间序列分析方法，在宏观审慎框架下，对中国上市银行系统性风险的累积性、截面维度的横向共振性、时间维度的纵向共振性特征进行动态研究。得到的主要结论有：中国上市银行系统性风险配置机制已逐渐形成，大型商业银行对系统性风险的表现具有代表性，中国上市银行体系的关联性在逐渐增强，中国上市银行系统性风险具有一定的外生性和顺周期性。