中国金融机构波动溢出动态关联网络研究

基于VAR-GARCH-BEKK模型，构建金融机构波动溢出动态关联网络，分析网络的关联拓扑结构指标，挖掘金融行业间的波动溢出动态关联规律.结果表明:银行业内部金融机构间的波动溢出水平比较稳定;绝大多数时期，银行业和证券业金融机构在网络中表现为独立的关联“社团”;从受到外部波动溢出影响方面看，证券业的平均系统关联最强，信托业的平均跨行业关联最强;从对外波动溢出影响方面看，各行业的平均系统关联强弱差异不大，保险业的平均跨行业关联最强;从网络总体“嵌入”程度看，信托业的平均系统关联及跨行业关联均最强，其网络“嵌入”程度最深.

Dynamic Volatility Spillover Network of Chinese Financial Institutions

A dynamic volatility spillover network of financial institutions was constructed on the basis of the VAR-GARCH-BEKK model， whose associated topology indicators were analyzed， and the dynamic correlation laws of volatility spillover between financial industries were investigated. The results showed that the volatility spillover levels are more stable in the bank industry than those in other industries. During most of the periods， the banks and security companies form independent correlated communities. From the perspective of receiving volatility spillover， the security industry has the strongest average systemic correlation， and the trust industry has the strongest average inter-industry correlation. From the perspective of sending volatility spillover， the insurance industry has the strongest average inter-industry correlation， and the average systemic correlations are not significantly different among different industries. From the perspective of network embeddedness， the trust industry has the strongest average systemic correlation and inter-industry average correlation， whose embeddedness is the greatest.