为了对我国金融部门间的系统性风险溢出进行实时监测和有效预警,本文基于Adrian and Brunnermeier (2016)的CoES指标构想,在左尾视角的基础上进一步引入右尾视角,构建下行和上行ΔCoES分别作为系统性风险的同期度量指标和前瞻预警指标,并提出了更为有效合理且同时适用于下行和上行ΔCoES的计算方法.本文一方面采用下行和上行ΔCoES对我国银行、证券、保险三个金融部门间的系统性风险溢出进行监测预警研究,另一方面还基于我国的经验数据检验上行和下行ΔCoES的性质.研究结果显示,我国金融部门间具有显著的系统性风险溢出效应,且三个部门间的风险溢出存在非对称性,银行部门是系统性风险的主要发送者,证券部门是系统性风险的主要接收者; 三个部门两两间的风险溢出水平表现出明显的协同性和周期性,且上行的风险溢出水平高于下行.同时,基于我国的经验数据发现,上行ΔCoES对下行ΔCoES具有显著的先导性、前瞻性,上行ΔCoES可以作为系统性风险的前瞻预警指标.此外,下行ΔCoES能够引领ΔCoVaR和基于MES估计方法计算的短期ΔCoES指标,表明本文构建的下行ΔCoES实时性更强,更适合作为系统性风险的实时监测指标.%China's comprehensive financial reforms were accompanied by the rapid integration of financial institutions including banks,securities,and insurance companies and the continual introduction of cross - businesses and cross - products such that mixed financial operations have become a trend. This not only exacerbates the cross - sector and cross - market spread of risk,but increases the possible cross - contagion of financial risk. When a crisis occurs in one industry,the cross - contagion and resonance of risk may further induce systemic financial risk,threatening China's financial security. At present,preventing and reducing systemic risk and safeguarding financial security are the focus of the whole society. However,it is not easy to prevent systemic risk,and the accurate measurement of risk is a prerequisite for scientific prevention. Only through real - time monitoring and effective forewarning can we hold the bottom line for systemic risk and national financial security. Research on monitoring and early warning signs of systemic risk spillover among China's banking,securities,and insurance sectors will not only contribute to the prevention of cross - sector risk,but also help to prevent systemic financial risk and defend the security of the entire financial system. To carry out real - time monitoring and effective early forewarning of systemic risk spillover in China's financial sector based on the CoES indicator (Adrian and Brunnermeier,2016) and the traditional left - tail perspective,we also include the right - tail perspective. We subsequently build upper ΔCoES and lower ΔCoES measures as real - time monitoring and forward - looking warning indicators,respectively,of systemic risk under a unified CoES framework. We also take advantage of CoVaR and LRMES to propose a more effective and accurate calculation method for these indicators. We select the banking,securities,and insurance industry index in the Shenwan second - class industry index to proxy for these three financial sectors. The modified CoES indicators are used to monitor and predict the systemic risk spillover among China's financial sectors. Based on the data,this paper tests the forward - looking and early warning characteristics of the upper ΔCoES and the real - time characteristics of the lower ΔCoES. The results suggest that there are significant and asymmetric systemic risk spillover effects among the three financial sectors. While the banking sector is the main sender of systemic risk,the securities sector is the main recipient. Risk spillover among China's financial sectors shows significant co - movement and cyclicality,and the upside risk spillover is higher than that of the downside. At the same time,the upper ΔCoES is significantly ahead of the lower ΔCoES,and can therefore be used as a forward - looking warning indicator of systemic risk. In addition,the lower ΔCoES can lead the ΔCoVaR,and the short - term ΔCoES calculated based on the MES estimation method indicates that the lower ΔCoES is more suitable as a real - time indicator of systemic risk. There are two main policy implications of these results. In the cross - sectional dimension,according to the role and status of the different financial sectors in systemic risk transmission,the supervisory authority should select regulatory objectives and policy tools to carry out differentiated monitoring and prevention. As the banking sector is the main sender of systemic risk,the focus of China's systemic risk prevention should be the banking sector. Reducing risk spillover from the banking sector is the key to preventing and defusing systemic financial risk and maintaining the security and stability of the financial system. As the securities sector is the main recipient of systemic risk,we should pay attention to improving this sector's ability to resist risk and reducing its systemic vulnerability. In the time dimension,the supervisory authority should not only monitor the real - time dynamics of the systemic risk spillover,but also build effective early - warning indicators of systemic risk and improve the mechanisms of risk monitoring,early warning,and early intervention. The supervisory authority can use the lower and upper ΔCoES constructed in this paper as real - time monitoring and forward - looking warning indicators to further improve the systemic risk monitoring and early warning system in China.
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