宏观审慎框架下中国上市银行系统性风险监测研究
Researching the Monitoring of China's Listed Banks' Systemic Risk Within Macro-prudential Framework

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。
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 dynamically based on time series analysis: accumulation, transverse covibration from cross-sectional dimension, 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.