我国保险市场对系统重要性银行的风险溢出效应研究
Research on the Risk Spillover Effect of China’s Insurance Market on Systemically Important Banks

基于5家保险公司和使用指标法确定的16家系统重要性银行的股票收益率数据，使用分位数回归CoVaR模型，实证分析了我国保险市场对系统重要性银行的风险溢出，及对比分析疫情前后保险市场对系统重要性银行的风险溢出。结果显示，保险市场对各银行均存在风险溢出，其中股份制银行对保险市场风险变动最敏感，其次是城市商业银行和国有银行，而受保险市场溢出影响最大的顺序刚好相反；新冠疫情爆发会放大机构自身风险，降低保险市场对银行的风险溢出。
This paper empirically analyses the risk spillover from China’s insurance market to systemically important banks based on stock return data from five insurance companies and 16 systemically important banks identified using the indicator method, using CoVaR of quantile regression, and comparatively analysing the risk spillover from the insurance market to systemically important banks before and after the epidemic. The results show that the insurance market has risk spillovers to all banks, with joint-stock banks being the most sensitive to risk changes in the insurance market, followed by city commercial banks and state-owned banks, while the order of the most affected by insurance market spillovers is just the opposite; the outbreak of the COVID-19 the institution’s own risk and reduces the risk spillovers from the insurance market to banks.