中美银行市场之间风险溢出效应分析——基于GARCH-Copula-CoVaR模型
A Study on the Risk Spillover Effects between Chinese and American Banking Markets—Based on GARCH-Copula-CoVaR Model

十八大以来，随着我国金融服务业的全面开放，中国银行市场与国际金融市场的联系日益紧密，对国际间银行市场风险溢出效应的定量分析，将有助于我国银行业应对国际金融风险的冲击。文章基于2018~2022年间中美银行指数日收益数据，采用GARCH-Copula-CoVaR模型，对美国与中国银行市场之间的风险溢出效应进行了实证分析。结果显示：1) 美国银行市场对我国银行市场存在较强的正向风险溢出效应，2) 大型银行的风险外溢强于中小型银行，3) 传统商业银行的风险溢出效应强于非传统商业银行。这些结论为管理当局进行宏观审慎监管、为中国银行业应对国际金融风险冲击提供了启示。
Since the 18^th National Congress, with the full opening up of China’s financial service industry, China’s banking market has become more and more closely connected with the international financial market, and the quantitative analysis of the risk spillover effect of the international banking market will help China’s banking industry to cope with the impact of international financial risks. The article empirically analyzes the risk spillover effect between the U.S. and Chinese banking markets based on the daily return data of the U.S.-China banking index for the period 2018~2022, using the GARCH-Copula-CoVaR model. The results show that 1) the U.S. banking market has a strong positive risk spillover effect on China’s banking market, 2) the risk spillover of large banks is stronger than that of small and medium-sized banks, and 3) the risk spillover effect of traditional commercial banks is stronger than that of non-traditional commercial banks. These findings provide insights for management authorities to conduct macroprudential supervision and for China’s banking sector to cope with international financial risk shocks.