我国商业银行系统性金融风险溢出效应研究
Research on Systematic Financial Risk Spillover Effects of Commercial Banks in China

商业银行作为金融体系的核心机构，对于整个金融体系的稳定与健康发展有着至关重要的作用，然而商业银行的系统性金融风险溢出效应是导致金融危机的主要原因之一。本文选取上市商业银行股价数据，通过在险价值和条件在险价值法，运用GARCH-CoVaR模型，研究了单家商业银行以及整个银行业的系统性金融风险溢出效应。通过实证研究发现商业银行的确可以向金融系统外溢金融风险，并且在经济危机时更加明显。据此本文提出有关方面要加强监管和监管合作，建立前瞻性风险预警机制，提高风险管理能力以维护我国金融系统的健康稳定发展。
Commercial banks, as the core institutions of the financial system, play a crucial role in ensuring the stability and healthy development of the entire financial system. However, the systemic financial risk spillover effect of commercial banks is one of the main causes of financial crises. This paper selects the stock price data of listed commercial banks and studies the systemic financial risk spillover effect of individual commercial banks and the entire banking industry using value at risk and conditional value at risk methods. Empirical research reveals that commercial banks can indeed transmit financial risks to the financial system, and this effect becomes more pronounced during economic crises. Based on the above, this paper calls for strengthening the following aspects: enhancing regulation and regulatory cooperation, establishing forward-looking risk alert mechanisms, and improving risk management capabilities in order to maintain the healthy and stable development of China’s financial system.