Abstract: Exploring excessive institutional dependences is the key to preventing and controlling large-scale outbreaks of systemic risks, but long-term correlations between the institutions are inevitable, and financial crises can also trigger short-term excessive correlations between institutions. This paper, employing the DCC-MIDAS model and dynamic conditional correlation coefficient decomposition approach, studies the long-term and short-term correlations within a unified framework. Through the analysis of the time-varying and persistent differences of short-term correlations, as well as the sensitive factors of long-term correlations, it explores the changes in the scope and duration of risk contagion between institutions in China’s financial system during different periods of structural changes, as well as the macro and micro characteristics of long-term correlations between financial institutions. It is found that the contagion during the shocks is temporary, and with the diversification of China’s financial institutions, the magnitude and persistence of the contagion have decreased. The size differences can reduce the long-term correlation and indirectly reduce the contagion. However, with the increasing marketization, the influence of market factors on long-term correlation increases in China’s system. It is suggested to use institutional differentiation as a reference factor for risk control strategies and to monitor and regulate the impact of market indicators on the degree of association to prevent institutions from forming excessively high long-term associations, in order to control potential contagion in the future.

Key words:

 risk contagion, DCC-MIDAS, long/short-term correlation, dynamic correlation, systemic risk

摘要：

探究机构间过度关联是防控系统性风险大面积爆发的关键，但金融机构间不可避免地存在长期关联，同时金融危机会触发机构间短期的风险传染。采用DCC-MIDAS模型，借助动态条件相关系数分解法，在统一框架下研究关联的长期和短期特征。通过短期关联的时变性和持续差异以及长期关联的敏感因素分析，探究中国金融体系在两个结构变化阶段，机构间风险传染范围、持续性以及金融机构间长期关联的宏观和微观特征。研究发现，机构间的冲击传染具有暂时性，随着中国金融机构的多元化，其传染幅度和持续性均有所下降。机构间的规模、杠杆差异能降低机构间的长期关联并间接降低冲击传染幅度，随着中国金融机构市场化程度的增强，长期关联受到市场因素影响程度增加。建议将机构差异化作为风险控制策略的参考因素，并检测和调控市场指标对关联程度的影响，防止机构形成过高的长期关联，以控制未来冲击中可能造成的风险传染。

关键词:

风险传染, 动态条件相关性模型-混频数据抽样模型, 长/短期关联, 动态相关, 系统性风险