金融监管与非银行金融部门系统性风险传染

肖争艳¹　程硕¹　陈彦斌³

（1. 中国人民大学；2. 首都经济贸易大学）

内容提要：近年来，中国系统性金融风险呈现跨部门传导效应，尤其是非银行金融部门风险传染可能成为威胁金融市场稳定的重要挑战。本文基于非银行金融部门的微观数据，采用弹性网分位数回归构建尾部风险网络，利用复杂网络分析方法动态捕捉非银行金融机构系统性风险溢出水平的演变特征，研究金融监管对非银行金融部门系统性风险传染的政策效应。研究结果显示：第一，金融部门的系统性风险溢出总水平主要来自非银行金融部门的系统性风险溢出水平，其中多元金融部门的系统性风险溢出尤为突出，证券部门和多元金融部门存在较为密切的双向系统性风险溢出；第二，2017年金融监管改革后，金融公司之间的风险网络结构密度有所降低，跨部门系统性风险溢出水平显著降低；第三，金融监管对非银行金融部门系统性风险溢出水平的影响具有明显的时变性特征，2016—2017年金融监管明显降低了系统性风险溢出水平，2018年后政策效果因受到外部冲击而有所弱化；第四，不同非银行金融部门的系统性风险溢出水平对政策冲击的响应存在差异，金融监管政策在短期内降低多元金融部门和证券部门的系统性风险溢出水平效果更为明显。本文的研究结论对完善中国金融风险防范体系、防止金融资本“脱实向虚”和健全相应的风险监管制度具有一定的参考价值。

关键词：系统性风险；金融监管；非银行金融部门；弹性网分位数回归；金融体系

作者简介：肖争艳，中国人民大学应用统计科学研究中心研究员/统计学院教授、博士生导师，通信作者，北京，100872；程硕，中国人民大学统计学院博士研究生；陈彦斌，首都经济贸易大学经济学院教授、博士生导师，北京，100070。

基金项目：国家自然科学基金专项项目“中国特色宏观调控理论研究：规律总结、理论构建与实践应用”（72141306）；中国人民大学“求是学术-栋梁”育人育才项目（RUC24QSDL102）

引用格式：肖争艳,程硕,陈彦斌.金融监管与非银行金融部门系统性风险传染[J].经济与管理研究,2024,45(9):3-21.DOI:10.13502/j.cnki.issn1000-7636.2024.09.001.

Financial Regulation and Systemic Risk Contagion of Non-bank Financial Sector

XIAO Zhengyan¹, CHENG Shuo¹, CHEN Yanbin²

(1. Renmin University of China, Beijing 100872;

2. Capital University of Economics and Business, Beijing 100070)

Abstract: Systemic financial risks, especially risk contagion in the non-bank financial sector, become a major challenge threatening the stability of financial markets. Based on microdata from the non-bank financial sector, this paper employs the elastic net quantile regression to construct the tail risk network. Using complex network analysis methods, it dynamically captures the evolving characteristics of systemic risk spillover levels in non-bank financial institutions and examines the policy effect of financial regulation on the systemic risk contagion within the non-bank financial sector.

The findings reveal that the overall level of systemic risk spillover in the financial sector primarily originates from the systemic risk spillover of the non-bank financial sector, with that of the diversified financial sector being particularly prominent. There is a close bidirectional systemic risk spillover relationship between the securities sector and the diversified financial sector, indicating that the role of the non-bank financial sector within the financial system should not be ignored. Its risk status significantly impacts the overall stability of the financial market. Following the financial regulatory reforms of 2017, the density of the risk network structure among financial companies in China has decreased, and the level of cross-sector systemic risk spillover has significantly reduced. This finding suggests that financial regulatory reforms have, to some extent, successfully curbed systemic risk spillover in the non-bank financial sector, enhancing the overall stability of the financial market. In addition, the impact of financial regulation on systemic risk spillover levels in the non-bank financial sector exhibits significant temporal variability. From 2016 to 2017, financial regulation reduced systemic risk spillover levels, but after 2018, due to external shocks, the policy effects weakened. This indicates the necessity for dynamic adjustments in financial regulation according to changes in the external environment to continuously and effectively prevent systemic financial risks. Furthermore, the responsiveness of systemic risk spillover levels to policy shocks also varies across non-bank financial sectors. It is found that financial regulatory policies more effectively reduce systemic risk spillover levels in the diversified financial and securities sectors in the short term. This suggests that regulatory measures targeting different financial sectors should be specific to maximize policy effectiveness.

The findings offer valuable insights into improving China’s financial risk prevention system. Strengthening the regulation of the non-bank financial sector can effectively prevent financial capital from derealization to virtualization, ensuring the stability and healthy development of the financial market. Moreover, establishing a sound risk regulation system is crucial for preventing and mitigating systemic risks.

Keywords: systemic risk; financial regulation; non-bank financial sector; elastic net quantile regression; financial system

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