* * :, CoVaR,, ; ( ) : CoVaR :,100872;,100872 : F830.3 : A : 1002-8102 (2013)09-0057-10 2007 Gai (2011),, 2008,,,, * ( :11JJD790009) 57
Finance & Trade Economics,No.9,2013 (Das Uppal, 2004;Dilip,2013) Dilip (2013) ; 20 90 (ImprovementAct) DeBandt Hartmann(2000) Dilip (2013) ( ),,, ( ), (2001), (2011) (2012) ;,,,Segoviano Goodhart(2009) ;Adrian Brunnermeier(2009) CoVaR ; (2007) ; (2011), (2011) IMF/ BIS/FSB(2009) Dilip (2013), (2012) Merton, (2012), 58
( ) (Aharony Swary, 1983), Dilip (2013) DeNicolo Kwast(2002) 1988-1999 ( ),2008, 2013 1, EconLit Interconnectedness Systemic risk, 2007 311, 2007 624, 2008 Alen Gale(2000) (CompleteNetwork) (IncompleteNetwork), :,,, Gai (2011) Cont (2012), Gai (2011),,Gai (2011) Alen Gale(2000) Cont (2012) 3000 ; ( ), (1),, (Dilip,2013) (2) (Ammer Mei,1996) 59
Finance & Trade Economics,No.9,2013 (3) (Hul 2004) (Merton, 1974) (4), (Dilip,2013) IMF (2009) ( ) ( ), ( ), ( ) ( ) 2006,, 2012,, (Dilip,2013),1 2006 2007,, 2008 2009 2010,,,, 2006 2007, 2008 4% 2009, 2010 2006 ( ) DeNicolo Kwast(2002), ;,,,, Dilip (2013), Pearson,,, Mann-Whitney ( )CoVaR CoVaR, VaR, 1 CSMAR 60
CoVaR Co (Conditional), (Cotagion) (Comovement) CoVaR CoVaR, CoVaR, Garch CoVaR : 烄烆 R i t Rt System 烌烎 μ( 2) = μ1 + ε1,t (R i t,r t )-N( μ1 ( ε2, t) μ( 2),( 烄 ( σt) i 2 ρ tσi tσ t 烌 ρ tσi tσ t (σ t ) )) ( 1) 2 烆烎,R i t R t μ i,εi,t,i=1 2, ρ,σ,, : (R t R t)-n( i Ri tσ t σ i t ρ t,(1-ρ 2 t)(σ t ) 2 ) (2) CoVaR t(q,p) i i p% VaR, q% VaR, Pr(R t <CoVaR i t(q,p) R i t=var i t(p))=q (3) Pr, : Pr( R t Rt σ σ -R t i ρ tσ t t 槡 1-ρ 2 t -R t i ρ tσ t t 槡 1-ρ 2 t /σ i t /σ i t < CoVaRi t(q,p)-r t i ρ tσ t σt 槡 1-ρ 2 t /σ i t R i t=var i t(p))=q -N(0,1) (4) Garch, CoVaR CoVaR : CoVaR i t(q,p)=φ -1 (q)σ t 槡 1-ρ 2 t +φ -1 (p) ρ tσ t (5) ΔCoVaR i t(q,p)=φ -1 (q) ρ tσ t (6) ( ) 1 Pearson,2006-2008, 1, 2008 ( ) 2006,2008 2006 1.5~2, 0.8 2008, ( ), Dilip (2013), 2008 Pearson 0.614, 1 61
Finance & Trade Economics,No.9,2013 Pearson 2008-2012 0.7~0.8,,,, 2012, 13.93% 27% 2011 12% 20% 2011 30%, 1 1 2006 2007 2008 2009 2010 2011 2012 0.7015 0.7429 0.7708 0.7695 0.6858 0.8372 0.7547 0.7655 0.7829 0.7748 0.8253 0.7456 0.7971 0.7932 0.7626 0.7880 0.7477 0.7778 0.7819 0.7411 0.3703 0.5018 0.8435 0.7159 0.7177 0.7507 0.7494 0.4154 0.6451 0.8425 0.7678 0.4777 0.8220 0.7893 0.4844 0.6347 0.8245 0.7577 0.7043 0.7651 0.7883 0.5034 0.6915 0.8627 0.7415 0.8040 0.7284 0.7438 0.4423 0.6963 0.8505 0.6972 0.7974 0.7959 0.7889 0.8339 0.7712 0.7683 0.7908 0.7961 0.7769 0.7759 0.8524 0.6371 0.7802 0.7396 0.7816 0.4432 0.6339 0.8443 0.7269 0.7213 0.7712 0.7767 0.6957 0.6635 0.8460 0.7294 0.7736 0.7857 0.7619 0.3462 0.6610 0.8094 0.7449 0.5996 0.6390 0.7149 0.8514 0.7270 0.7146 0.6717 0.7007 0.2189 0.6476 0.8182 0.6748 0.6683 0.7110 0.6281 0.2826 0.6543 0.8312 0.7190 0.6890 0.7006 0.6938 ( )CoVaR Garch CoVaR CoVaR 1 62
0.005 0.01 0.05 CoVaR CoVaR, CoVaR CoVaR,, ( 2) 2 CoVaR CoVaR :% CoVaR 0.005 CoVaR 0.01 CoVaR 0.05 ΔCoVaR 0.005 ΔCoVaR 0.01 ΔCoVaR 0.05-0.39-0.36-0.25-0.21-0.19-0.14-0.35-0.32-0.22-0.20-0.18-0.12-0.21-0.19-0.14-0.09-0.08-0.06-0.32-0.29-0.20-0.17-0.15-0.10-0.47-0.42-0.30-0.27-0.25-0.17-0.45-0.40-0.29-0.27-0.24-0.17-0.44-0.40-0.28-0.24-0.22-0.15-0.38-0.34-0.24-0.23-0.21-0.15-0.33-0.30-0.21-0.23-0.20-0.14-0.26-0.23-0.16-0.14-0.12-0.09-0.25-0.22-0.16-0.12-0.11-0.08-0.19-0.17-0.12-0.10-0.09-0.06-0.35-0.31-0.22-0.20-0.18-0.13-0.29-0.26-0.18-0.18-0.16-0.12-0.24-0.21-0.15-0.14-0.12-0.09-0.23-0.20-0.14-0.15-0.13-0.09-0.20-0.18-0.13-0.11-0.10-0.07-0.05-0.04-0.03-0.03-0.02-0.02-0.20-0.18-0.13-0.12-0.11-0.08,,, CoVaR,,,,, (2003), (1) 63
Finance & Trade Economics,No.9,2013,, (2),,, ;, ;,,, : 1. 2008, ( ) 2.,, 3. ;, 64
, : 1. :, 2012 4 2. :, 2011 4 3. :, 2012 11 4. :, 2011 12 5. :, 2007 1 6. :, 2001 4 7. :, 2003 1 8. :, 2011 2 9. :, 2012 1 10.Adrian,T.,Brunnermeier,M.K.,CoVaR.PrincetonUniversity WorkingPaper,No.348,2009. 11.Aharony,J.,Swary,I.,ContagionEfectsofBankFailures:Evidencefrom CapitalMarkets.Journalof Business,Vol.56, No.3,July1983,pp.305-322. 12.Alen,Franklin,andDouglasGale,FinancialContagion.Journalof PoliticalEconomy,Vol.108,Issue.1,February2000, pp.1-33. 13.Ammer,J.,Mei,J.,MeasuringInternationalEconomicLinkageswithStock MarketData.Journalof Finance,Vol.51, Issue.5,December1996,pp.1743-1763. 14.Cont,Rama,AmalMoussa,andEdsonBastoseSantos,NetworkStructureandSystemicRiskinBankingSystems.SSRN WorkingPaperSeries,No.1733528,2012. 15.Das,S.R.andUppal,R.,SystemicRiskandInternationalPortfolioChoice.Journalof Finance,Vol.59,No.6,December 2004,pp.2809-2834. 16.DeBandt,O.andHartmann,P.,SystemicRisk:ASurvey.ECB WorkingPaper,No.35.2000. 17.DeNicolo,G.and Kwast,M.,SystemicRiskandFinancialConsolidation:AreTheyRelated Journalof Banking and Finance,Vol.26,Issue.5,May2002,pp.861-880.. 18.DilipK.Patro,MinQiandXianSun.ASimpleIndicatorofSystemicRisk.Journalof FinancialStability,Vol.9,Issue.1, April2013,pp.105-116. 19.Gai,Prasanna,Andrew Haldane,and Sujit Kapadia,Complexity,Concentration and Contagion.Journalof Monetary Economics,Vol.58Issue.5,July2011,pp.453-470. 20.Hul,J.,Predescu,M.,White,A.,TheRelationshipBetweenCreditDefaultSwapSpreads,BondYields,andCreditRating Announcements.Journalof Banking and Finance,Vol.28,Issue.11,November2004,pp.2789-2811. 21.IMF,GlobalFinancialStabilityReport,2009. 22.IMF/BIS/FSB,Guidanceto AssesstheSystemicImportanceofFinancialInstitutions,MarketsandInstruments:Initial Considerations.2009. 23.Merton,R.C.,OnthePricingofCorporateDebt:theRiskStructureofInterestRates.Journalof Finance,Vol.29,No.2, May1974,pp.449-470. 24.Segoviano,M.,Goodhart,C.,BankingStability Measures.IMF WorkingPaper,No.4,2009. DoState-ownedLargeCommercialBanksContributeMoreto SystemicRisk EvidencefromStockReturnsofChineseListedCommercialBanks CHENZhongyang,LIU Zhiyang(RenminUniversityofChina,100872) Abstract:Riskistheprobabilityofuncertainfutureevents.Stockpricereflectstheexpectationofthe 65
Finance & Trade Economics,No.9,2013 futurerisk.usingthedailystockreturntimeseriesofchineselistedcommercialbanks,thispaper studiesthe measurement of ic risk through correlation analysis and CoVaR method. The conclusionsare:joint-equitycommercialbanksandcitycommercialbanksgeneralycorrelatemorewith otherbanksthanstate-ownedlargecommercialbanks,andtheprobabilityoftriggeringicriskdue tothefailureofjoint-equitycommercialbanksandcitycommercialbanksisgreaterthanthatduetostate- ownedlargecommercialbanks.ononehand,itisbecausejoint-equitycommercialbanks andcity commercialbanks assetshavegrowntoofastinrecentyears.ontheotherhand,itistheinjectionof statereputationcapitalinstate-ownedlargecommercialbanksthatreducestheprobabilityoftriggering icriskduetothefailureofstate-ownedlargecommercialbanks,andthis toobigtofail prospect isreflectedinthestockmarket. Keywords:SystemicRisk,CorrelationAnalysis,CoVaR,SystemicImportantFinancialInstitutions : ( 27 ) 13.Kneler,R.,Bleaney,M.F.andGemmel,N.,FiscalPolicyandGrowth:Evidencefrom OECD Countries.Journalof Public Economics,Vol.74,No.2,1999,pp.171-190. 14.Myles,G.D.,TaxationandEconomicGrowth.FiscalStudies,Vol.21,No.1,2000,pp.141-168. 15.Turnovsky,S.J.,FiscalPolicy,ElasticLaborSupply,and Endogenous Growth.Journalof Monetary Economics, Vol.45,No.1,2000,pp.185-210. 16.Widmalm,F.,TaxStructureandGrowth:AreSomeTaxesBeterthanOthers PublicChoice,Vol.107,No.3,2001, pp.199-219. 17.Zagler,M.and Dürnecker,G.,FiscalPolicyandEconomicGrowth.Journalof EconomicSurveys,Vol.17,No.3, 2003,pp.397-418. EconomicGrowthEffectsofChina staxstructurechanges WithAdditionalStudyonRegionalEconomic UnbalancedDevelopment ZHANGShengmin(ShanghaiUniversityofFinanceandEconomics,200433; HenanUniversity,475000) Abstract:Thispaperanalyzesthegrowth efectsoftax structureand productiveexpenditurein an endogenousgrowthmodel.usingpaneldataof29provincesfrom1997to2006inchina,theeconomic growthefectandregionaldiferencesofchangesinthetaxstructurehavebeeninvestigated.compared withpreviousresearches,themaindiferencesaretakinggovernmentbudgetconstraintintoaccountin theempiricalstudyandinvestigatingtaxstructurechangesbothintheconditionofincreasedrevenueand unchangedrevenue.theresultsindicatethattheincreasesofincometaxshareandpropertytaxsharedo nothindereconomicgrowth,butthegrowthefectoftaxstructurechangesmaybequitediferentamong regions:theriseofincometaxshareexpandsregionalgap,whiletheriseofthepropertytaxshare narrowsthegapbetweeneastand west.topromotebalanceddevelopmentofregionaleconomy,the futuredirectionoftaxstructureadjustmentmayfocusonincreasingpropertytaxsharewithoutreducing theincometaxshare. Keywords:TaxStructure,EconomicGrowth,RegionalEconomicGrowth,GovernmentBudgetConstraint 66 :