《保险研究》20200703-《保险业系统性风险及对相关行业的溢出效应研究》（韩浩、王向楠、刘璐）

［摘   要］防范金融风险的跨部门传染是治理重大风险的一个重要话题,本文关注保险业的作用,研究保险业的系统性风险以及保险业对银行、证券、信托、房地产这四个(准)金融部门的影响。基于2008年1月～2019年7月的上市公司数据,通过加入状态变量的条件在险价值模型(CoVaR模型)和分位数回归方法,本文主要发现:在2015年股市危机出现时,单家上市保险公司的风险溢出值都大幅升高；从保险业风险的对外溢出效应看,从大到小依次为银行业、证券业、房地产业和信托业,从2015年股灾前到股灾后,保险业风险对证券业和房地产业的溢出效应超过了对银行业的溢出效应,对信托业的溢出保持最小；从保险业风险的边际溢出效应看,从大到小依此为证券业、房地产业、信托业和银行业。本文最后提出了管理保险业与相关行业之间风险溢出的对策建议。

［关键词］保险；银行；证券；信托；房地产；系统性风险

［基金项目］本文获得国家社会科学基金青年项目(编号:18CJY063)支持。

［作者简介］韩浩,对外经济贸易大学保险学院博士研究生；王向楠,博士,中国社会科学院金融研究所副研究员；刘璐,博士,东北财经大学金融学院教授。

Insurance Industry′s Systemic Risk and Its Spillover Effect on Related Sectors

HAN Hao,WANG Xiang-nan,Liu Lu

Abstract：Preventing cross-sectoral financial risk contagion is an important topic of material risk governance.This paper focused on the role of the insurance sector,and studied the systemic risk of the insurance sector and its spillover on the four (quasi-) financial sectors，namely，banking,securities,trust and real estate.Based on the data of listed companies from January 2008 to July 2019,and using the CoVaR model with state variables and quantile regressions,this paper mainly found that: the risk spillover of each of the listed insurance companies increased significantly when the stock market crisis occurred in 2015,and the spillover effect was the largest for banking,followed by securities,real estate,and trust;during the period of pre-crisis to post-crisis of 2015,the spillover to securities and real estate exceeded the spillover to banking,and the spillover to the trust sector remained the smallest;the marginal spillover effects of the insurance sector was the largest for securities,followed by real estate,trust,and banking.In the end,this paper put forward some policy proposals to manage the insurance industry′s risk spillovers to related industries.

Key words：insurance;banking;securities;trust;real estate;systemic risk