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注册制度改革是否减少了金融部门在中国股票市场的风险溢出效应 - - 基于双重机器学习的因果推理
Yuxi Zhang1,2, Weidong Li1,2, Shijun Dong3
1Beijing Jiaotong University, Beijing, China.
PloS one
|June 18, 2025
概括
中国中国中国中国.
科学领域:
- 金融经济学 金融经济学
- 计量经济学 计量经济学
- 市场分析市场分析
背景情况:
- 全球贸易的不确定性需要强大的国内资本市场来管理风险.
- 金融风险溢出影响对市场稳定构成重大挑战.
- 中国不断变化的监管环境,包括资本市场改革,影响了金融互联.
研究的目的:
- 调查中国注册制度改革对金融部门风险溢出影响的影响.
- 分析不同部门风险溢出效应的动态和异质性质.
- 量化改革对跨部门金融风险传播的影响.
主要方法:
- 应用双重机器学习模型来分析金融风险溢出效应.
- 使用有条件风险价值 (CoVaR) 度量来衡量风险传播.
- 进行可靠性测试和部门异质性分析,以验证发现.
主要成果:
- 金融风险溢出效应在时间上有所变化和异质,在COVID-19后加剧.
- 金融部门主要将风险转移到通信和信息技术部门.
- 登记制度改革显著放大了金融部门的风险溢出效应.
- 改革的影响在各个部门之间有所不同,增加了对周期性行业的溢出效应,同时减少了对支持性行业的溢出效应.
结论:
- 中国的注册制度改革提高了金融部门风险溢出效应.
- 了解特定部门的影响对于改革后有效的风险管理至关重要.
- 政策影响表明,要采取量身定制的方法来缓解放大金融风险.
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