CAJ | 학술논문

宏观审慎监管需要识别出系统重要性机构（SIFIs），目前已有相关研究，但还没有就如何有效识别达成共识。首先阐述MES法、SRISK法和CoVaR法三个主流的市场识别法原理与计算，在统一的DCC-GARCH模型相关性分析框架中，对它们做了理论比较。然后，以中国上市银行为样本，收集市场交易数据，用DCC-GARCH模型拟合相关结构，分别进行了中国SIFIs识别，根据各指标的理论特征分析了各系统重要性排序结果的有效性及其经济意义。
굉관심신감관수요식별출계통중요성궤구（SIFIs），목전이유상관연구，단환몰유취여하유효식별체성공식。수선천술MES법、SRISK법화CoVaR법삼개주류적시장식별법원리여계산，재통일적DCC-GARCH모형상관성분석광가중，대타문주료이론비교。연후，이중국상시은행위양본，수집시장교역수거，용DCC-GARCH모형의합상관결구，분별진행료중국SIFIs식별，근거각지표적이론특정분석료각계통중요성배서결과적유효성급기경제의의。
Macro-prudential supervision firstly calls for there cognition of Systemically Important Fi-nancial Institutions(SIFIs). Nowadays there is no consensus about the effectiveness of several existing recognition methods of SIFIs. This paper introduces three most popular recognition methods. We pro-pose a theoretical comparison in a common framework and then collect market transaction data of Chi-nese listed banks to do the recognition of SIFIs by the DCC-GARCH model. According to the theoreti-cal and empirical analysis of the characteristics of the three recognition methods, we get the economic meanings of SIFIs rankings by each recognition methods.