中文摘要：

基于“自下而上”和“自上而下”两种视角,采用条件风险价值Co Va R和边际期望损失MES,研究了我国23家上市金融机构的系统性风险溢出效应及其时变特征。结果表明：（1）证券公司、保险公司和商业银行的MES均值依次递减,证券公司和保险公司单位资产的系统性风险贡献度高于商业银行;在银行部门内,股份制商业银行和城市商业银行的MES值高于大型国有商业银行。（2）商业银行、保险公司和证券公司的△Co Va R均值依次递减,从单个金融机构总的系统性风险贡献度来看,商业银行和保险公司对整个金融系统的风险溢出高于证券公司;而且,股份制商业银行对系统性的风险溢出高于大型国有商业银行。（3）我国金融机构系统性风险具有明显的周期性,危机期间较高,危机后具有明显的向下趋势;后危机时代,银行同业业务提高了金融机构之间的关联性,2013年我国系统性风险水平有所提高。这些研究结论对于我国宏观审慎监管框架的构建以及宏观审慎政策的实施提供了有益的参考。

英文摘要：

From the two perspectives of bottom-up and top-down, this paper applies CoVaR and MES （Marginal Expected Shortfall） to study the systematic risk spillover effect and its time-varying characteristics of China＇ s 23 listed finaneial institutions. The results show that： （1） the MES mean value of securities finns, insurance companies and commercial banks decreases in sequence, and the systematic risk contribution of securities firms and insurance companies is higher than that of com- mercial banks; within the banking sector, the MES value in both joint-stock and city commercial banks is higher than that in the large-scale state-owned commercial banks. （2） The mean value of of commercial banks, insurance companies and securities firms decreases in turn. As for the general sys- tematic risk contribution of a single financial institution, the risk spillover of commercial banks and insurance companies is higher than that of securities firms towards the overall financial system; in ad- dition, the systematic risk spillover of joint-stock commercial banks is higher than that of large-scale state-owned commercial banks. （3） The systematic risk of China＇ s financial institutions has obvious periodicity, which is relatively high during crisis and shows evident downward trend after the crisis. In the post-crisis era, the improvement of interbank business has reinforced the relevance between the financial institutions, and the level of systematic risk in China was improved in 2013. These research conclusions can provide useful references for both the construction of macro-prudential regulatory and supervisory framework and the implementation of the macro-prudential policies.