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中文摘要：
基于金融机构异质风险的Granger因果关系构建金融系统的有向网络模型，分析银行、证券、保险和信托等金融部门在不同市场状态下的因果网络特征，并且根据关联度和资产规模评估金融机构的系统重要性。实证结果表明：我国金融系统在熊市具有更加紧密的Granger因果联系：银行部门是熊市里最具Granger影响力的金融部门．证券部门是牛市里最具Granger影响力的金融部门：工商银行、中国银行和建设银行在熊、牛市都具有最高的系统重要性，并且系统重要性和规模在熊市的顺序相关性强于牛市。
英文摘要：
The paper constructs a directed network model of financial system based on the Granger-causality between the idiosyncratic risks of financial institutions, and analyzes the network characteristic of banks, brokers, insurances and trusts sector in different market situations, and measures systemic importance of financial institutions according to their connectedness and size. Empirical results show that Chinese financial system has more Granger causality relations in bear market, banks subsector has the strongest Granger impact in bear market, brokers subsector has the strongest Granger impact in bull market, the most systemic important financial institutions are Industrial ＆ Commercial Bank of China, Bank of China and China Construction Bank in any market situation, and it is higher in bear market than bull market for the order correlation between systemic importance and size of financial institutions.
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