国际金融危机：直向性传染到交叉性传染的动态效应分析  

International financial crisis: Analysis on the dynamic effects from the direct contagion stage to the cross contagion stage

作　　者：李成[1] 王建军[1] 

机构地区：[1]西安交通大学经济与金融学院金融系

出　　处：《财经科学》2009年第6期33-39,共7页Finance & Economics

基　　金：教育部“国际金融危机应对研究”应急课题资助(课题批准号:2009JYJR058)。

摘　　要：本文用VAR系统检验金融危机的传染。通过对5国摩根史丹利MSCI指数的Granger因果关系检验和脉冲响应函数检验分析金融危机的传染效应,得出结论:金融危机前的平稳期美国与其他4国间保持单向因果关系;金融危机爆发后美国与这些国家建立双向因果关系,危机传染存在反馈机制;金融危机在国家间的交叉传染导致危机程度不断加深;脉冲响应函数检验验证了危机传染的动态效应即美国金融市场对其他国家的冲击强度加大,持续时间增加。This article uses VAR system to test the financial crisis contagion. Through granger causality test and impulse response function to analyze the Morgan Stanley MSCI index of five countries in the world for the world financial crisis contagion effects, this article draws the conclusion that： in the stable precrisis period there are only one - way causal relationship between the United States and the other four countries; after the outbreak of the crisis they quickly establish two- way causal relationship between them, which shows that the feedback mechanism of the crisis; world financial crisis has cross - infection among those countries which causes the financial crisis to get worse; the impulse response function test verifies the dynamic contagion ef- fects of the crisis, i. e., the shock of the U. S. financial markets to other countries is increasing.

关 键 词：金融危机三阶段 危机交叉传染 危机反馈机制 VAR模型 

分 类 号：F831.59[经济管理—金融学] F224