国际金融危机传染机制的三阶段周期动态效应分析——基于VAR系统的实证检验  

Three-stage Dynamic Effects Analysis of International Financial Crises Contagion:an Empirical Analysis based on VAR System

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,陕西西安710061

出　　处：《统计与信息论坛》2009年第8期3-10,共8页Journal of Statistics and Information

基　　金：<教育部"国际金融危机应对研究"应急课题>(2009JYJR058)

摘　　要：用金融危机三阶段周期理论剖析世界金融危机的传染机制,选择VAR系统进行检验,通过对9个国家Ⅰ危机隐蔽期、Ⅱ危机爆发期、Ⅲ危机深化期的摩根史丹利MSCI指数进行Granger因果关系检验及脉冲响应函数检验,结果发现:金融危机隐蔽期美国的金融动荡影响对澳大利亚外的7国金融市场呈现单向传染效应;金融危机爆发后,被传染金融危机的国家开始影响美国,呈现双向传染效应,证明危机的传染存在反馈机制;在金融全球化背景下的金融危机交叉传染,是国际危机程度不断加深的重要原因,因此,金融危机的冲击可以在全球范围内出现网状交叉感染。三时期的脉冲响应函数检验揭示了危机传染的动态效应,美国金融危机对其他国家的影响强度短期内很可能加大,持续时间比传统理论解析的过程相对延长。In this paper, we analyzes the contagion mechanism of financial crisis with three- stage financial crisis theory, uses VAR system to test the financial crisis contagion. By Granger causality test and impulse response function to analyze the Morgan Stanley MSCI index of the 9 countries in crisis period, deepening crisis period. Conclusion is that in the hidden crisis period there are only one - way causal relationships between the financial markets of United States and the other 7 countries except Australia. After the outbreak of the crisis they quickly established a two-way causal relationship between them, shows that the crisis contagion has a Feedback mechanism. In the context of financial globalization, world financial crisis has cross - contagion, and that is why the financial crisis is getting worse. Impulse response test verify the dynamic contagion effects of the crisis, the impact is increase that U.S. financial markets to other countries, the strength may be greater in short time and duration is longer than the results of classic theory.

关 键 词：金融危机传染 金融危机三阶段 VAR模型 分期检验 

分 类 号：F831[经济管理—金融学]