美国金融危机对我国金融市场传染效应研究——基于VAR系统方法的检验  

A Research on the Contagion Effect of the U.S.Financial Crisis on China's Financial Market:Based on the Testing Approach of VAR Models

作　　者：谢志超[1] 曾忠东[1] 

机构地区：[1]四川大学经济学院,四川成都610064

出　　处：《四川大学学报（哲学社会科学版）》2012年第1期113-124,共12页Journal of Sichuan University：Philosophy and Social Science Edition

基　　金：国家社科基金项目"美国金融危机对中国的影响及应对措施研究"(09BJY002)的阶段性研究成果

摘　　要：基于美国金融危机对我国金融市场传染的货币市场渠道、资本市场渠道、外汇市场渠道的理论分析,采用VAR系统方法对危机的传染效应和传染强度进行检验。研究表明,美国金融危机通过三个渠道对我国金融市场产生了显著的传染效应。其中来自货币市场渠道的直接传染效应显著,来自资本市场和外汇市场渠道的交叉传染效应显著,并且传染效应的持续时间较长。危机通过外汇市场渠道和货币市场渠道对我国货币市场传染效应的贡献度最大。最后提出了应对本次危机的措施。This paper explores the channels of the financial contagion via money market,capital market and foreign exchange market for the U.S.financial crisis on China＇s financial market.The contagion and infection intensity are tested by a VAR systems approach.As a result,a significant contagion effect has been confirmed through all three channels.Both direct-contagion via the money market,and cross-contagion via capital market and foreign exchange market play an important role.We find that the contagion effect lasts a long time.Contagion via the foreign exchange market and money market is dominant.In the last part of the paper,suggestions for response to this crisis are presented.

关 键 词：美国金融危机 金融市场 传染渠道 传染效应 

分 类 号：F831.6[经济管理—金融学]