次贷危机期间国际资本市场传染效应研究  

Research on the Contagion Effects of International Capital Markets during the Subprime Crisis

作　　者：陆静[1] 郑晗[2] 

机构地区：[1]重庆大学经济与工商管理学院金融系 [2]重庆大学经济与工商管理学院

出　　处：《国际金融研究》2012年第5期83-91,共9页Studies of International Finance

基　　金：国家社会科学基金(09BJL024);重庆市自然科学基金(2009BB2042)资助

摘　　要：本文分析了九个国家(地区)的资本市场指数在次贷危机期间的传染效应。研究发现,危机前,美国对除中国外的7国(地区)在危机发生时冲击力更大,资本市场出现单向传染效应。在金融全球化背景下,由于国际金融危机交叉传染的存在,通过脉冲响应函数的检验揭示了危机传染的动态效应。在危机期内,美国次贷危机对其他国家市场的影响强度迅速增大,持续时间比传统过程相对延长。本文还通过高低波动率机制的比例系数伽玛检测了这些国家(地区)资本市场间的转移传染和纯传染效应。This paper tests the contagion effect of nine capital market indices during the subprime crisis. The study finds that there are only one-way causal relationships between the financial markets of the united states and the other 7 countries except China before the financial crisis. In the process of financial globalization, financial crisis is cross-contagion and that is why the financial crisis is getting worse. Impulse response test verifies the dynamic contagion effect of the crisis because the impact of the U.S. financial markets on other countries may be greater in short term and the persistence is longer during the financial crisis. The paper also builds agama coefficient which indicates the high or low volatility to test the purecontagion effect and shift-contagion effect.

关 键 词：VAR模型 金融危机传染 纯传染 转移传染 

分 类 号：F831[经济管理—金融学]