多元随机风险传染模型及沪铜场内外风险传染实证  

Multivariate Stochastic Contagion Model and Its Application in the Copper and Other Metal Futures Markets

作　　者：周伟[1] 何建敏[1] 余德建[1] 

机构地区：[1]东南大学经济管理学院,江苏南京211189

出　　处：《中国管理科学》2012年第3期70-78,共9页Chinese Journal of Management Science

基　　金：国家重点基础研究发展计划资助项目(2010CB328104-02);国家自然科学基金资助项目(71071034);教育部人文社会科学青年基金项目(12YJC630101);教育部博士研究生学术新人奖资助;江苏省普通高校研究生科研创新计划资助项目(CXZZ-0183)

摘　　要：为了更合适的度量金融市场间风险传染整体效果,本文通过理论分析构造了风险传染方程,其风险传染项相比已有的系数风险传染项与协方差时变风险传染项更具实际意义,并借鉴多元GARCH建模原理建立了结合均值溢出、波动溢出与风险传染项的多元随机风险传染模型,设计了模型的MCMC迭代求解算法,满足解的完整性。最后,运用模型对沪铜场内外风险传染现象进行了实证,实证结果不仅验证了一系列已有研究结论,同时还给出了一些符合期货实情的新结论,如金融市场间风险传染类似金融市场波动存在集聚效应、沪铜与沪铝市场存在风险传染交替变化现象、市场行情的变化能提前反映于风险传染效果中等。这也充分表明新模型的有效性、实用性以及优越性。To appropriately measure the overall contagion effect in different financial markets, a multivari- ate stochastic contagion model according to multivariate GARCH model including the mean spillover equa- tion, the fluctuation spill equation and the contagion equation is proposed. The new contagion equation is proposed by combining the real financial contagion phenomenon which is different from the fixed coefficient contagion variable and the general covariance contagion variable. Then, a whole solution method based on the MCMC iterative algorithm is given out. In the end, the contagion effect in copper and other metal fu- tures markets using the new contagion model are fitted and forecasted. The empirical results verify some conclusions from previous literatures and give out some new conclusions such as the contagion accumulative effect, the risk alternately phenomenon between the copper and aluminum futures markets, the slow mar- ket change in the contagion phenomenon and so on. Moreover, the empirical result also shows the effec- tiveness, practicality and superiority of this new contagion model.

关 键 词：均值溢出 波动溢出 风险传染 MCMC迭代算法 沪铜 

分 类 号：F803.91[经济管理]