国际金融危机期间的汇率风险传染效应研究  

On the Contagious Effect of Exchange Rate Risk during International Financial Crisis

作　　者：梁芹[1] 陆静[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《当代经济科学》2013年第2期1-10,124,共10页Modern Economic Science

基　　金：国家自然科学基金(71232004;71272085);国家社会科学基金(09BJL024);教育部人文社会科学基金(12YJA630135)资助

摘　　要：本文采用2000-2012年欧元、澳元、人民币、日元和英镑等五种货币的汇率数据研究了国际金融危机期间的风险传染效应。研究表明,在金融危机期间各汇率市场都出现大幅波动,且多数汇率市场样本对中,均存在由共同冲击的结构性传导机制的改变而引起的影响系数的变化。在高波动状态和低波动状态下,共同冲击的影响系数不成比例地改变,表明各汇率市场样本对之间存在一定的传染效应。部分汇率市场样本对中,共同冲击的结构化传导机制未发生改变,系数的变化仅仅是由于冲击的强弱程度而导致的。This paper adopts the exchange rate data of five currencies including euro,Australian dollar,Chinese yuan,yen and British pound to study the contagious effect of exchange rate during international financial crisis from 2000 to 2012.The research indicates that there are sharp fluctuations in many exchange rate markets during the financial crisis.In most of the exchange rate markets’ sample couples,there are impact coefficient changes caused by the shifts of the commonly shocked structural conduction mechanism.The coefficient of the commonly shocked disproportional changes in the state of high volatility and low volatility,which proves that there is certain contagious effect in each exchange rate market’s sample couple.In sample couples of some exchange rate markets,the commonly stocked structural conduction mechanism is not changed.The change of coefficient is only caused by the degree of shocks.

关 键 词：传染效应分解 转移传染 净传染 汇率风险 金融危机 

分 类 号：F831.59[经济管理—金融学] F831.6F224