基于藤copula方法的区域性金融危机传染分析  

Analysis of regional financial contagion based on vine copula method

作　　者：顾冬雷[1] 叶五一[1] 缪柏其[1] 

机构地区：[1]中国科学技术大学管理学院统计与金融系,安徽合肥230026

出　　处：《中国科学技术大学学报》2013年第9期737-744,共8页JUSTC

基　　金：国家自然科学基金青年科学基金(71001095);国家自然科学基金基金面上连续项目(71371007);研基金(20103402120010);国家自然科学研究基金委员会创新研究群体科学基金(70821001)资助

摘　　要：金融危机传染检验是国际金融领域中值得研究的重要问题,大多数危机传染效应的检验方法都是基于两两国家之间的相依结构.利用藤结构下的pair copula模型得到一种新的区域性金融危机传染检验方法,全面地分析多个国家(或地区)收益率之间的相依结构,通过多元相依结构的变化对危机传染效应进行检验.最后对亚洲和欧洲几个主要股票市场指数和S&P500指数数据进行了实证分析,从区域的角度对比研究了美国次级债金融危机对亚洲和欧洲市场的传染效应.The analysis of financial contagion is an important problem in the field of international finance. Most methods for testing financial contagion in the literature are based on the dependence structur, between two countries. Here the idea of vine copula was adopted, a new regional contagion detectioI method was presented from the varying multivariate dependence structures, by which the multivariat, dependent character can be described more generally. Based on the idea of vine copula, a contrastive stud on the financial contagion by of the sub-prime loan crisis to Asia and Europe was conducted by presenting an empirical analysis between indexes of the main countries （or regions） in Asia and Europe with S^P 500 index.

关 键 词：金融危机传染 藤copula PCC模型 

分 类 号：F830.9[经济管理—金融学]