金融危机传染效应研究--基于时变Copula模型  

The Research on Financial Crisis Contagion Effect Based on Time-varying Copula Models

作　　者：李堪[1,2] 于鸣[3,2] 

机构地区：[1]中国人民大学博士后流动站,北京100872 [2]中国工商银行博士后工作站,北京100032 [3]北京大学博士后流动站,北京100871

出　　处：《首都经济贸易大学学报》2013年第6期19-27,共9页Journal of Capital University of Economics and Business

摘　　要：文章采用非参数-MLE估计方法估计了四个时变Copula函数模型,研究了在2008年全球金融危机时期前后美国与国际主要金融市场之间的金融危机传染效应的存在性问题,通过估计的时变相关系数和事件宣告效应监测发现,在金融危机时期,美国与中、韩、日之间存在显著的危机传染效应;与香港市场间不存在显著危机传染效应,因香港市场成为美国市场的替代市场受到投资者青睐;与英国市场传染效应不显著,相关性增加是由于经济来往密切引起,而非金融危机传染导致。The paper uses the Nonparametric-MLE method to estimate four time-varying Copula models, and investigate the finaneial contagion effect between the American financial market and the international financial market. According to the time-varying correlation coefficient between American market and international market along with the announcement effects, there exists sufficient evidence to prove that the pairwise market correlation structure for China, Korea and Japan during 2008＇ s Finaneial Crisis. It indicates that the financial contagion effect existed between Ameriea and China, Korea, Japan. However, the results show that there exists no suffieient evidence to prove the contagion effect between America and Hong Kong or Great Britain.

关 键 词：危机传染效应 时变Copula函数 核密度估计 时变相关系数 宣告效应 

分 类 号：F831[经济管理—金融学]