欧元区国家金融市场的风险溢出效应研究  

The Risk Spillover Effect Among Financial Markets of Euro Zone

作　　者：欧阳雪艳 杨晓光[2] 李应求[1] 

机构地区：[1]长沙理工大学数学与计算科学学院,湖南长沙410004 [2]中国科学院数学与系统科学研究院,北京100190

出　　处：《经济数学》2014年第2期94-101,共8页Journal of Quantitative Economics

基　　金：国家自然科学基金重点项目(70933003)"我国金融安全综合管理研究";国家自然科学基金专项基金项目(71241020)"欧洲主权债务危机的影响及对策研究"

摘　　要：采用CoVaR方法分析欧元区金融市场的风险关联,通过测度金融市场间的系统性风险溢出效应,考察单个市场的脆弱性和对系统性风险的贡献性.实证发现,一方面,危机程度较严重的欧洲五国市场的风险关联较强,但风险传染并不明显,陷入危机主要是源于自身经济出现问题;另一方面,德国靠其强大的经济基础,受到的影响是有限的,扮演着稳定市场的角色.Based on CoVaR approach,and through measuring the risk spillover effect of financial markets in Euro area, this paper investigated the risk connectivity of these markets,and analyzed the fragility of a single market and its contribution to the systemic risk.The results indicate that the more seriously affected by the crisis,the stronger of risk connect among the countries,and the risk connectivity mainly comes from their own economic problems.While Germany,relying on its strong economic basis,is less affected by the crisis,and has played a stabilizing role in the system.

关 键 词：欧洲主权债务危机 风险关联 

分 类 号：F832.5[经济管理—金融学]