欧元区国家系统风险占比的演化分析  

Dynamics of Systemic Risk Contributions of Euro Zone Countries

作　　者：欧阳雪艳 王晓霞[2] 赵琳[2] 杨晓光[2] 

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

出　　处：《数学的实践与认识》2014年第14期259-269,共11页Mathematics in Practice and Theory

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

摘　　要：采用Shapley值法,分别从债券市场和股票市场组成的金融体系对欧元区主要成员国进行风险贡献程度的分析,考察各单个市场对相应的金融系统的风险贡献的变化情况.实证发现,两个金融系统均表现出危机程度较严重的国家,其风险贡献占比较大,且它们的风险贡献占比沿着危机前、次贷危机时期、欧债危机时期的演变而逐渐上升,相应地其他国家的风险贡献占比呈下降趋势.特别地,欧债危机爆发后,债券金融系统各国的风险贡献占比出现极端化现象,受危机影响较小的国家则在危机中扮演了稳定市场的角色.Based on Shapley Value, this paper analyses the systemic risk contributions of the financial systems, which are composed by the bond markets and stock markets respectively of the main countries of the euro zone, and further investigates the movement of systemic risk contribution of each country. The results indicate that both financial systems show the more serious affected by the crisis, the larger of systemic risk contribution contributed by the countries, and the risk contribution gradually increase with the time. While the other coun- tries＇ risk contributions present a downward trend. Moreover, after the outbreak of European sovereign debt crisis, the risk contribution of the bond market has an extreme phenomenon. The countries less affected by the crisis have played a stabilizing role in the system.

关 键 词：欧洲主权债务危机 SHAPLEY值法 风险贡献 

分 类 号：F831.51[经济管理—金融学] F224