基于潜伏因子模型分析的新兴市场国家金融传染效应研究  

Research on Financial Crisis Contagion Effect of Emerging Markets Based on Latent Factor Model

作　　者：张一[1] 吴宝秀[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110819

出　　处：《经济数学》2015年第4期7-11,共5页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(71503035;71173060;71401028)

摘　　要：构建了基于资本资产定价模型为基础的潜伏因子模型对金融危机传染效应进行分析,将引起市场收益率波动的因素分解为"共同因子","特质因子"和"传染因子",同时采用迭代累计平方和算法内生性地对金融危机演化的不同阶段进行了时间上的划分.以2008年全球金融危机期间4个主要新兴市场国家的股票市场为对象进行了实证研究,结果表明这些国家均遭受到了不同程度的传染,其中中国和巴西受到的传染较弱,而印度和俄罗斯受到的传染较强.We constructed a latent factor model based on the capital asset pricing model to analyze the contagion effects of the financial crisis.We decomposed the volatility of the returns of the equity market into common factor,idiosyncratic factor and contagion factor respectively,and used an Iterative Cumulative Sum of Square algorithm to identify the crisis period endogenously.We used the data of four major emerging countries＇ stock markets during the 2008 global financial crisis for empirical studies.The results show that these markets have suffered from different degrees of financial contagion.The contagion effects of China and Brazil are relatively weak while India and Russia are strong.

关 键 词：金融危机传染 传染因子 潜伏因子模型 迭代累计平方和算法 

分 类 号：F830.9[经济管理—金融学]