中国金融市场间极端风险溢出的监测预警研究——基于MVMQ-CAViaR方法的实现  

Interconnectedness,Extreme Risk Spillover and China's Financial Systemic Risk——Empirical Analysis Based on MVMQ-CAViaR Method

作　　者：刘玚 李政 刘浩杰 LIU Yang;LI Zheng;LIU Haojie(Tianjin University of Finance and Economics,Tianjin 300222)

机构地区：[1]天津财经大学金融学院,天津300222

出　　处：《经济与管理研究》2020年第2期19-29,共11页Research on Economics and Management

基　　金：国家社会科学基金青年项目“逆全球化背景下国际资本流动演变特征及对中国的影响研究”(18CGJ004)。

摘　　要：为有效监测与预警中国金融市场间极端风险溢出的方向与程度,本文基于MVMQ-CAViaR方法,结合中国2013—2017年银行间市场、债券市场与股票市场相关数据,分析各金融市场间的极端风险传递过程。实证结果显示,股票市场与债券市场对银行间市场产生显著的单向极端风险溢出效应,而银行间市场对另外两个市场无极端风险传递效果,这表明股票市场与债券市场的极端风险向银行间市场的传递过程具有不可逆性。从风险传递的强度来看,债券市场对股票市场和银行间市场的极端风险溢出效应更加显著。因此,决策部门应重点关注债券市场的极端风险水平变化,缓释债券市场与股票市场对银行间市场的极端风险冲击,以有效防范和化解不同金融市场间极端风险的传染与暴露。In order to effectively detect and warn the direction and intensity of extreme risk spillover of China's financial markets,based on the MVMQ-CAViaR model,this paper analyzes the transmission mechanism of extreme risk among the interbank lending market,the stock market and the bond market from 2013 to 2017.It is found that the stock market and the bond market have one-way risk spillover effects on the interbank lending market,showing the irreversible transmission mechanism;while from the intensity of risk transmission,the bond market has a more significant risk spillover effect on the stock market and the interbank lending market.Thus,decision-making departments should focus on the extreme risk level in the bond market,and mitigate the extreme risk impact of the bond market and the stock market on the interbank market,to effectively prevent and resolve the infection and exposure of extreme risk between different financial markets.

关 键 词：金融市场 极端风险溢出 银行间市场 债券市场 股票市场 风险预警 MVMQ-CAViaR 

分 类 号：F832[经济管理—金融学]