中美金融市场极端风险溢出研究--基于MVMQ-CAViaR模型视角  

The Extreme Risk Spillover on the Financial Market between China and America Based on MVMQ-CAViaR Model

作　　者：刘笑瑜 刘精山 赵沛 LIU Xiao-yu;LIU Jing-shan;ZHAO Pei(School of Economics,Nankai University,Tianjin,300071)

机构地区：[1]南开大学经济学院,天津300071

出　　处：《郑州大学学报（哲学社会科学版）》2020年第1期49-55,共7页Journal of Zhengzhou University:Philosophy and Social Sciences Edition

基　　金：国家社会科学基金青年项目“新常态下我国系统性金融风险度量监测与协作型调控机制研究”(项目编号:17CJY057);国家自然科学基金“金融机构系统性风险敞口与贡献的度量及监管研究——基于金融网络视角的分析”(项目编号:71703111);国家社会科学基金重大项目“金融风险度量的新理论与新方法及其在中国金融机构的应用研究”(项目编号:14ZDB124)。

摘　　要：以中美股票指数、债券指数和利率变动数据为研究样本,采用多元多分位数条件自回归在险值模型,以多元多分位数条件自回归在险值为基础测度不同市态期间极端风险的溢出程度及溢出方向。同时使用分位数脉冲响应函数考察了不同金融市场在面对外部冲击时的动态变化。研究发现,中美金融市场间整体呈双向溢出效应。股市危机前,股票和利率市场仅存在单向溢出,债券市场不存在溢出效应。股市危机期间股票市场存在双向溢出,债券市场存在单向溢出。此外,相较于美国,中国金融市场从极端风险冲击中恢复更为缓慢。在金融开放的趋势下,我国金融市场要实现稳健发展,必须加快推出更加合理的避险产品和投资工具,以供投资者有效分散来自境外的极端金融风险。By taking China and US stock index,bond index and interest rate change as the research samples,the paper uses MVMQ-CAViaR model to test degrees and directions of spillover effects of extreme risks in different periods of stock markets based on MVMQ-CAViaR. In addition,quantile impulse response functions are adopted to examine dynamic changes of different financial markets in the face of external shocks. The results reveal that financial markets between China and America show a two-way spillover effect as a whole. Before stock markets suffer a crisis,there is only a one-way spillover effect in the stock and interest rate markets,while spillover effects in the bond markets are not detected. In the stock market crisis,there is a two-way spillover in the stock markets and a one-way spillover in the bond markets. Furthermore,compared with America’s financial markets,China’s financial markets recover more slowly from extreme risk shocks. With the tremendous tide of financial opening,China must accelerate efforts to provide more sound hedging products and investment tools for investors to effectively spread extreme financial risks from overseas to reach the stable and sound development of its financial market.

关 键 词：极端风险溢出 金融传染 在险值 多元分位数模型 

分 类 号：F831.5[经济管理—金融学]