中美金融市场信息溢出效应检验  

Examination of Information Spillover Effect in Financial Markets of China and the US

作　　者：袁薇[1] 王培辉[1] YUAN Wei;WANG Pei-hui

机构地区：[1]河北大学经济学院,保定071002

出　　处：《金融论坛》2020年第7期43-52,共10页Finance Forum

基　　金：国家社科基金青年项目“保险业系统性风险与金融稳定关系研究”(14CJY073)成果。

摘　　要：本文采用Hong方法,以"8·11汇改"为界点,详细检验汇改前后中美股票市场、债券市场、汇率市场和货币市场间联动性,包括均值溢出、波动率溢出、极端风险溢出(上涨效应和下跌效应)等多层次互动关系。实证研究结果表明:中美金融市场间存在复杂关联和互动关系,既有线性关系也有非线性关系,主要表现为中美金融市场间极端风险溢出;汇改后中国汇率市场与美国金融市场联动性增强,但中美金融市场风险传导仍以美国金融市场为核心传导;中美金融市场联动具有阶段性变化特征。According to the Hong method,the authors of this paper examine how the linkages vary among the stock,bond,exchange and money markets before and after the 811 exchange rate reform,including the multilevel spillover effect of mean,volatility and extreme risk(upside effect and downside effect).The results show that the financial markets of China and the US are complexly related,both linear and non-linear,especially in the extreme risk spillover;the market linkage is stronger after the exchange rate reform,while the US markets remains to be the core of risk transmission;the linkage varies in different phases.

关 键 词：中国金融市场 美国金融市场 金融交叉风险 溢出效应 8·11汇改 

分 类 号：G21[文化科学—新闻学]