全球外汇市场压力的风险溢出效应研究:基于溢出指数和网络拓扑分析  

The Risk Spillover Effect of Global Foreign Exchange Market Pressure:Spillover Index and Network Topology Analysis

作　　者：赵艳平[1] 秦力宸 黄友星 Zhao Yanping;Qin Lichen;Huang Youxing

机构地区：[1]中国海洋大学经济学院

出　　处：《世界经济研究》2020年第8期3-16,M0002,共15页World Economy Studies

基　　金：国家社会科学基金青年项目“人民币汇率波动与跨境资本流动研究”(项目编号:17CJL039)资助。

摘　　要：文章采用Diebold和Yilmaz(2014)的溢出指数法和广义方差分解方法,测算了1997年1月至2019年7月全球30个主要外汇交易经济体的外汇市场压力双向溢出效应,在此基础上讨论了不同汇率制度下该溢出效应的异质性。同时,文章利用滚动窗口技术和网络拓扑方法,构建了全球外汇市场压力风险溢出效应的有向加权网络,并分析外汇市场压力的风险溢出时变特征和溢出网络的动态演进。结果表明,各经济体外汇市场压力存在显著风险溢出效应,且浮动汇率制经济体在风险溢出和风险接收上均大于固定汇率制经济体。全球外汇市场压力的风险溢出具有明显的时变特征,在极端事件冲击下外汇市场风险溢出效应增强;近年来中国外汇市场压力的风险净溢出效应由负转正,呈现出从主要的风险溢入国转变为风险溢出国的趋势;近年来全球外汇市场压力的风险溢出网络有风险集聚趋势。在网络中心度上,以中国为代表的新兴经济体溢出网络中心度在波动中上升,与发达经济体差距缩小。This paper measures the two-way spillover effects of foreign exchange market pressures in 30 major foreign exchange trading countries from January 1997 to July 2019 using Diebold&Yilmaz’s(2014)spillover index and generalized variance decomposition method.In addition,this paper discusses the heterogeneity of this spillover effect under different exchange rate regimes.Furthermore,this paper constructs a directed weighted network of risk spillover effects of global foreign EMP,and analyzes the timevarying characteristics of risk spillovers and the dynamic evolution of the spillover network using the rolling window technology and network topology method.Our results show that:(1)There are significant risk spillover effects among foreign EMP.In comparison to fixed exchange rate economies,floating exchange rate economies are more capable of risk spillover and risk acceptance.(2)The risk spillover of the global foreign exchange market pressure has obvious time-varying characteristics.The risk spillover effect of the foreign EMP has increased in the period of extreme events.Recently,the net risk spillover of China’s which shows a trend of China moving from negative to positive.China has a tendency to shift from a major risk receiving country to a risk spillover country.(3)The risk spillover network of global foreign exchange market pressure has a risk agglomeration trend in recent years.In the network center degree,the spillover network center degree of emerging economies represented by China has risen,and the gap with developed economies has narrowed.

关 键 词：外汇市场压力 跨国风险溢出 汇率制度 溢出指数法 网络拓扑分析 

分 类 号：F831.6[经济管理—金融学]