基于Copula-CoES的资本市场、支柱行业及汇率风险溢出研究  

Study on the risk of spillover effect between capital market,pillar industry and exchange rate based on Copula-CoES model

作　　者：李强 Li Qiang(School of Big Data Applications and Economics,Guizhou University of Finance and Economics,Guiyang 550025,China;School of Business,Valparaiso University,Valparaiso 46383,United States)

机构地区：[1]贵州财经大学大数据应用与经济学院,贵州贵阳550025 [2]瓦尔帕莱索大学商学院,美国瓦尔帕莱索46383

出　　处：《管理工程学报》2021年第1期12-26,共15页Journal of Industrial Engineering and Engineering Management

基　　金：国家社会科学基金资助项目(18XTJ004)。

摘　　要：通过构建Copula-CoES模型并结合ARFIMA-APARCH-GPD-SKST边缘分布模型对中国支柱行业指数与沪深300指数的风险溢出进行度量研究,结果表明,在样本期内行业指数与沪深300指数间具有双向风险溢出效应,行业指数对沪深300指数的风险溢出效应大于二者反向的风险溢出。在支柱行业内,银行业受到资本市场冲击影响最小,而且无法证实汇率和标普500指数存在不对称效应。进而,在防范系统性金融风险领域,我们就资本市场、支柱行业及汇率给监管层和投资者提出了建议。As we all know,capital market and foreign exchange market are important macroscopic financial variables with intrinsic connection.In the context of economic globalization and financial integration,as the emerging and transition of China's capital market,the uncertainty of internal and external environmental impact has increased significantly,especially at present,China and the United States trade friction is heating up and no final agreement has been reached,the study of what model to depict the RMB against the United States dollar exchange rate,The fluctuation of capital market is an important subject for the dependent structure and fluctuation spillover of China's top ten pillar industries.In particular,if we can clarify the extreme fluctuation of exchange rate or capital market to pillar industries,it is not only conducive to a deep understanding of portfolio investment asset allocation and hedging strategy,but even to stabilize China's securities market and even the overall national economy is of great significance.Based on this,the purpose of this study is to quantify and test the volatility spillover effect of exchange rate or capital market on pillar industries.Few literatures quantify and test studies of extreme fluctuations between exchange rates,market indices and industries,and this paper attempts to supplement the existing literature with the following two aspects by studying the common fluctuation and fluctuation spillover effects of capital market index and pillar industry index.Firstly,in the aspect of edge distribution model,the ARFIMAAPARCH-GPD-SKST model is constructed to study the extreme risk of the upper and lower tail of China's Shanghai and Shenzhen 300(HS300)index and pillar industry index income sequence.Secondly,in the Copula model describes the dependent structure,on the basis of drawing lessons from the latest systematic risk research literature at home and abroad,expand the construction of Copula-CoES model to study the common fluctuation of the HS300 index and pillar industry index,T

关 键 词：Copula-CoES模型 APARCH-SKST模型 支柱行业 风险溢出 

分 类 号：F910[经济管理]