贸易摩擦状态下股市与债市风险溢出的结构性变化研究  

An Empirical Study of Configurational Changes of Risk Spillover of Stock Market and Bond Market from Sino-US Trade Frictions Perspective

作　　者：陈守东[1] 李云浩 CHEN Shou-dong;LI Yun-hao

机构地区：[1]吉林大学商学院,吉林长春130012

出　　处：《湖北大学学报（哲学社会科学版）》2021年第2期132-143,F0003,共13页Journal of Hubei University(Philosophy and Social Science)

基　　金：教育部哲学社会科学研究重大课题攻关项目“资本市场的系统性风险测度与防范体系构建研究”(17JZD016)。

摘　　要：通过多变量多分位数回归模型MVMQ-CAViaR对中美股票市场与债券市场的风险溢出关系进行分析,并将考察数据区间分为中美贸易摩擦开始前和中美贸易摩擦开始后两个阶段进行对比,分析股市与债市的风险溢出关系因中美贸易摩擦出现的结构性变化,结果表明:在中美贸易摩擦前,中美各自的股市与债市存在相互关联,并有较强的风险溢出关系,相互之间的影响显著度较高,但在中美贸易摩擦期间,债券市场对股票市场呈现单方向风险传导状态,且影响较小,没有发现明显的风险溢出的情况,股市与债市更多是受自身的风险事件影响较大。因此,在贸易摩擦期间,面对金融系统性风险的防范工作应更多地着眼于股市或债市各自市场本身,在对某个市场发生风险事件进行政策干预时,因为政策干预行动对另一市场产生的尾部风险有限,故可以更加坚决果断地执行政策。Based on the multivariate quantile regression model MVMQ-Caviar,this paper analyzes the risk spillover relationship between the stock market and the bond market in China and the United States.We divide the historical data into two intervals,before Sino-US trade friction and after Sino-US trade friction,then analyze the structural change of the risk spillover relationship between the stock market and the bond market due to Sino-US trade friction.The empirical analysis results show that before the Sino-US trade friction,the respective stock and bond markets of China and the United States were interrelated and had a strong risk spillover relationship.The mutual influence was significant.However,during the Sino-US trade friction,the bond market presents a unidirectional risk transmission state to the stock market,and the impact is small,and no obvious risk overflow has been found.The stock market and bond market are more affected by their own risk events.Therefore,during the period of trade frictions,the prevention of financial systemic risks should focus more on the respective markets of the stock or bond markets.When carrying out policy intervention on dealing with a risk event in one market,for the policy intervention action has limited tail risk in another market,policies can be implemented more resolutely and decisively.

关 键 词：中美贸易摩擦 尾部风险溢出 MVMQ-CAViaR模型 风险价值VAR 分位数冲击响应 

分 类 号：F752[经济管理—国际贸易] P832.5[经济管理—产业经济]