我国金融市场极端风险传染路径研究  

The Contagion Path of Extreme Risk in China's Financial Market

作　　者：袁薇[1] 王双微 王培辉[1] YUAN Wei;WANG Shuangwei;WANG Peihui

机构地区：[1]河北大学经济学院

出　　处：《金融监管研究》2021年第3期80-91,共12页Financial Regulation Research

基　　金：国家社科基金青年项目“资产驱动型保险经营模式冲击下金融风险共振、预警及防控研究”(18CJY065);河北大学哲学社会科学培育项目“开放环境下外部冲击对金融稳定影响机制和效应评估”(2019HPY002);河北大学研究生创新资助项目“我国金融市场间极端风险溢出研究”(hbu2020ss031)研究成果。

摘　　要：在金融市场间联系日益紧密的背景下,金融市场极端风险溢出会影响一国金融稳定,因此需要关注金融市场极端风险传染机制。本文构建了MVMQ-CAViaR模型用以分析我国五个主要金融市场间极端风险的传染路径,借助Wald统计检验及分位数脉冲响应工具探究各市场间极端风险传染的存在性、方向性和动态影响过程。研究发现,1%VaR能较好地描述我国金融市场极端风险价值动态变化;模型参数和Wald检验结果表明,五个金融市场间存在单向风险传染,传染链条依次为股票市场、货币市场、债券市场、汇率市场及黄金市场,某一金融市场极端风险价值有助于其他金融市场未来极端风险的预测;分位数脉冲响应结果显示,新息冲击对本金融市场影响力度更大、持久性更强,对其他金融市场影响较小、持久性较低,且作用方向不同。综上,监管当局和金融投资者应密切关注金融市场间的极端风险传染,防范交叉风险传染带来系统性风险。With the increasingly close ties between financial markets,extreme risk spillover in financial markets will affect a country's financial stability,so we need to pay attention to the mechanism of extreme risk contagion in financial markets.This paper constructs the MVMQ-CAViaR model to analyze the tail extreme risk contagion mechanism among the five major financial markets in China.We used Wald test and quantile impulse response to explore the existence,direction and dynamic process of extreme risk contagion among markets.It is found that 1%Var can describe the dynamic changes of extreme risk value.There is one-way risk contagion among the five financial markets.The contagion chain is stock market,money market,bond market,foreign exchange market and gold market in turn.The extreme risk value of financial market is helpful to predict the future extreme risk of other financial markets.The impact on the financial market itself is stronger and more persistent,while the impacts on other financial markets are smaller and less persistent.Regulatory authorities and financial investors should pay more attention to the extreme risk contagion between financial markets.

关 键 词：金融市场 极端风险 风险传染 MVMQ-CAViaR模型 

分 类 号：F832.5[经济管理—金融学]