国际金融风险传染演化趋势与应对策略——来自股票市场的证据  

Evolutionary Trends and Countermeasures of International Financial Risk Contagion——Evidence from Stock Market

作　　者：宋玉臣[1,2] 吕静茹 SONG Yu-chen;LV Jing-ru(Jilin University Business School,Changchun,130013,China;Jilin University Center for Quantitative Economic,Changchun,130013,China)

机构地区：[1]吉林大学商学院,长春130013 [2]吉林大学数量经济研究中心,长春130013

出　　处：《学习与探索》2021年第9期130-138,192,共10页Study & Exploration

基　　金：教育部人文社会科学重点研究基地重大项目“新常态下我国资本市场与经济增长的长期协调发展研究”(16JJD790016);国家自然科学基金面上项目“现代金融理论和金融实践的二重分歧及解决路径的理论与方法”(71273112)。

摘　　要：多边主义与区域经济一体化的深入发展使国际金融市场风险传染呈现出短期、迅速、复杂的特点。为把握国际金融风险演变趋势,本文以国际主要股票市场为对象,研究国际金融风险传染的趋势特征,分析不同经济区域风险传染强度的差异,并从动态冲击的角度分析国际金融市场风险对我国金融市场的冲击传染效应。实证结果显示,国际股票市场间存在明显的风险传染效应且表现出一定的区域性和时变特征,同时风险传染效应呈现波动增强的趋势。现行国际经济环境下,为加快恢复受疫情冲击的经济,世界主要经济体实施超宽松的货币政策,持续宽松的货币环境使金融市场的反弹与实体经济的复苏脱节,加大了国际金融市场的风险隐患。“十四五”时期,为防范国际金融市场风险对国内市场的冲击,我国要兼顾国际战略投资与加强跨境资本流动监管并重、扩大贸易规模与平衡国际收支并重、推进人民币国际化与稳定人民币汇率并重,统筹推进金融开放与风险防范,以维护我国金融市场稳定发展。With the development of multilateralism and regional economic integration,the risk contagion in international financial market is characterized by short-term,rapid and complex characteristics.In order to grasp the evolution trends of international financial risks,this paper takes the main international stock markets as the object,studies the trend characteristics of international financial risk contagion,analyzes the difference of risk contagion intensity in different economic regions,and analyzes the impact contagion effect of international financial market risks on China’s financial market from the perspective of dynamic impact.The empirical results show that there are obvious risk contagion effects among international stock markets,which show certain regional and time-varying characteristics,and the risk contagion effects show a trend of increasing volatility.In the current international economic environment,in order to speed up the recovery of the economy hit by COVID-19,major economies in the world have implemented ultra-loose monetary policies.The continued loose monetary environment has separated the rebound of the financial market from the recovery of the real economy,and increased risks and hidden dangers in the international financial market.During the 14th Five-year Plan period,in order to prevent the impact of international financial market risks on the domestic market,we should pay equal attention to international strategic investment and strengthening cross-border capital flow supervision,expand the scale of trade and balance of international payments,promote RMB internationalization and stabilize RMB exchange rate,promote financial opening and risk prevention as a whole,so as to maintain the stable development of China’s financial market.

关 键 词：国际金融市场 风险传染趋势 时变特征 DCC-GARCH模型 

分 类 号：F831.5[经济管理—金融学]