“一带一路”国家金融风险溢出研究——基于TENET网络方法  

Research on financial risk spillover of the countries along the Belt and Road——Based on TENET method

作　　者：赵万里[1] 范英[1] 姬强 张大永 ZHAO Wanli;FAN Ying;JI Qiang;ZHANG Dayong(School of Economics&Management,Beihang University,Beijing 100191,China;Institutes of Science and Development,Chinese Academy of Sciences,Beijing 100190,China;School of Public Policy and Management,University of Chinese Academy of Sciences,Beijing 100049,China;Research Institute of Economics and Management,Southwestern University of Finance and Economics,Chengdu 610074,China)

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]中国科学院科技战略咨询研究院,北京100190 [3]中国科学院大学公共政策与管理学院,北京100049 [4]西南财经大学经济与管理研究院,成都610074

出　　处：《系统工程理论与实践》2022年第1期24-36,共13页Systems Engineering-Theory & Practice

基　　金：国家自然科学优秀青年基金(72022020);国家自然科学基金面上项目(71974159,71974181)。

摘　　要：随着"一带一路"沿线国家间贸易自由度、金融机构合作水平不断提升,"一带一路"国家间金融市场也在逐步增进融合.研究"一带一路"沿线国家间金融市场风险传染关系对保障地区金融健康发展有重要的现实意义.本文借鉴TENET方法构建"一带一路"沿线国家股票市场极端风险网络,探究极端尾部风险情形下带路沿线国家股票市场间的风险特征,风险传导路径以及演变规律.研究结果表明:"一带一路"沿线国家股票市场的系统性风险具有时变特征,且在经济承压时期呈现上升趋势.从分区域来看,2008年受金融危机影响欧洲地区风险较高,2020年新冠疫情期间亚洲地区风险较高.从具体国家来看,受欧债危机影响较大的希腊,塞浦路斯等国股市风险溢出水平较高.中国在"一带一路"金融风险网络中主要接收外界的金融风险,风险主要来源于以色列、希腊和新加坡等国.本研究能够为"一带一路"沿线国家的宏观政策制定者、跨国金融投资机构进行金融风险监测和防范境外输入性风险提供理论指导.With the continuous improvement of trade freedom and the cooperation level of financial institutions among the countries along the Belt and Road,the financial markets among these countries are also gradually integration.Research on identification,contagion and measurement of financial market risk among countries along the Belt and Road is of great practical significance to ensure the healthy development of regional finance.In this paper,the extreme risk spoillover network of stock markets along the Belt and Road is constructed by using TENET method,and the risk characteristics,risk sources,risk transmission paths and risk evolution laws of stock markets under extreme tail risk situation are explored.The research results show that the systemic risk index of the stock markets along the Belt and Road countries has time-varying characteristics,and presents an upward trend during periods of economic pressure.From a regional point of view,the European region was at high risk in 2008 due to the financial crisis,and the Asian region was at high risk during the 2020 COVID-19 pandemic.From the perspective of specific countries,Greece and Cyprus,which are more affected by the European debt crisis,are at higher risk.China mainly receives external financial risks in the Belt and Road financial risk network,which mainly come from Israel,Greece,Singapore and other countries.This research can provide theoretical guidance for macro policy makers and transnational financial investment institutions of countries along the Belt and Road to monitor financial risks and manage foreign imported risks.

关 键 词：“一带一路” 股票市场 极端风险网络 TENET CoVaR 

分 类 号：F831.5[经济管理—金融学]