金融市场风险传染的时空效应研究  

Research on the Spatio-temporal Effects of Risk Contagion in Financial Markets

作　　者：刘公石 任英华[1] 汤季蓉 Liu Gongshi;Ren Yinghua;Tang Jirong(College of Finance and Statistics,Hunan University;Trinity Business School in Trinity College Dublin)

机构地区：[1]湖南大学金融与统计学院 [2]爱尔兰都柏林圣三一大学商学院

出　　处：《开放时代》2022年第1期182-191,M0007,M0008,共12页Open Times

基　　金：国家社会科学基金项目“复杂网络视角下系统性金融风险统计监测研究”(项目编号:19BTJ024)的阶段性成果。

摘　　要：防范金融市场的外部冲击是各国金融监管的重要内容之一。本文以区域全面经济伙伴关系协定参与国为主要样本,构建半参数空间向量自回归模型研究不同国家间银行系统与外汇、债券、股票三个市场的风险传染关系及时空效应。研究表明:外汇市场、债券市场和股票市场三者是紧密相连的,其决定因素是投资者对一国货币的利率预期;不同国家金融市场间的风险传染不仅受国家对外贸的依赖程度的影响,也受到经济地理距离的影响,但实施不同汇率制度的国家,因资本管制程度不同,受到金融风险的冲击也是不同的;当银行系统处于高风险时,银行压力的增大会增加外汇市场面对的压力,而债券市场能够承接部分银行系统风险。因此,中国应建立金融风险预警与防范机制,预防外部市场冲击,保护国家金融安全。Preventing external shock to the financial market is one of the critical elements of financial regulation in any country.In this paper,a semi-parametric spatial vector auto-regressive model is constructed to explore the risk contagion and its spatial-temporal effects between the banking system and the foreign exchange,bond and stock markets among different countries,based on the main sample of the countries participating in the Regional Comprehensive Economic Partnership Agreement.The study shows that the foreign exchange market,bond market and stock market are closely connected,and their determinants are the investors’expectations for a country’s interest rate of its currency.Risk contagion between the financial markets of different countries is not only affected by the country’s dependence on foreign trade,but also by the economic geographical distance between those countries.However,different countries implementing different exchange rate systems bear different shocks of financial risk due to their different degrees of capital control.When the banking system is at high risk,the increase in bank pressure will be transferred to the foreign exchange market,while the bond market can partially take over the risk of the banking system.Therefore,China should establish an early alarming and prevention mechanism for financial risk to prevent external market shock and protect national financial security.

关 键 词：金融市场风险传染 半参数空间向量自回归 时空脉冲响应分析 

分 类 号：F831[经济管理—金融学]