经济开放度、短期资本流动与跨市场极端风险溢出  

Economic Openness,Short-Term Capital Flows and Cross-Market Extreme Risks Spillover

作　　者：花秋玲[1] 邱泽鹏 景玉洁 Hua Qiuling;Qiu Zepeng;Jing Yujie

机构地区：[1]吉林大学经济学院

出　　处：《财经科学》2021年第12期14-27,共14页Finance & Economics

基　　金：国家自然科学基金青年项目“基于分位数回归的期权定价问题”(11901233);吉林省科学技术厅项目“粗糙路径驱动的随机微方程在金融中的应用”(20200201262JC)。

摘　　要：极端风险在国际市场间的溢出会对一国的经济造成重大冲击。本文通过Copula-CoVaR模型度量了三大国际市场极端风险条件下我国资本市场及各行业的跨市场极端风险溢出效应,并利用TVP-VAR模型分析了经济开放度、短期资本流动与跨市场极端风险溢出的动态关系。结果表明,全球股票市场对我国资本市场的正向溢出效应最大,金融业受三大国际市场的风险溢出最强,房地产业和电信服务业分别受国际大宗商品市场和外汇市场的溢出较大。进一步研究发现,随着经济开放度的提高,短期资本流动和跨市场极端风险溢出在短期内受到的冲击较强,并在长期内逐渐减弱。本文的研究成果可为我国完善跨市场极端风险防控体系以及针对不同行业制定精准化的金融风险监管策略提供依据。The spillover of extreme risks in international market have a significant impact on a country’s economy.This paper measures the cross market extreme risk spillover effect of China’s capital market and various industries under extreme risk conditions of three international markets through[Copula-CoVaR]model,and we analyze the dynamic relationship between economic openness,short-term capital flow and cross market extreme risk spillover through TVP-VAR model.The results show that the global stock market has the largest positive spillover effect on China’s capital market,the financial industry has the strongest risk spillover effect from the three international markets,and the real estate industry and telecom service industry have the largest spillover effect from the international commodity market and foreign exchange market.Further research shows that with the increasing of economic openness,short-term capital flows and cross market extreme risk spillovers are strongly impacted in the short term and gradually weakened in the long term.This research results of this paper can provide empirical basis for China to improve the cross market extreme risk prevention and control system and formulate accurate financial risk supervision strategies for different industries.

关 键 词：经济开放度 资本流动 极端风险溢出 

分 类 号：F831.5[经济管理—金融学]