中国金融市场间的风险溢出效应研究——基于金融压力指数的分析  

Research on the Spillover Effect of Risks among China’s Financial Markets:Analysis Based on the Financial Stress Index

作　　者：张汝飞 罗雪 ZHANG Rufei;LUO Xue(School of Economics,Hebei Geo University,Shijiazhuang Hebei 050031,China)

机构地区：[1]河北地质大学经济学院,河北石家庄050031

出　　处：《金融理论与教学》2023年第1期15-23,共9页Finance Theory and Teaching

基　　金：国家社会科学基金重点项目(21ATJ004);河北省统计科学研究计划项目(2021HD04)。

摘　　要：合理有效的金融压力指数已成为衡量金融市场稳定的重要工具,有助于研究金融风险的跨市场溢出及传导。文章从我国五个金融子市场选取共计16个金融变量构建各市场金融压力指数,并采用MS-VAR模型对指数有效性进行评估,在此基础上,运用TVP-VAR-DY溢出指数模型,基于信息溢出的视角分析了我国金融市场间的风险溢出及其时变特征。结果表明,文章构建的金融压力指数总体走势符合实际,能捕捉重大压力事件对我国金融市场的系统性影响;我国金融市场之间存在适度的相互依赖,风险流动较为顺畅,风险溢出受危机事件等不确定性冲击的影响较大,其中货币市场对外溢出风险最强,股票市场被动接受风险的能力最强,不同金融发展时期风险溢出的净传递者和净接受者也不同。A reasonable and effective financial stress index has become an important tool for measuring financial market stability,which is helpful to study the cross-market spillover and transmission of financial risks.This paper selects a total of 16financial variables from five financial sub-markets in China to construct the financial stress index of each market,and uses the MSVAR model to evaluate the effectiveness of the index,on this basis,the TVP-VAR-DY spillover index model is used to analyze the risk spillover and time-varying characteristics of China’s financial market from the perspective of information spillover.The results show that the overall trend of the financial stress index constructed in this paper is in line with reality,and the index can capture the systemic impact of major stress events on China’s financial market.There is a moderate interdependence among China’s financial markets,the flow of risks is relatively smooth,and the risk spillover is greatly affected by the uncertainty such as crisis events,among which the money market has the strongest external spillover risk,the stock market has the strongest ability to passively accept risk,and the net transmitter and net recipient of risk spillover in different financial development periods are also different.

关 键 词：风险溢出 金融压力指数 MS-VAR模型 TVP-VAR-DY模型 

分 类 号：F832.5[经济管理—金融学]