基于复杂网络的泛金融市场极端风险溢出效应及其演变研究  

Extreme Risk Spillover Effects of Pan-financial Markets and Its Evolution Based on Complex Networks

作　　者：谢赤[1,2] 贺慧敏 王纲金[1,2] 凌毓秀 Xie Chi;He Huimin;Wang Gangjin;Ling Yuxiu

机构地区：[1]湖南大学工商管理学院,长沙410082 [2]湖南大学金融与投资管理研究中心

出　　处：《复印报刊资料（统计与精算）》2022年第1期110-124,共15页STATISTICS AND ACTUARIAL SCIENCE

基　　金：国家自然科学基金面上项目(71971079,71871088);国家自然科学基金应急重点项目(71850006);国家社会科学基金一般项目(19BTJ018)。

摘　　要：本文采用基于CED的ARMA-(T)GARCH-VaR模型,借助风险Granger因果检验方法考察中国泛金融市场9个子市场在5个时期的下行和上行极端风险溢出效应,进而通过有向加权复杂网络刻画各个子市场之间的极端风险溢出演化规律。实证结果表明,子市场间的极端风险溢出效应具有时滞性,在风险溢出网络中越极端的风险传播能力越强、效率越高。下行和上行极端风险溢出效应具有不对称性,在多个时期上行风险的传播能力强于下行风险。极端风险溢出网络在5个时期的中心节点不断变化,但能源子市场始终是主要的上行极端风险溢出的接受者。金融危机过后大宗商品和债券子市场在网络中输送极端风险溢出的能力增强,且它们之间存在显著的极端风险溢出效应。This paper uses the GED-based ARMA-(T)GARCH-VaR model and the test for Granger causality in risk to investigate the downside and upside extreme risk spillover effects of nine sub-markets of China's pan-financial market in five periods,and describes the evolution of extreme risk spillovers between submarkets through directed weighted complex networks.The empirical results show that the extreme risk spillover effects between the sub-markets have time lags.In the risk spillover network,the more extreme the risk is,the stronger its ability to spread is and the higher its efficiency is.The downside and upside extreme risk spillover effects are asymmetric,and the spreading ability of upside risks is higher than that of downside risks over the most of periods.The central nodes of the extreme risk spillover network change continuously over the five periods,but the energy submarket is always the main recipient of upside extreme risk spillovers.After the financial crisis,the ability of commodity and bond submarkets to spread extreme risks spillover in the network is enhanced,and there is a significant extreme risk spillover effect between them.

关 键 词：泛金融市场 下行/上行极端风险 风险溢出效应 有向加权复杂网络 GRANGER因果检验 

分 类 号：F832.5[经济管理—金融学]