基于压力指数的系统性金融风险跨市场传导研究  

Research on Cross-market Transmission of Systemic Financial Risk Based on Financial Stress Index

作　　者：谭中明[1] 王逍 杨素敏 TAN Zhongming;WANG Xiao;YANG Sumin(College of Finance and Economics,Jiangsu University 212013,China)

机构地区：[1]江苏大学财经学院,江苏镇江212013

出　　处：《经济论坛》2023年第7期139-152,共14页Economic Forum

基　　金：国家社科基金项目“新关联网络下金融科技风险叠加衍化、传染溢出及监管政策研究”(22BJY111)。

摘　　要：随着金融创新的日益增强,金融市场之间的关联性日益紧密,系统性金融风险变得更加复杂且更容易在金融市场间传染扩散。文章选取25个代表性指标构造了股票、债券、外汇、房地产、银行市场的金融压力指数,运用DAG模型,实证研究了各个子市场的压力传导方向,进而构建了一个具有时变参数的向量自回归模型,研究各个子市场金融压力传导的时变效应。研究发现:房地产市场为主要风险接收市场,股票市场、银行体系为主要风险传递市场;金融市场化政策短期内会加剧金融压力的传导,长期压力传导效应却会减弱;涉及外汇市场的压力传导短期效应更明显,涉及银行体系的压力传导长期效应会更明显。With the ever-increasing financial innovation,the interconnection between financial markets has be-come increasingly close,and systemic financial risks have become more complex and easier to spread between finan-cial markets.This paper selects 25 representative indicators to construct the financial stress index of the stock,bond,foreign exchange,real estate,and banking markets.Using the DAG model,it empirically studies the pressure transmission direction of each sub-market,and then constructs a vector autoregressive model with time-varying pa-rameters to study the time-varying effects of financial pressure transmission in various sub-markets.The research finds that:The real estate market is the main risk-receiving market,and the stock market and the banking system are the main risk transmission markets;financial marketization policies will intensify the transmission of financial pressure in the short term,and the long-term pressure transmission effect will weaken;the short-term effect of pres-sure transmission involving the foreign exchange market is more obviously,and the long-term effects of pressure transmission involving the banking system will be more obvious.

关 键 词：金融压力指数 有向无环图 TVP-SVAR模型 风险传染 跨市场金融风险 

分 类 号：F12[经济管理—世界经济]