极端事件冲击下金融子市场的自我防御与风险传染  

Self-Defense and Risk Contagion in Financial Sub-Markets under the Impact of Extreme Events

作　　者：隋建利[1] 李悦欣 SUI Jian-li;LI Yue-xin(Jilin University,Changchun 130012,China)

机构地区：[1]吉林大学商学与管理学院,吉林长春130012

出　　处：《当代财经》2024年第1期59-74,共16页Contemporary Finance and Economics

基　　金：国家社会科学基金重大项目“新发展格局下中国经济韧性的形成机理、动态评价与政策协同研究”(21&ZD073)。

摘　　要：辨识极端事件冲击下金融子市场的风险传染路径已成为新时代金融风险防控的重要内容。基于非线性MSBIARCH模型,对股票、房地产、大宗商品、汇率、债券市场间波动传染关系及波动聚类态势进行甄别的研究表明:首先,除汇率市场对房地产市场,债券市场对股票、房地产、汇率市场,大宗商品市场对债券市场发挥单向波动传染外,其他市场之间均具有双向波动传染关系;其次,极端风险事件通过市场情绪与市场预期引发波动传染,突发公共事件基于市场情绪产生波动传染,政策颁布事件经由基本面和市场预期导致波动传染;最后,金融子市场的波动聚类态势多数源自其他子市场的波动传染,其中,汇率市场风险传染能力较弱,大宗商品市场与债券市场自我防御能力较强,主要进行风险输出。因此,需进一步建立全流程金融风险防控体系,完善金融子市场交易机制,加强市场间沟通协作,合理引导公众预期,从而增强金融市场抗风险能力,维持金融市场的稳健发展。Identifying the risk contagion path in financial sub-markets under the impact of extreme events has become an important part of financial risk prevention and control in the new era.Based on non-linear MSBIARCH model,this paper conducts a study to discriminate the volatility and conta-gion relationships and the volatility clustering trends among stocks,real estate,bulk commodities,ex-change rates and bond markets.The findings show that,firstly,except for the one-way volatility con-tagion effects from the exchange rate market to the real estate market,from the bond market to the stocks,real estate,exchange rates markets and from the bulk commodity market to the bond market,there exists a two-way volatility contagion relationship between the other markets;secondly,the ex-treme risk events trigger the volatility contagion through market sentiment and expectations,the public emergencies generate volatility contagion based on market sentiment,and the policy announcements cause volatility contagion through fundamental factors and market expectations;finally,most of the volatility cluster trends in financial sub-markets originate from the volatility contagion in other sub-markets.The exchange rate market has weaker risk contagion ability,while the bulk commodity market and the bond market have stronger self-defense ability,which mainly carry out risk outputs.Therefore,it is necessary to further establish a full-process financial risk prevention and control sys-tem,improve the financial sub-market trading mechanism,strengthen communication and cooperation between markets,and reasonably guide public expectations,so as to enhance the anti-risk ability of fi-nancial markets and maintain the steady development of financial markets.

关 键 词：金融子市场 自我防御 风险传染 非线性MSBIARCH模型 

分 类 号：F832[经济管理—金融学]