重大突发事件下中国金融风险跨市场多周期溢出效应研究  

Cross-market Multi-cycle Spillover Effects of China Financial Risks under Major Emergencies

作　　者：姚登宝[1,2] 余敏 刘畅 YAO Dengbao;YU Min;LIU Chang(School of Economics,Anhui University,Hefei 230601,China;Finance and Statistics Research Center,Anhui University,Hefei 230601,China)

机构地区：[1]安徽大学经济学院,安徽合肥230601 [2]安徽大学金融与统计研究中心,安徽合肥230601

出　　处：《山东财经大学学报》2024年第2期18-34,共17页Journal of Shandong University of Finance and Economics

基　　金：国家自然科学基金青年项目“‘强监管’与‘去杠杆’双重约束下我国系统性金融风险的演化机制及其监控研究”(71803002);安徽省哲学社会科学规划项目“金融支持安徽战略性新兴产业集群发展的效率评价与路径优化研究”(AHSKY2021D135)。

摘　　要：在重大突发事件频发的背景下,从多周期角度考察中国金融风险的跨市场溢出效应,对于防范化解重大金融风险具有重要意义。采用小波多分辨分析、DY溢出指数与风险溢出网络模型,从静态和动态角度测度了重大突发事件的短期、中期、长期内我国金融市场间风险溢出的强度和方向,识别不同事件不同周期下的风险中心及演变规律。研究发现:从静态角度来看,中国金融市场平均风险溢出水平呈现随周期增加而增加的趋势,“欧债危机”时期的风险总溢出最小,市场在各个时期不同周期下的风险净溢出情况不同,净风险溢出、溢入市场不断变化;从动态角度来看,重大突发事件冲击下金融市场总体风险传染水平呈现先上升后逐渐平稳并回落的趋势,短期总溢出指数最低,中期最高,但在某些时期,短期总溢出水平可能高于中长期;不同重大突发事件、不同周期下风险的承担中心、风险在各金融市场间的传染路径均会发生变化。因此,在强化金融市场风险监管时,需要建立全流程风险防控体系以实现风险的有效处置,针对不同事件、不同周期的反应差异,实现金融风险的精准识别与重点管理。Against the backdrop of frequent major emergencies,examining the cross-market spillover effects of China financial risks from a multi-cycle perspective is of great significance for preventing and resolving major financial risks.Adopting the wavelet multi-resolution analysis,DY spillover index and risk spillover network model,this study measures the intensity and direction of China financial inter-market risk spillover in the short,medium and long term of major emergencies from both static and dynamic perspectives,and identifies the risk centers and evolutionary laws in different cycles and different events.It is found that from the static perspective,the average risk spillover level in China financial market shows an increasing trend with the cycles increasing,the total risk spillover during the period of the“European debt crisis”is the smallest,the net risk spillover of the market varies in different periods and cycles,and the net risk spillover and inflow markets are constantly changing;from a dynamic perspective,the overall risk contagion level in the financial market under the impact of major emergencies shows a trend of first increasing and then gradually stabilizing and falling,the short-term total spillover index is the lowest while the medium-term total spillover index is the highest,but in certain periods,the short-term total spillover level may be higher than that of the medium term and long term;and that different major emergencies,risk-bearing centers under different cycles,and the contagion pathways of risks between financial markets will all undergo changes.Therefore,while strengthening the supervision of the financial market risks,it is necessary to establish a whole-process risk prevention and control system so as to realize the effective disposal of risks,and realize the accurate identification and key management of financial risks based on the response differences of different events and different cycles.

关 键 词：金融市场 重大突发事件 小波多分辨率分析 DY溢出指数 风险溢出网络 

分 类 号：F832[经济管理—金融学]