全球金融市场风险溢出效应研究——基于时频视角和网络关联的分析  

Risk spillover effects in global financial markets:Analysis based on time⁃fre⁃quency perspective and network connection

作　　者：吴国兵 陈平[2,3] 李帆 张浩 WU Guo-bing;CHEN Ping;LI Fan;ZHANG Hao(Guangdong Branch of People’s Bank of China,Guangzhou 510120,China;Lingnan College,Sun Yat-sen University,Guangzhou 510275,China;Southern Marine Science and Engineering Guangdong Laboratory(Zhuhai),Zhuhai 519000,China;Shantou Branch of People’s Bank of China,Shantou 515041,China;School of Finance and South China Institute of Fortune Management Research,Guangdong University of Foreign Studies,Guangzhou 510006,China;Institute of Financial Openness and Asset Management,Guangzhou 510006,China)

机构地区：[1]中国人民银行广东省分行,广州510120 [2]中山大学岭南学院,广州510275 [3]南方海洋科学与工程广东省实验室(珠海),珠海519000 [4]中国人民银行汕头市分行,汕头515041 [5]广东外语外贸大学金融学院、华南财富管理中心研究基地,广州510006 [6]金融开放与资产管理研究中心,广州510006

出　　处：《管理科学学报》2025年第1期119-144,共26页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71991474,71721001);国家社会科学基金资助项目(19VHQ004,2020CTJ003);全国统计科学研究资助项目(2021LY089,2020LY071);中山大学2019年“三大”建设文科重要成果培育资助专项(10000-18843402);南方海洋科学与工程广东省实验室(珠海)资助项目(SML2023SP221);广发证券社会公益基金会《国家金融学》教学科研基金项目。

摘　　要：随着金融国际化程度的不断加深以及信息通讯技术的快速发展,全球金融市场关联程度更为密切,不同类型、不同区域金融市场之间的风险传染进一步增强.本研究从时频视角和网络关联分别考察了全球股票、外汇、债券、大宗商品等金融市场的静态和动态风险溢出效应,并通过分析两两投资组合的风险管理策略来为投资者风险对冲提供参考.研究发现全球金融市场的震荡有21.1%是由外部金融市场风险溢出引起的,且风险溢出主要集中在短期和中期.从网络视角看,短期金融市场风险溢出呈现出同类型市场聚集和区域聚集的特征,长期不同金融市场之间的风险溢出范围更加广泛.最后,本研究提出了完善我国金融风险防范体系的针对性政策建议.This paper examines the static and dynamic risk spillover effects of global financial markets from the time-frequency perspective and network connection respectively.It also analyzes the optimal investment strate-gies of pairwise portfolios to provide reference for investors'risk management.The results show that 21.1%of the global financial market shocks are caused by risk spillovers from external financial markets,and the risk spillovers are mainly concentrated in the short and medium term.The financial risk events exhibit characteris-tics of short-term risk spillover index rising first,and then the medium and long-term risk spillover index grad-ually rising.From the network connection perspective,in the short term,the financial market risk spillovers show the characteristics of the same type of market aggregation and regional aggregation.In the long-term,risk spillovers across different financial markets are more widespread.Finally,the paper offers some policy sugges-tions for improving China's financial risk prevention system.

关 键 词：全球金融市场 风险溢出 高维数据 时频域 风险对冲 

分 类 号：F832[经济管理—金融学]