加密数字货币风险溢出与传染研究——基于LASSO-VAR方法的应用  

Research on Risk Spillover and Infection of Cryptocurrency--Application Based on LASSO-VAR Method

作　　者：曹玉茹 白长泽 宁薛平 CAO Yuru;BAI Changze;NING Xueping

机构地区：[1]上海对外经贸大学统计与信息学院,上海201600 [2]上海对外经贸大学国际经贸学院,上海201600

出　　处：《上海商学院学报》2024年第6期15-30,共16页Business Economic Review

基　　金：国家社会科学基金重大项目“防止资本无序扩张风险研究”(22ZDA053)。

摘　　要：作为重要的金融产品,加密数字货币因其显著的波动性在全球金融市场引发广泛关注。科学有效地评估其风险溢出对于防范和化解金融体系重大风险至关重要。本文通过深入分析全球11种主要加密数字货币的风险溢出效应,采用LASSO-VAR方法从静态和动态的视角分别考察了不同货币之间的风险关联性。进一步,通过网络拓扑图展现了加密数字货币之间的风险关联性。研究结果表明,加密数字货币的风险溢出效应呈现出明显的阶段性和核心风险集群的特征。这为加密货币风险管理带来了科学决策工具,可以及时调整金融系统中的不稳定因素,确保经济体系的平稳运行。As a significant financial product,cryptocurrency has garnered widespread attention in the global financial market due to its pronounced volatility.Assessing the risk spillover of these digital assets scientifically and effectively is crucial for preventing and mitigating major risks in the financial system.This paper conducts an in-depth analysis of the risk spillover effects of 11 major global cryptocurrencies,employing the LASSO-VAR method to examine the risk correlations between different currencies from both static and dynamic perspectives.Furthermore,the study utilizes network topology diagrams to illustrate the risk interconnections among cryptocurrencies.The research findings reveal distinct patterns of risk spillover effects in cryptocurrency markets,characterized by evident stages and core risk clusters.These insights provide a scientific decision-making tool for cryptocurrency risk management,enabling timely adjustments to instability in the financial system and ensuring the smooth operation of economic markets.

关 键 词：加密数字货币 风险溢出 LASSO-VAR 研究建议 

分 类 号：F83[经济管理—金融学]