基于极值相依性的金融危机共生强度研究

发布时间：2018-04-17 10:00

本文选题：共生性危机 + 货币危机　；参考：《财经研究》2010年10期

【摘要】：共生性危机是金融危机研究的热点之一,经验表明不同国家同时爆发两种危机的可能性不同,但尚缺乏对危机共生强度的定量研究;copula是刻画变量之间非线性相互关系的重要方法,但函数选择目前仍缺少依据。针对这两个问题,文章由极值相依性模型推导出数十种生存copula函数的共同渐近形式,基于此构建危机共生指数,并给出一套系统检验共生性强弱及度量共生强度的方法。对1994-2009年十个新兴经济体的实证研究表明:各国的危机共生强度各异,俄罗斯、新加坡、智利和中国的金融危机具有弱共生性;爆发共生性危机的可能性很大程度上由金融自由化决定;外汇市场或金融市场遭受攻击时的极端风险更易在两者之间传导;通过本币升值稳定物价的宏观调控政策将增加双重危机爆发的可能性;控制外汇市场和银行业经营的不稳定因素是抑制共生性危机的重要途径,但在印度和中国的效果可能有限。
[Abstract]:Symbiotic crisis is one of the hotspots in the study of financial crisis. Experience shows that different countries have different possibilities of breaking out two kinds of crises at the same time.However, there is still a lack of quantitative study on the intensity of crisis symbiosis. Copula is an important method to describe the nonlinear relationship between variables, but the selection of function is still lack of basis.Aiming at these two problems, this paper deduces the common asymptotic forms of dozens of survival copula functions from the extreme dependence model, constructs the crisis symbiotic index based on this, and gives a set of methods to test symbiosis strength and measure symbiotic strength systematically.Empirical research on 10 emerging economies from 1994 to 2009 shows that the crisis symbiosis intensity varies from country to country, and the financial crisis of Russia, Singapore, Chile and China has weak symbiosis;The likelihood of a symbiotic crisis is largely determined by financial liberalization; extreme risks when foreign exchange markets or financial markets are attacked are more easily transmitted between the two;The macro-control policy of stabilizing prices through the appreciation of the local currency will increase the possibility of a double crisis, and controlling the unstable factors in the foreign exchange market and banking industry is an important way to curb the symbiotic crisis.But the effect may be limited in India and China.
【作者单位】：上海交通大学安泰经济与管理学院;北京航空航天大学经济管理学院;
【基金】：国家自然科学基金青年基金(71001070);国家自然科学基金重大国际合作研究项目(70620120444);国家自然科学基金创新研究群体科学基金(70821061) 上海交通大学安泰经济与管理学院青苗基金(YK103)
【分类号】：F830.99;F224

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