“次贷危机”后中美金融市场联动性更强了吗

发布时间：2018-05-02 07:51

本文选题：次贷危机 + 中美金融市场　；参考：《经济学家》2014年09期

【摘要】：本文以"次贷危机"为分界线,采用SVAR模型对中美两国的货币市场,股票市场和外汇市场间的联动性进行分析。实证研究表明,危机前,中国金融市场对美国各子市场的影响微乎其微,美国金融市场对中国股市、货币市场的影响较弱。危机后,中美金融市场间的联动性增强但存在一定非对称性。中国金融市场对美国金融市场的影响相较危机前略有增强,相比之下,美国金融市场对中国的影响则更加显著。中国金融市场开放步伐加快、中美两国实体经济联系密切、投资者投资理念更加成熟以及信息传递便捷等因素,是使得两国金融市场联动性增强的主要原因。
[Abstract]:Taking the sub-prime crisis as the dividing line, this paper uses SVAR model to analyze the linkage among the money market, stock market and foreign exchange market in China and the United States. Empirical studies show that before the crisis, China's financial markets had little impact on American sub-markets, while U.S. financial markets had a weaker impact on China's stock market and money market. After the crisis, the financial market interaction between China and the United States increased, but there is a certain asymmetry. China's financial markets have had a slightly stronger impact on U.S. financial markets than they did before the crisis, compared with the U.S. financial markets' more significant impact on China. The quickening pace of opening up of China's financial markets, the close relations between the real economy of China and the United States, the more mature investment concept of investors and the convenient transmission of information are the main reasons for the strengthening of the linkage between the two countries' financial markets.
【作者单位】：吉林大学经济学院;钦州学院商学院;
【基金】：国家社科基金青年项目“我国信贷周期及其宏观审慎监管研究”(12CJY109) 教育部人文社会科学研究青年基金项目“中国经济周期波动中的金融加速器机制与货币政策选择”(09YJC790116) 吉林大学哲学社会科学创新团队建设项目“国际金融理论创新与国际货币体系改革研究”(2012FRTD02)
【分类号】：F832.51;F837.12

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