次贷危机传染渠道的空间计量

发布时间：2019-03-07 10:37

【摘要】：本次美国次贷危机通过不同的传染渠道席卷全球,厘清这次危机的传染渠道对深刻认识金融危机意义重大.选取32个经济体次贷危机前后21个季度中的数据,引入空间面板回归模型对表现金融市场关联程度的Copula传染指数进行传染渠道的实证分析,结果表明:金融渠道是本次危机的主要传染渠道,国际贸易渠道的重要性弱于金融渠道;同时,流动性风险和信用风险加剧了金融传染的程度;但货币竞争性贬值因素在美国次贷危机的传染过程中作用并不显著.此外,区域性经济组织之间的传染明显强于地理关系之间的传染.
[Abstract]:The U. S. sub-prime crisis is sweeping the globe through different transmission channels, and it is clear that the transmission channel of the crisis is of great significance to the deep understanding of the financial crisis. The paper selects the data of the 21 quarters before and after the sub-credit crisis of 32 economies, and introduces the empirical analysis of the transmission channel of the Copula infection index of the degree of financial market association by introducing the spatial panel regression model. The results show that the financial channel is the main transmission channel of this crisis. The importance of the channel of international trade is weaker than that of the financial channel; at the same time, liquidity risk and credit risk increase the degree of financial contagion; however, the factor of currency competitive devaluation is not significant in the transmission of the subprime crisis in the United States. In addition, the contagion between regional economic organizations is significantly stronger than that between geographical relationships.
【作者单位】：中国科学院数学与系统科学研究院;中国石油大学(北京);
【基金】：国家自然科学基金重点项目(70933003) 国家973计划(2007CB814902)
【分类号】：F831;F224

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