中国金融市场的风险溢出效应研究——基于溢出指数和复杂网络方法

发布时间：2018-01-16 06:13

本文关键词：中国金融市场的风险溢出效应研究——基于溢出指数和复杂网络方法　出处：《系统工程理论与实践》2017年04期 　论文类型：期刊论文

【摘要】：基于信息溢出视角,采用溢出指数和复杂网络方法,从静态和动态角度测度我国金融市场风险溢出的强度和方向,识别危机中的风险中心及演化.研究表明,我国金融系统风险溢出具有波动性、不确定性及不对称性,整体联动能力较强;各市场滞后效应明显;市场受到冲击时接受风险的程度与其对外溢出风险的程度呈相反变动趋势;货币市场尤其是回购市场是金融系统的风险中心,对外风险溢出效应最强,但在危机发生时相对减弱,而金属、股票、房地产等市场在危机时的风险溢出作用显著增强;债券和外汇市场被动接受风险的能力最强.
[Abstract]:Based on the view of information spillover, this paper uses the method of spillover index and complex network to measure the intensity and direction of financial market risk spillover in our country from static and dynamic point of view, and to identify the risk center and its evolution in the crisis. The risk spillover of Chinese financial system has the characteristics of volatility, uncertainty and asymmetry, and the ability of overall linkage is strong. The lag effect of each market is obvious; When the market is hit, the degree of accepting risk is opposite to the degree of external spillover risk. The money market, especially the repo market, is the risk center of the financial system, the external risk spillover effect is the strongest, but relatively weakened in the crisis, while metals, stocks. The risk spillover effect of real estate and other markets during the crisis is significantly enhanced; The bond and foreign exchange markets have the strongest ability to accept risk passively.
【作者单位】：北京工业大学经济与管理学院;北京现代制造业发展研究基地;
【基金】：国家自然科学基金(61273230);国家自然科学基金青年项目(61603010,61603011) 首都社会建设与社会管理协同创新中心资助项目~~
【分类号】：F832.5
【正文快照】： 1引言随着金融国际化及一体化程度的不断加深,金融风险跨市场、跨区域的传染性进一步加剧,系统性金融风险成为该领域的研究重点.最为典型的2008年全球金融危机,爆发后在短时间内迅速蔓延,对我国经济造成了一定冲击.随后,2013年发生的“钱荒”事件以及随后频繁爆发的大量银行卷

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