汇率与股市相关行业的风险溢出效应——基于静态与动态CoVaR的分析

发布时间：2018-04-02 11:12

本文选题：汇率波动　切入点：风险溢出效应　出处：《中南财经政法大学学报》2017年06期

【摘要】：基于2005~2016年间2579个日度交易数据,分别运用静态和动态CoVaR方法测度了人民币对美元汇率、股市中的地产、贸易以及券商行业价格指数相互之间的风险溢出效应。实证结果发现,在任何风险水平下,汇率对股市相关行业的边际风险溢出效应都显著为正,在汇率发生较大波动时,要尤其注意股市相关行业的风险预警;风险水平加剧时,变量之间的风险总溢出呈现增强趋势,但边际外溢效应具有差异性,应着重防控汇率对地产、券商行业的边际风险溢出效应;汇率对股市相关行业的风险溢出效应的动态变化趋势与汇率制度改革进程有明显关联性,而股市相关行业对汇率的风险溢出效应的动态变化趋势则主要依赖于股市的繁荣程度。本文的研究结论有助于理解汇率市场与股票市场中相关行业的风险联动性机理,为防范金融市场系统性风险提供参考。
[Abstract]:The empirical results show that under any risk level, the marginal risk spillover effect of exchange rate on stock market related industries is significantly positive. When the exchange rate fluctuates greatly, we should pay special attention to the risk warning of stock market related industries.The total risk spillover between variables shows an increasing trend, but the marginal spillover effect is different, it should focus on the prevention and control of exchange rate to real estate, securities industry marginal risk spillover effect;The dynamic trend of risk spillover effect of exchange rate on stock market is obviously related to the process of exchange rate system reform, while the dynamic change trend of risk spillover effect of stock market related to exchange rate mainly depends on the prosperity of stock market.The conclusions of this paper are helpful to understand the risk linkage mechanism between the exchange rate market and the stock market, and to provide a reference for the prevention of systemic risk in the financial market.
【作者单位】：陕西师范大学国际商学院;
【基金】：教育部人文社科基金资助项目“股票流动性对投资者情绪波动的响应机制研究”(16YJA790061)
【分类号】：F832.51;F832.6

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