发达市场对新兴市场危机净传染的特征研究

发布时间：2018-05-09 17:21

本文选题：美国次贷危机 + 净传染　；参考：《系统工程理论与实践》2017年01期

【摘要】：本文讨论金融危机期间发达市场对亚洲新兴市场的危机净传染现象.本文提出一种新的研究框架,包括:噪声成分提取方法、噪声成分相关性检验方法和资产组合噪声成分方差分解方法.实证研究表明,在次贷危机期间,亚洲新兴市场存在明显净传染现象;美国危机会通过亚洲发达市场向周边新兴市场传导.其中,中国香港市场的危机传导作用最为显著,成为亚洲新兴市场的"风向标",新加坡市场的影响具有明显时变特征,而日本市场对周边市场的主导作用逐步下降.在危机期,由于净传染现象的存在,新兴市场投资组合很难发挥风险分散的功能.
[Abstract]:This paper discusses the net contagion of developed markets to Asian emerging markets during the financial crisis. In this paper, a new research framework is proposed, including: noise component extraction method, noise component correlation test method and portfolio noise component variance decomposition method. Empirical studies show that during the subprime mortgage crisis, there is a net contagion in emerging markets in Asia, and that the crisis in the United States is transmitted to the surrounding emerging markets through developed Asian markets. Among them, the crisis conduction effect of Hong Kong market in China is the most obvious, and it becomes the "wind vane" of emerging markets in Asia. The influence of Singapore market has obvious time-varying characteristics, while the leading role of Japanese market on neighboring markets is gradually declining. During the crisis period, emerging market portfolios are difficult to play the role of risk diversification due to net contagion.
【作者单位】：北京航空航天大学经济管理学院;
【基金】：国家自然科学基金(71303016,71671008)~~
【分类号】：F831.51

【相似文献】