基于R-vine-copula-CoVaR模型的金融市场风险溢出效应研究

发布时间：2018-01-11 11:16

本文关键词：基于R-vine-copula-CoVaR模型的金融市场风险溢出效应研究　出处：《运筹与管理》2017年09期 　论文类型：期刊论文

【摘要】：为了挖掘国际金融市场与中国金融市场的风险溢出效应,本文首先通过ARJI-GARCH模型捕捉单个市场收益率的跳跃等典型事实特征,然后采用最大生成树(Maximum Spanning Tree,MST)算法优化的R-vine来刻画多维金融资产的复杂相依结构;最后构建R-vine-copula-Co VaR模型,测度了国际原油市场、国际黄金市场、美国股票市场与中国股票市场、外汇市场之间的风险溢出效应。实证结果表明:各市场之间均存在双向风险溢出效应,但溢出程度差别很大,国际黄金市场是风险溢出的最大爆发源,仅有中国外汇市场与中国股票市场、国际黄金市场间存在负向风险溢出;市场之间的双向风险溢出效应呈非对称性,国际原油市场与黄金市场的风险溢出效应远大于中国股票市场与外汇市场风险溢出效应;Rosenb-Latt检验表明基于R藤的Co VaR风险溢出测度更具有灵活性和有效性;后验测试结果表明R-vine-copula-Co VaR模型能有效地测度国际金融市场对中国金融市场风险溢出效应,而对中国金融市场风险溢出效应的Co VaR测度存在被高估的可能。
[Abstract]:In order to excavate the risk spillover effect between the international financial market and the Chinese financial market, this paper firstly captures the typical factual characteristics such as the jump of the return rate of a single market through the ARJI-GARCH model. Then the R-vine optimized by Maximum Spanning Tree STS algorithm is used to describe the complex dependent structure of multi-dimensional financial assets. Finally, R-vine-copula-Co VaR model is constructed to measure the international crude oil market, international gold market, American stock market and Chinese stock market. The empirical results show that there are two-way risk spillover effects in each market, but the degree of spillover is very different. The international gold market is the biggest source of risk spillover. Only China's foreign exchange market and China's stock market, the international gold market between the existence of negative risk spillover; The two-way risk spillover effect between the markets is asymmetric. The risk spillover effect between the international crude oil market and the gold market is much larger than the risk spillover effect of the Chinese stock market and the foreign exchange market. Rosenb-Latt test shows that the risk spillover measure of Co VaR based on Rattan is more flexible and effective. The results show that R-vine-copula-Co VaR model can effectively measure the risk spillover effect of international financial market on Chinese financial market. On the other hand, the Co VaR measure of risk spillover effect on Chinese financial market may be overestimated.
【作者单位】：成都理工大学商学院;成都理工大学管理科学学院;澳大利亚国立大学克劳福德公共政策学院;
【基金】：国家自然科学基金资助项目(71171025,71771032) 社会科学基金资助项目(12BGL024) 教育部人文社会科学研究青年基金项目(17YJC790168) 四川省软科学研究计划项目(2016ZR0137) 四川省应用基础研究项目(2017JY0158) 成都理工大学“金融与投资”优秀创新团队计划项目(KYTD201303)
【分类号】：F224;F831.54
【正文快照】： 0引言由于国际经济迅速发展,金融自由化程度不断提高,金融市场一体化趋势愈发显著。特别是计算机和信息技术的日新月异,使得金融市场之间的协调与联动更加明显(Rafal)[1]。随着市场间联系日益紧密,在促进共同发展的同时也带来风险的外部性,由单个金融市场引发的风险会在其他金

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