系统性风险动态特征与国家风险评级差异性——以金砖五国为例

发布时间：2018-01-28 21:51

本文关键词： 国家风险系统性风险国家Beta DCC-GARCH　出处：《管理科学学报》2014年11期 　论文类型：期刊论文

【摘要】：准确追踪并度量东道国国家风险状况,对于跨国资本运作风险决策是不可或缺的.对国家风险度量的研究分为基于多属性决策的国家风险评估和基于资本资产定价理论的系统性风险建模两大类.研究选取金砖五国作为研究对象,对各国系统性风险的动态性进行建模,并通过考察系统性风险与基于多属性的ICRG国家风险评级的相关性,剖析两类国家风险度量的差异性.研究发现金砖五国的系统性风险波动较大,但近年波动在减缓;虽然受美国次贷危机冲击较大,但很快恢复平稳,抵抗外界风险能力增强.与反映一国的整体国家风险状况的ICRG国家风险评级相比,系统性风险更多是反映金融风险状况,能提供更高频的风险收益信息,二者互为补充,可提高跨国资本投资决策的合理性与准确性.
[Abstract]:Accurate tracking and measurement of host country risk profile. The research on national risk measurement can be divided into two categories: national risk assessment based on multi-attribute decision making and systematic risk modeling based on capital asset pricing theory. Select the BRICS as the research object. The dynamic characteristics of systemic risk are modeled, and the correlation between systemic risk and ICRG risk rating based on multiple attributes is investigated. This paper analyzes the differences of risk measurement between the two countries. It is found that the BRICS countries have a large volatility of systemic risk, but in recent years the volatility is slowing down. Although affected by the subprime mortgage crisis in the United States, but quickly recovered smoothly, the ability to resist external risk increased. Compared with a country's overall national risk status of the ICRG national risk rating. The systematic risk is more to reflect the financial risk situation, can provide the higher frequency risk return information, the two complement each other, can improve the rationality and the accuracy of the transnational capital investment decision.
【作者单位】：中国科学院科技政策与管理科学研究所;中国科学院研究生院;
【基金】：国家自然科学基金资助项目(71003091;71133005) 中国科学院院长奖项目
【分类号】：F224;F112
【正文快照】： 0引言国家风险是国际信贷、国际投资以及国际贸易的伴随物.对于国际投资者而言,国家风险不仅是全球投资战略的一重要影响因素,更是国际资本流动的重要决定因素,国家风险的增长将削弱资本流动[1,2].几乎一切国际资本流动都面临着因相关国家“不能”或“不愿”履行合同而产生违

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