摘要
文章基于沪深300指数和中证公司债指数的日收益率数据,通过GPD-Copula-CoVaR模型,对股票市场和公司债市场之间的风险相依性和传染性进行了测度分析,以期为金融市场和机构的投融资策略和风险防控政策提供相关依据。具体而言,从风险相关性的角度基于GPD-Copula模型来探讨股票市场和公司债市场之间的相依性,从风险传染性的角度基于CopulaCoVaR模型来研究了股票市场和公司债市场的风险溢出效应。结果表明,股票市场和公司债市场之间存在显著的上尾非对称相关关系,且股票市场和公司债市场之间存在非对称的双向风险溢出效应,股票市场对公司债市场的风险溢出效应相对较大。最后,针对股票市场和公司债市场的金融风险特征,分别从风险机制、政府监管和政府政策等层面提出了风险防控和危机救助方面的建议,以抑制系统性金融风险的积累和爆发,控制系统性风险的传染和扩散。
Based on the daily rate of return data of csi 300 index and csi corporate bond index,this paper analyzes the risk dependency and infectivity between the stock market and corporate bond market through the pdd-copula-covar model,in order to provide relevant basis for the investment and financing strategies and risk prevention and control policies of financial markets and institutions.Specifically,this paper discusses the dependency between the stock market and corporate bond market based on the pddcopula model from the perspective of risk correlation,and studies the risk spillover effect of stock market and corporate bond market based on the copula-covar model from the perspective of risk contagion.The results show that there is a significant up-tail asymmetric correlation between the stock market and the corporate bond market,and there is an asymmetric two-way risk spillover effect between the stock market and the corporate bond market,and the risk spillover effect of the stock market on the corporate bond market is relatively large.Finally,in view of the financial risk characteristics of the stock market and corporate bond market,suggestions on risk prevention and control and crisis relief are proposed from the risk mechanism,government supervision and government policies,so as to inhibit the accumulation and outbreak of systemic financial risks and control the contagion and spread of systemic risks.
作者
王鹏飞
WANG Peng-fei(Institute of Quantitative and Technical Economics,Chinese Academy of Social Sciences,Beijing 101118,China)
出处
《技术经济与管理研究》
北大核心
2020年第7期85-89,共5页
Journal of Technical Economics & Management
关键词
股票市场
债券市场
金融市场
风险溢出
风险防控
Stock market
Corporate bonds
The risk of overflow
The risk prevention and control
