摘要
共生性危机是金融危机研究的热点之一,经验表明不同国家同时爆发两种危机的可能性不同,但尚缺乏对危机共生强度的定量研究;copula是刻画变量之间非线性相互关系的重要方法,但函数选择目前仍缺少依据。针对这两个问题,文章由极值相依性模型推导出数十种生存copula函数的共同渐近形式,基于此构建危机共生指数,并给出一套系统检验共生性强弱及度量共生强度的方法。对1994-2009年十个新兴经济体的实证研究表明:各国的危机共生强度各异,俄罗斯、新加坡、智利和中国的金融危机具有弱共生性;爆发共生性危机的可能性很大程度上由金融自由化决定;外汇市场或金融市场遭受攻击时的极端风险更易在两者之间传导;通过本币升值稳定物价的宏观调控政策将增加双重危机爆发的可能性;控制外汇市场和银行业经营的不稳定因素是抑制共生性危机的重要途径,但在印度和中国的效果可能有限。
The twin crises are hot areas of financial crisis research during the past few years.Empirical evidence shows that the probability of occurrences of twin crises varies in different countries and regions.But there lacks quantitative researches of the intensity of twin crises.Copula is an important way to portray the non-linear relationship among variables,but there is a lack of the basis of function selection.For the issues aforementioned,the paper derives dozens of the common asymptotic forms of survival copula function by extreme-value dependence model,constructs a twin index of financial crisis and proposes a systematic approach to measure the twin intensity.The empirical study on ten major emerging economies from 1994 to 2009 are shown as follows： firstly,the intensities of twin crises vary,and the financial crises in Russia,Singapore,Chile and China are featured by weak intensity;secondly,the probability of occurrences of twin crises depends on financial liberalization to a large extent;thirdly,the extreme risks are easier to transmit when the exchange market or financial one suffers shocks;fourthly,the macro policies to stabilize the price via the appreciation of domestic currency might increase the probability of occurrences of twin crises;fifthly,it might be an effective approach to curb the twin crises by controlling the unstable factors in the foreign exchange market and banking industry,which,however,might have limited effects in India and China.
出处
《财经研究》
CSSCI
北大核心
2010年第10期70-84,共15页
Journal of Finance and Economics
基金
国家自然科学基金青年基金(71001070)
国家自然科学基金重大国际合作研究项目(70620120444)
国家自然科学基金创新研究群体科学基金(70821061)
上海交通大学安泰经济与管理学院青苗基金(YK103)
