摘要
本文根据金融部门资产负债关系,揭示部门间的风险传染网络,并将其放在金融市场中,推理各市场间风险传染机制;进而选择中、美、德为样本国,以美国次贷危机、欧洲债务危机数据为基础,使用时变Copula模型实证比较市场主导型金融、银行主导型金融、发展中国家金融等国内金融市场间的冲击传染效应,得出如下结论:金融部门通过同业拆借市场、证券市场、外汇市场等相互持有资产负债、建立了千丝万缕的关系网络,同时也形成了灵敏的传染路径,风险事件通过网络传染路径迅速流转、造成金融部门连锁反应和金融市场之间显著的传染冲击效应。中国某些金融市场之间的传染效应甚至高于市场主导型国家—美国,市场主导型金融与银行主导型金融内部不同市场间都具有显著的传染效应,其大小取决于风险冲击是传染国还是受传染国。金融市场之间的传染冲击使不同金融市场之间波动周期趋于同步,而这又强化了金融市场之间的风险传染。
On the base of analysis of the relationship between financial balance sheets, The paper reveals interdepartmental network of risk of infection, and discourses the transmission mechanism of financial market risk, and then selects the United States, Germany, China in a sample of countries for the data to the U. S. financial crisis, debt crisis in Europe, using of time-var- ying Copula Model, compares bank-based financial market-based financial, and developing countries＇ financial impact of the do- mestic financial market contagion effect, draws the following conclusions：Financial departments hold the asset and debt each other through the interbank lending market, equities, foreign exchange market to establish the intricate network relationships, and also construct the formation of the sensitivity of transmission paths, the rapid circulation of the risk event transmitted through the network path, resulting in the chains of financial sector knock-on effects of the infection between the response and the financial markets. The contagion effect among some of China＇s financial markets are even higher than the market-oriented countries - the United States ,the spread of impact between the financial markets fluctuations cycle between the different financial markets tend to synchronize, which in turn strengthen the risk between the financial markets transmission.
出处
《中国经济问题》
CSSCI
北大核心
2013年第3期89-99,共11页
China Economic Studies
基金
国家社科基金项目(12BJY152)
中央高校基本科研业务费专项资金(JBK1207024)的资助
