摘要
基于2005~2016年间2579个日度交易数据,分别运用静态和动态CoVaR方法测度了人民币对美元汇率、股市中的地产、贸易以及券商行业价格指数相互之间的风险溢出效应。实证结果发现,在任何风险水平下,汇率对股市相关行业的边际风险溢出效应都显著为正,在汇率发生较大波动时,要尤其注意股市相关行业的风险预警;风险水平加剧时,变量之间的风险总溢出呈现增强趋势,但边际外溢效应具有差异性,应着重防控汇率对地产、券商行业的边际风险溢出效应;汇率对股市相关行业的风险溢出效应的动态变化趋势与汇率制度改革进程有明显关联性,而股市相关行业对汇率的风险溢出效应的动态变化趋势则主要依赖于股市的繁荣程度。本文的研究结论有助于理解汇率市场与股票市场中相关行业的风险联动性机理,为防范金融市场系统性风险提供参考。
Based on the 2579 daily trading data from 2005 to 2016,the static and dynamic CoVaR method was used to measure the risk spillover effect of the RMB exchange rate,the real estate,and trade and brokerage industry price index in the stock market.The empirical results show that the marginal risk spillover effect of the exchange rate on the stock market is significantly positive at any risk level.When the exchange rate fluctuates greatly,governor should pay attention to the risk warning of the stock market early.When the risk level is increased,the whole spillover effect of the exchange rate on the stock market will increased,but the marginal risk spillover effect is different,and the risk of exchange rate on real estate and brokerage should be valued.The risk spillover effect dynamic changes of exchange rate on the stock market has a clear relevance from foreign exchange system reform process,and risk spillover effect of stock market on the exchange rate is mainly dependent on the prosperity of stock market.These conclusions are helpful to understand the linkage mechanism between the exchange rate market and the stock market also can provide reference for the system risk prevention of the financial market.
出处
《中南财经政法大学学报》
CSSCI
北大核心
2017年第6期112-121,共10页
Journal of Zhongnan University of Economics and Law
基金
教育部人文社科基金资助项目"股票流动性对投资者情绪波动的响应机制研究"(16YJA790061)
