摘要
揭示金融创新与金融风险复杂交互作用和关联特征对推动金融创新发展、防范系统性金融风险具有重要的现实意义。通过构建金融创新与金融压力指数,从多重分形和时频双重视角出发,基于2015年1月5日至2021年4月30日的日度数据,分别采用DCCA、MF-ADCCA、基于时间延迟的DCCA算法、连续小波变换及小波相干算法分析金融创新与金融风险的复杂关联性特征。结果表明:金融创新与金融风险之间交互影响、双向传导,金融风险的积聚会诱发金融创新热潮,但金融风险回归低位却对金融创新的拉动作用较弱;此外,金融风险的长期波动最强,金融创新短期波动最为剧烈,且金融风险波动领先于金融创新,表明金融风险变动对金融创新走势具有一定的预示作用。
Revealing the complex interaction relationship and correlation characteristics between financial innovation and financial risk is of great practical significance for promoting the development of financial innovation and preventing systemic financial risks. By constructing financial innovation and financial stress index, the complex correlation characteristics of them are analyzed by using DCCA, MF-ADCCA, DCCA algorithm based on time delay, continuous wavelet transform, and wavelet coherence algorithm from the perspective of multifractal and time-frequency based on the daily data from January 5th, 2015 to April 30th, 2021. The results show that: financial innovation and financial risk have mutual influence and two-way transmission. The accumulation of financial risk booms financial innovation, while it has a weak driving effect on financial innovation when it drops. Additionally, the volatility of financial risk is the strongest in the long term, the financial innovation is in the short term. The volatility of financial risk is ahead of financial innovation, indicating that the volatility of financial risk can predict financial innovation.
作者
刘超
范艺心
LIU Chao;FAN Yi-xin(School of Economics and Management,Beijing University of Technology,Beijing 100124,China)
出处
《系统工程》
CSSCI
CSCD
北大核心
2024年第2期115-129,共15页
Systems Engineering
基金
国家自然科学基金资助项目(62073007,61773029)。
关键词
金融创新
金融风险
多重分形
小波分析
Financial Innovation
Financial Risk
Multifractal
Wavelet Analysis
