摘要
全球主要经济体的利率频繁波动,成为影响债券市场风险积累和传染扩散的重要因素。通过构建基于时变溢出指数和复杂网络的分析框架,结合全球40个主要国家或地区2007—2021年国债收益率数据,揭示债券市场风险传染现象,并深入探讨其内在影响机制。研究发现:第一,国际债券市场的风险传染效应在时间维度上表现出显著的时变特征,尤其在金融危机、主权债务危机等重大经济金融事件期间,风险传染效应显著增强;第二,债券市场风险传染具有明显的空间异质性,美洲和欧洲的内部风险溢出效应最为显著,而亚洲则更多地吸收来自外部的风险;第三,金融开放程度、国际贸易联系、汇率波动、投资者情绪以及美元流动性等因素在债券市场风险传染的形成和传播中发挥关键作用。基于这些发现,提出以下政策建议:首先,加强金融市场的监管合作,特别是在全球性金融危机背景下,共同应对债券市场风险;其次,优化金融开放策略,结合各国或地区自身经济状况,合理调控国际资本流动,防范外部冲击对其债券市场的冲击;最后,提升债券市场的透明度和流动性,增强其抵御外部风险的能力。研究为理解债券市场的风险传染机制引入新的视角,并为政策制定者应对系统性金融风险提供理论支持。
Frequent fluctuations in interest rates across the world’s major economies have become significant factors influencing the accumulation of risks and the spread of contagion in bond markets.A framework based on timevarying spillover indices and complex network analysis is constructed to examine the government bond yield data of 40 major economies from 2007 to 2021.The phenomenon of risk contagion in global bond markets is revealed,and its internal mechanisms and influencing factors are thoroughly explored.It is found that,first,the contagion effect in the international bond market exhibits notable timevarying characteristics,particularly during major economic and financial events such as financial crises,sovereign debt crises,and other significant global shocks,where the contagion effect intensifies significantly.During these periods,market interconnections become more pronounced,with risks spreading faster and more widely across regions,amplifying the systemic risk.The contagion effect not only spreads more widely,but also more quickly,indicating that the interconnectedness of financial markets is a critical driver of risk transmission.Second,bond market contagion shows clear spatial heterogeneity,with American and European regions exhibiting the most significant internal risk spillovers,while Asian regions tend to absorb more external risks,often reflecting their growing integration into the global financial system.The spatial heterogeneity indicates that regional economic and financial structures significantly shape the extent and nature of contagion,highlighting the importance of regionspecific policy responses.Third,key factors such as financial opening,international trade,exchange rate fluctuations,investor sentiment,and dollar liquidity are identified as playing critical roles in the formation and propagation of risk contagion in the bond market.In particular,changes in investor sentiment,especially during periods of heightened uncertainty,and adjustments in dollar liquidity significantly amplify contagion,especially when global economic conditions are volatile.These factors suggest that,both macroeconomic policy decisions and investor behavior are crucial in understanding and managing the risks associated with bond market contagion.The findings suggest several important policy recommendations.First,strengthen regulatory cooperation in financial markets,particularly during global financial crises,to collectively address systemic risks in bond markets.Second,financial opening strategies should be optimized,with international capital flows regulated in line with each economy’s economic conditions to prevent excessive shocks from external events that could destabilize domestic markets.Carefully manage the timing and scale of financial liberalization to mitigate the risk of destabilizing capital inflows and outflows,which could undermine market stability.Last,improving the transparency and liquidity in bond markets is essential to enhance its ability to withstand external risks.New perspectives are provided on the dynamic contagion mechanisms in the global bond markets,contributing to a deeper understanding of how financial linkages,policy decisions,and external shocks influence bondmarket stability.By emphasizing the role of financial opening,crossmarket interdependencies,and regional differences,valuable insights are offered for policymakers aiming to mitigate systemic risks,improve financial market resilience,and strengthen global economic stability.The findings also suggest that more comprehensive global cooperation in financial regulation is necessary to ensure more stable and resilient international bond markets.
作者
余博
毛建辉
管超
YU Bo;MAO Jianhui;GUAN Chao(School of Finance,Nanjing University of Finance and Economics,Nanjing 210023,China;School of Accounting,Jiangxi University of Finance and Economics,Nanchang 330013,China;Shenzhen Branch,the People’s Bank of China,Shenzhen 518001,China)
出处
《统计与信息论坛》
北大核心
2025年第9期45-59,共15页
Journal of Statistics and Information
基金
国家社会科学基金青年项目“金融扩大开放部署下我国金融风险传导及防控研究”(20CJY065)
江西省教育厅科技项目一般项目“数据要素对企业创新韧性提升的影响研究”(GJJ2400401)。
关键词
国际债券市场
国债收益率
风险传染
时变溢出效应
系统性风险
金融开放
international bond market
government bond yield
risk contagion
timevarying spillover effect
systemic risk
financial opening
