摘要
本文结合中国经济的发展轨迹和制度的沿革路径,从实体经济一体化、金融经济一体化、宏观经济趋同化三个维度构建中国经济一体化进程的综合评价指标体系。在此基础上,本文运用非对称多元GARCH模型捕捉中国与亚洲、欧美7个重要的资本市场资产价格的动态条件相关系数,从收益率传染的角度对中国经济一体化进程与金融危机传染二者之间的内在关联机制进行计量分析。实证研究发现,金融危机在中国的传染效应呈现出区域性和时变性的双重特征。具体而言,在金融危机的冲击下,相对于亚洲市场,中国股票市场与欧美市场之间的联动性有了更为显著的提高。并且,随着时间的推移,特别是中国经济一体化进程的逐渐深入,金融危机在中国的传染效应进一步被放大。
This paper constructs the composite index of economic integration from three dimensions which are real economy integration, financial economy integration and macroeconomic synchronization. Based on that, this paper applies the asymmetrical multivariate GARCH （M-GARCH） model to trace the time-varying correlations between and among the security markets in China, USA, U.K., France, Germany, Japan, Singapore and Hong Kong. Furthermore, the paper makes dynamic econometric analysis on the co^mections between the economic integration process and the financial crisis contagion. Empirical results show tha4 with the evolvement of China＇ s economic integration, the correlations of index returns between and among different security markets have greatly increased after the financial crisis, which means the financial crisis contagion in China has been intensified.
出处
《国际金融研究》
CSSCI
北大核心
2010年第1期89-96,共8页
Studies of International Finance
基金
国家自然科学基金重点项目“公司财务管理若干基础问题研究”(项目批准号:70632001)
国家统计科学研究计划项目“经济一体化统计测度及其对金融危机传染影响研究”(项目批准号:2009LY087)阶段性成果之一
