摘要
跨市场风险传染是在金融工具创新和金融业务融合的过程中,金融风险跨越原有金融分业经营界限由某一金融机构、金融市场向其他金融机构和市场传导的机制。本文通过构造资本市场三大价格指数,利用格兰杰(Granger)因果关系检验、向量自回归模型(VAR模型)、方差分解和脉冲响应函数对次贷危机给我国资本市场带来的金融风险向银行体系传导进行实证分析,并得出股票市场风险的跨市场传染是资本市场金融风险向银行体系传导的主要形式,股票市场对信贷市场的影响时间更长,而股票市场对票据市场的冲击强度更大。
The contagion of cross - market risk is the mechanism that financial risk spreads from one financial institution or financial market to another financial institution or financial market during the process of financial instruments innovation and financial business integration. In this paper, we give out three major capital price index and make out empirical analysis on the financial risk contagion from the capital market to the banking system in China under the sub -prime mortgage crisis by using Granger causality test, Vector Auto -regression （VAR） model, variance decomposition and impulse response function, Finally,in this paper the conclusions are given that the cross - market contagion of stock market risk is the main form of financial risk transmission from capital market to the banking system, that the stock market affects the credit market longer and that the stock market impacts on the bill market more serious.
出处
《南昌大学学报（理科版）》
CAS
北大核心
2009年第6期551-556,共6页
Journal of Nanchang University(Natural Science)
基金
教育部人文社科重点研究基地南昌大学中国中部经济发展研究中心重点基金资助项目(08zbzx0003)
江西省教育厅高校人文社会科学研究基金资助项目(GL0934)
关键词
资本市场
银行体系
跨市场风险传染
实证研究
capital market
the banking system
cross -market risk contagion
empirical Study
