摘要
世界性金融系统风险成为经济动荡的主要根源之一。本文选择具有代表性的6个样本国相关数据,采用时变Copula-GARCH模型,分析得出:2008年美国金融危机、2011年欧洲债务危机期间,危机国对其他国家具有显著的传染效应和冲击效应。中国金融市场在美国金融危机和欧洲债务危机中都受到了显著冲击,同时对其他国家也具有显著的溢出效应,特别是货币市场和外汇市场。因此,金融全球化下,金融传染加剧各国金融波动和系统性金融风险。为治理世界性金融系统风险,各国当局应加强政策协调性,合理进行风险分担,共同防范和化解金融风险。
The risk of the global financial system is one of the main causes of economic turmoil. Based on related data on six representative countries, the spectral analysis and time-varying Copula model arrive at the following conclusions： During the U.S. financial crisis in 2008 and the 2011 debt crisis in Europe, the crisis countries had significant contagion effects and im- pact effects on other countries. Thus, in the era of financial globalization, financial contagion lead~ to the synchronization of fi- nancial cycle fluctuations around the world, and the financial cycle synchronization further exacerbates financial contagion and systemic financial risks. To better governance of global financial system risks, international authorities should strengthen policy coordination and improve risk-sharing to jointly prevent and defuse financial risks.
出处
《中国经济问题》
CSSCI
北大核心
2014年第3期90-100,共11页
China Economic Studies
基金
国家社科基金重大项目(13&ZD030)的资助
关键词
金融波动
金融风险冲击
系统性金融风险
financial fluctuations
financial contagion
financial system risk
