摘要
本文以中美股票指数和债券指数(包括总债券、国债和企业债)数据为研究样本,基于多元多分位数CAViaR(即MVMQ-CAViaR)模型研究了中美股票市场和债券市场在不同市态下(包括牛市、熊市和震荡)极端风险溢出效应,并使用分位数脉冲响应函数分析了市场冲击对不同市场尾部风险的动态影响过程。研究发现,中国股票和债券在早期的牛市和熊市中不存在显著的尾部风险溢出效应,相对分割的债券市场隔离了股票市场的风险传染,但随着金融改革的不断深化,股票和债券的极端风险传导效应在近年来得到加强;而美国股票和债券的互联互通程度相对较高,二者的尾部风险溢出关系随着债券的信用等级不同呈现出明显分化,其中企业债与股票始终保持显著的尾部风险溢出效应,而国债和股票只在熊市阶段维持这种溢出关系,符合"flight-toquality"现象。本文研究结论为加快推进我国债券市场的发展提供了重要理论依据和方向。
The interconnection among financial markets is the fundamental conditions for monetary policy implementation. Meanwhile, systemic risk result from cross-market spillover effects has attracted widespread attention of the policy makers and practitioners. As two important parts of capital markets, stock and bond markets are the main channels of asset allocation to the financial institutions. Faced with the current huge fluctuation in the domestic financial market, having a better understanding of the relationship between China＇s stock and bond markets not only contribute to dig into the intrinsic risk transmission mechanism of the two markets, but also beneficial to asset alloca- tion and risk management of large financial institutions, as well as financial regulation. Using the data of the stock indexes and bond indexes（ including aggregate bonds,government bonds and corporate bonds）about China and the USA, this paper adopts MVMQ-CAViaR model to study the tail risk spillover effect based on different stock market condition （including bull, bear and shock）. Furthermore, Quantile impulse response function is used to analyze the market shock＇s effect on the dynamic process of different markets＇ tail risk. The re- sults indicate that： （1） The stock market and the bond market in China have not significant tail risk spillover effect either in a bull or a bear market. More specifically, the tail risk stemmed from stock market can significantly spread to the bond market, while the tail risk of bond market cannot transmits to the stock market, which indicates relatively segmented bond market avoid the contagion of tail risk from stock market, But with the deregulation of financial policy and the rapid development of financial markets, the institutional investors can arbitrage and hedge in different markets segments, so the extreme risk transmission effect between stock and bond in recent years has become significant. （2） However, the invest restriction in US to all investors is relatively limited.
出处
《经济管理》
CSSCI
北大核心
2016年第7期1-13,共13页
Business and Management Journal ( BMJ )
关键词
尾部风险溢出
风险价值
多元分位数模型
股债关系
tail risk spillover
Value-at-Risk
multivariate quantile model
stock-bond relationship
