摘要
选取国民经济中支柱行业2002年1月~2017年7月股票市场数据,通过滚动时间窗的方法计算动态在险价值(VaR)作为行业市场风险指标,构建混合R-Vine Copula模型研究美国次贷危机、欧洲主权债务危机前后行业市场风险传染效应。研究结果表明,不同时期行业市场风险相依结构存在差异,各个时期行业市场风险传染网络中心点发生转移;两次危机期间行业市场风险存在非线性相依结构特征,与危机前期相比,美国次贷危机、欧洲主权债务危机和危机后时期个别行业市场风险出现不同程度的上尾相依性;行业间市场风险传染效应存在"隔离行业",即在已知一定的行业市场风险水平状况下,目标行业市场风险相依性有所减弱;外部市场负向冲击对中国行业风险传染效应具有一定的时滞性。
This study used stock market data of pillar industries in the national economy from January 2002 to July 2017 as a basis of research. The rolling -window method was adopted to cal- culate the dynamic value at risk （VaR）, which was utilized as an indicator of industry market risk. The R-Vine Copula model was introduced to study the risk contagion effect among industrial markets prior to and following the United States subprime mortgage crisis and the European sovereign debt crisis, respectively. The results revealed that the dependence structure of risks in industry markets differed according to time;specifically, the center of the risk contagion network shifted with each period. There was a nonlinear dependence structure of risk during the two crises. Compared to the pre-crises period,the US subprime mortgage crisis period, European sovereign debt crisis period, and the post-crises period showed different levels of upper-tail depend- ence with market risk in certain industries. Further, there appeared to be ＂isolated industries＂ during the risk contagion process. Specifically, when market risk in a given industry is identified, the risk dependence of the target industry tended to be weakened. External markets were found to have a lagged negative impact on the risk contagion effect among industries in China.
作者
侯仲凯
何卓静
周利国
Hou Zhongkai;He Zhuojing;Zhou Liguo(School of Finance and Economics, Tibet University, Lhasa, Tibet 850001, China;Business School, Central University of Finance and Economics, Beijing 100081, China)
出处
《金融经济学研究》
CSSCI
北大核心
2018年第2期71-83,共13页
Financial Economics Research
基金
教育部人文社科研究项目(17XZJC790001)
西藏自治区自然科学基金青年项目(2016ZR-TU-09)
西藏自治区哲学社会科学专项资金项目(17CJY003)
2015年中西部高校综合实力提升西藏大学中青年教师队伍建设项目
关键词
市场风险
风险传染
金融危机
market risk
risk contagion
financial crisis
