摘要
以2015年中国股市危机为背景,采用基于VAR的Granger因果检验研究中国金融市场中的因果关系与风险传导现象。研究发现危机中存在着货币市场与上证市场、货币市场与房地产市场间双向的风险传导结构;危机过后货币政策的影响力减弱,货币市场到上证市场、货币市场到房产市场的风险传导结构消失,房产市场的影响力逐渐显现出来。文章建议监管部门应监控金融风险的跨市场传导,减少风险传导对市场的危害性,建议投资者根据风险来源与传导结构的变化及时调整投资组合以降低风险。
This article studied the causality and risk contagion phenomenon in China’s financial market with the Granger causality test based on VAR under the background of the crash in China’s stock market in 2015.It found that there were two-way contagious structures between money market and the Shanghai Stock Exchange market,and between money market and real estate market during the crisis;and the impact of monetary policy weakened after the crisis,and the contagious structures disappeared from money market to the Shanghai Stock Exchange market and from money market to real estate market while the impact of real estate market gradually emerged.It suggests that regulators should monitor cross-market financial risk contagion to reduce the harmfulness to the market and investors should timely adjust portfolio to reduce risk according to the source of risk and the changes of contagious structure.
作者
张俊
李晶晶
ZHANG Jun;LI Jing-jing(College of Economics and Management,Tianjin University of Science and Technology,Tianjin 300222,China;Financial Engineering and Risk Management Research Center,Tianjin University of Science and Technology,Tianjin 300222,China)
出处
《天津商业大学学报》
2019年第1期25-29,47,共6页
Journal of Tianjin University of Commerce
基金
天津市哲学社会科学规划项目"金融风险的跨市场传导机制研究--基于时变Copula和复杂网络"(TJGL13-042)
