摘要
为了更全面地了解我国金融风险现状,在传统下行风险溢出概念的基础上拓展出了上行风险溢出,并在利用时变Copula模型构建我国金融与实体行业间动态相依结构的基础上,运用动态广义△CoVaR方法对我国金融与实体行业之间的双向风险溢出效应进行测度。实证研究表明,金融与实体行业之间存在非对称的双向风险溢出效应,总体上实体行业对金融行业的风险溢出要高于金融行业对实体行业的风险溢出;实体行业对金融行业的风险溢出更加稳定,而金融行业对实体行业的风险溢出效应对经济坏境变化更为敏感;金融与实体行业之间的下行风险溢出程度普遍高于上行风险溢出程度,但均存在反向风险溢出的现象。
To investigate the current situation of financial risk in China more comprehensively,this paper extends the upside risk spillover effect based on the traditional downside risk spillover effect.Then the time-varying Copula models are used to construct the dynamic interdependence structure between China’s financial and real sectors.On this basis,the dynamic generalized delta CoVaR approach is utilized to measure the two-way risk spillover effect between China’s financial and real sectors.Empirical research shows that there is an asymmetric risk spillover effect between financial and real sectors.Generally,the risk spillover effect from real sectors to finance is higher than that from finance to real sectors.In addition,the risk spillover effect from real sectors to the financial sector is more stable,while that from finance to real sector is more sensitive to economy.Moreover,the downside risk spillovers between financial and real sectors are generally higher than the upside risk spillovers,while there are reverse risk spillovers.
作者
曹洁
雷良海
CAO Jie;LEI Liang-hai(Business School,University of Shanghai for Science and Technology, Shanghai 200093,China;School of Mathematics and Statistics,Yancheng Teachers University, Yancheng 224002,China)
出处
《系统工程》
CSSCI
北大核心
2019年第3期122-131,共10页
Systems Engineering
基金
上海市软科学研究计划项目(18692103000)
上海市科学技术委员会软科学重点课题(16692100300)
