摘要
运用GJR-BEKK-GARCH模型和风险溢出指数方法对中国2005年7月22日-2021年4月2日货币市场、股票市场、债券市场、外汇市场、房地产市场、黄金市场和大宗商品市场间的风险溢出效应及其非对称性做系统性分析。结果表明:金融市场间具有广泛而显著的双向风险溢出效应和非对称溢出效应,负向冲击引起的波动大于正向冲击;样本期间金融市场平均风险溢出指数为25.5%,风险溢出方向具有非对称性,房地产市场、商品市场和股票市场是风险的净溢出者,货币市场、债券市场、外汇市场和黄金市场是风险的净接受者;金融市场风险溢出指数具有时变性、波动性和不确定性,国内外重要政策颁布和风险事件爆发期间金融市场风险溢出效应明显加强。
Using GJR-BEKK-GARCH model and Risk Spillover index method,this paper makes a systematic analysis on the Risk Spillover Effect and its asymmetry among money market,stock market,bond market,foreign exchange market,real estate market,gold market and commodity market from July 22,2005 to April 2,2021.The results show that there are extensive and significant two-way Risk Spillover Effects and asymmetric spillover effects among financial markets,and the volatility caused by negative impact is greater than that caused by positive impact;during the sample period,the average risk spillover index of financial market is 25.5%,and the Risk Spillover direction is asymmetric.The real estate market,commodity market and stock market are the net risk spillovers,while the money market,bond market,foreign exchange market and gold market are the net risk recipients;the financial market risk spillover index is time-varying,volatile and uncertain.The financial market risk spillover effect is significantly strengthened during the promulgation of important policies and the outbreak of risk events at home and abroad.
作者
李博阳
杜强
沈悦
张嘉望
LI Boyang;DU Qiang;SHEN Yue;ZHANG Jiawang(School of Economics and Management,Chang’an University,Xi’an Shaanxi 710064,China;School of Economics and Finance,Xi’an Jiaotong University,Xi’an Shaanxi 710061,China;International Business School,Shaanxi Normal University,Xi’an Shaanxi 710119,China)
出处
《北京理工大学学报（社会科学版）》
CSSCI
北大核心
2021年第5期54-65,共12页
Journal of Beijing Institute of Technology：Social Sciences Edition
基金
国家社科基金重点项目(21AZD075)
中央高校基本科研项目(300102231658)
中国博士后科学基金面上项目(2021M692749)
教育部人文社科青年项目(21YJC630163)。
