摘要
基于格兰杰因果检验和网络分析法构建了我国金融市场关联性指标和风险溢出指标,并对两者进行比较分析,研究发现通过风险溢出指标能够更全面地刻画金融市场之间的风险传染机制.在此基础上,基于风险溢出指标,考察了我国主要金融市场间的风险传染机制,结果发现股票市场是我国金融风险的重要来源,且金融市场风险传染程度在金融市场异常波动期间明显上升.为此,进一步选取了几个系统性金融风险较高的金融市场异常波动阶段,识别金融市场异常波动的风险来源,结合当时的监管政策,研究发现部分监管政策在控制特定金融市场异常波动的同时也加剧了市场之间的风险传染.本研究旨在厘清系统性金融风险跨市场传染机制,分析金融市场异常波动的影响以及相应监管政策效果,对我国防范系统性金融风险和加强金融协调监管具有重要的参考价值.
Based on Granger causality test and network analysis,this paper constructs a connectedness index and a risk spillover index for major financial markets in China and makes a comparative analysis.The results show that risk contagion mechanism between financial markets can be more comprehensively described by the risk spillover index.On this basis,this paper describes the risk spillover relationship between the stock market,the bond market,the money market,the foreign exchange market and the real estate market.The results show that the degree of risk contagion in the financial markets significantly increases during abnormal fluctuations times.Therefore,this paper further selects several stages of abnormal financial market fluctuations with high systemic risks,and identifies the risk sources of abnormal financial market fluctuations considering the regulatory policies at that time.It is found that some regulatory policies not only controlled the abnormal fluctuations of specific financial markets,but also intensified the risk contagion between markets.The purpose of this paper is to clarify the contagion mechanism of systemic risk across the markets so as toprovide suggestions for preventing systemic risk and strengthening coordinated supervision over financial risk.
作者
周开国
季苏楠
杨海生
ZHOU Kai-guo;JI Su-nan;YANG Hai-sheng(Lingnan College,Sun Yat-sen University,Guangzhou 510275,China;School of Economics and Trade,Xinhua College of Sun Yat-sen University,Guangzhou 510520,China)
出处
《管理科学学报》
CSSCI
CSCD
北大核心
2021年第7期1-20,共20页
Journal of Management Sciences in China
基金
国家社会科学基金资助重大项目(20&ZD103)
国家自然科学基金资助项目(71721001)
广东省基础研究及应用研究资助重大项目(2017WZDXM037)
广东省自然科学基金资助项目(2019A1515012018,2021A1M5012647)
广东省软科学研究领域资助项目(2019A101002015)
2016年广东省特色重点学科“公共管理”建设资助项目
中山大学高校基本科研业务费专项资金资助项目(20wkzd10)
中山大学2019年“三大”建设文科重要成果培育专项资助项目
中山大学粤港澳发展研究院资助项目.
