摘要
本文使用滑窗VAR模型构建多维度视角下金融压力内外部溢出效应的测度体系,研究我国主要金融市场与全球、美国、发达国家和新兴市场国家四维度下金融市场之间的动态传导效应。实证结果表明:国际市场与我国金融市场之间的压力传导具有时变性特征。前期主要集中在全球金融市场,中期主要来源于美国金融市场,后期则是新兴国家市场占据主导地位。此外,随着我国金融市场体系不断完善,我国金融压力集中于股票市场和债券市场进行内外部传导,外汇市场作用相对较小,而在汇改期间外汇市场作用相对显著。本研究揭示了我国与国际金融市场间压力溢出效应内外部传导渠道及其强弱特征,有利于提高系统性金融风险的防控能力,为金融监管相关政策提供数据支撑。
This paper uses the rolling window VAR model to build a measurement system of the internal and external spillover effects of financial pressure from a multi-dimensional perspective,which is used to study the dynamic transmission effects between China s major financial markets and the financial markets of the world,the United States,developed countries and emerging markets.The empirical results show that the pressure transmission between the international market and China s financial market has the characteristics of time variability.In the early stage,it was mainly concentrated in the global financial market,in the middle stage,it was mainly from the US financial market,and in the later stage,emerging countries dominated the market;In addition,with the continuous improvement of China s financial market system,China s financial pressure is concentrated on the stock market and bond market for internal and external transmission.The role of the foreign exchange market is relatively small,and the role of the foreign exchange market is relatively significant during the exchange reform period.This study reveals the internal and external transmission channels and their strong and weak characteristics of the pressure spillover effect between China and the international financial market,which is conducive to improving the prevention and control ability of systemic financial risks and providing data support for relevant policies of financial supervision.
作者
刘敏
秦彬彬
乐慧颖
LIU Min;QIN Bin-bin;LE Hui-ying(School of economics and management,Nanchang University;Jiluan College of Nanchang University)
出处
《当代金融研究》
2022年第9期1-17,共17页
Journal of Contemporary Financial Research
基金
国家社会科学基金一般项目“混频大数据下金融市场波动率预测及金融压力指数构建研究”(21BTJ028)
江西省高校人文社会科学研究项目“‘碳中和’目标下江西省金融机构气候环境风险评估与管理研究”(GL21228)。
关键词
滑窗VAR模型
内外部溢出测度
动态传导效应
Rolling Window VAR Model
Internal and External Spillover Measures
Dynamic Conduction Effect
