摘要
金融系统作为一个开放系统,其稳定性受到多个行业的影响.研究金融部门之间,以及金融部门与其他市场之间的传染机制对于维护金融体系的稳定性具有重要意义.使用在险价值(VaR)测度尾部风险,本文采用以时变TVP-VAR模型为基础的方差分解溢出指数框架研究了中国石油、黄金、房地产及四个金融部门之间的系统风险传染效应.研究结果表明:1)资产间总溢出指数(TSI)高达81.37%,表明尾部损失在金融系统中具有很强的传染性.2)石油和银行分别是系统冲击的最大净传递者和最大净接收者,房地产行业对银行部门具有最大的正向净溢出效应.3)市场波动率(VIX)和期限利差(TS)均对总溢出指数(TSI)具有很强的解释能力.投资者和监管机构应当充分重视股票与债券市场在系统风险预警中的重要作用.
As an open system,the stability of the financial system is affected by many markets.It is of great significance to study the infection mechanism between financial markets,or between financial departments and the other markets to maintain the stability of the financial system.This paper uses value at risk(VaR)to measure the tail risk,and investigates the risk contagion effects among China's crude oil,gold,real estate and four financial sectors,adopting the variance decomposition spillover index framework based on TVP-VAR model.The results indicate that:1)the total spillover index(TSI)among the analyzed assets is as high as 81.37%,suggesting that tail loss is highly infectious in the financial system.2)crude oil and bank are the largest net transmitter and the largest net receiver of the system shocks,respectively.The real estate industry has the largest positive net spillover effect on the banking sector.3)Market volatility(VIX)and term spread(TS)have strong explanatory ability to the total spillover index(TSI).Investors and regulators should pay full attention to the important role of stock and bond markets in systemic risk early warning.
作者
戴志锋
朱皓阳
尹华
DAI Zhifeng;ZHU Haoyang;YIN Hua(College of Mathematics and Statistics,Changsha University of Science and Technology,Changsha 410114,China;College of Business,Central South University,Changsha 410083,China)
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2022年第10期2603-2616,共14页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(72131011,71771030)
湖南省自然科学基金(2021JJ30025)
教育部人文社科基金(22YJA790011)。
关键词
系统风险
溢出效应
总溢出指数
在险价值
房地产
systemic risk
spillover effect
total spillover index
value at risk
real estate
