摘要
金融子市场间的联动效应及风险传染是系统性金融风险关注的重点所在,尤其是极端条件下的金融子市场风险溢出效应。应用Copula函数构造股票市场和外汇市场间的相依结构,并以此为基础,应用CoVaR方法分析股票市场和外汇市场之间的极端风险溢出效应。检验结果表明,汇率与股价具有双向的风险溢出效应,且二者之间存在负相关关系。不同金融子市场的上行风险和下行风险的溢出效应影响程度不同,股票市场和外汇市场的上行风险和下行风险的溢出效应显著差异,股价上行风险的溢出效应要大于下行风险的溢出效应,而汇率的贬值风险溢出效应要大于升值风险。因此,在金融风险预警体系中需构建股票市场和外汇市场的关联指标,以监控防范金融市场间的风险传递,并根据经济发展阶段所能承受风险的能力设定预警指标变动的置信区间。并根据非对称性,差异对待股票市场和外汇市场的风险监控重点,实行有效的风险防控及管理。
The linkage effect and risk contagion among financial sub-markets are the focus of systemic financial risk, especially the risk spiUover effect under extreme conditions. Copula function is used to construct the interdependent structure between stock market and foreign exchange market, and CoVaR method is used to analyze the extreme risk spillover effect between stock market and foreign exchange market. The test results show that exchange rate and stock price have two-way risk spillover effect, and there is a negative correlation between them. The upstream and downstream risk spillover effects of different financial sub-markets are different. The upstream and downstream risk spillover effects of stock market and foreign exchange market are significantly different. The upstream risk spillover effect of stock price is greater than the downstream risk effect, while the devaluation risk spillover effect of exchange rate is greater than the appreciation risk effect. Therefore, in the financial risk early warning system, it is necessary to construet the correlation index between the stock market and the foreign exchange market to monitor and guard against the risk transmission between the financial markets and set the confidence interval of the change of the early warning index according to the ability of the economic development stage. And according to the asymmetry, it is necessary to treat differently the monitoring focus of the stock market and foreign exchange market risk and implement effectively risk prevention and control and management.
作者
张艾莲
靳雨佳
Zhang Ailian1;Jin Yujia2
出处
《财经科学》
CSSCI
北大核心
2018年第10期1-11,共11页
Finance & Economics
基金
国家社会科学基金项目“金融市场开放环境下的金融风险生成逻辑、风险测度和防范机制研究”(18BJY232)的资助
