股票与外汇市场尾部风险的跨市场传染研究
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F831.5

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国家社会科学基金重大资助项目(17ZDA073)


Cross-market contagion effect on tail risks between stock markets and exchange markets
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    摘要:

    随着国际经济环境联系的日益紧密,防范尾部金融风险的快速扩散与跨市场传染成为了各国政府当局与学术界的重要议题.在此背景下,采用条件自回归风险价值模型,准确测度了全球45个主要国家(地区)股票市场与外汇市场的尾部风险.同时,从体制区间效应的角度进一步探讨在非线性框架下进行研究的合理性,深入考察各经济体内尾部风险跨市场的非线性传染.其次,从动态视角分析尾部金融风险在我国股市与汇市间的动态演变,以及美国金融风险的跨国传染情况.最后,基于多元多分位数条件自回归风险价值模型,具体量化了各经济体尾部风险传染的强度,并展开跨国、跨市场的比较与分析.在此基础上,针对加强我国系统性金融风险的防范体系及监管方向提出了若干建议,它将有助于改进系统性金融风险的测度指标、化解国际股票市场与外汇市场尾部风险的外溢冲击,为我国防范跨市场的交叉性金融风险、维护金融稳定提供理论分析与实证检验的参考依据.

    Abstract:

    As the international economic environment becomes increasingly connected,to prevent the rapid cross-market spreading of tail financial risks has become an important issue for governments and academia. In this context,this paper uses the CAViaR model to accurately measure the tail risks of the stock market and exchange market in 45 major countries and regions around the world. At the same time,this paper discusses the reliability of nonlinear framework research from the perspective of institutional interval effect,and further investigates the cross-market contagion of tail risks. In addition,the paper takes the transnational contagion between United States and China as an example,to examine the gradual evolution of tail financial risk transmission between the stock market and the exchange market from the perspective of dynamic analysis. Finally,this paper quantifies the intensity of tail risk contagion in economies based on MVMQ-CAViaR models,and conducts cross-country and cross-market comparisons and research. On this basis,this paper puts forward some suggestions for strengthening the prevention system and supervision direction of China’s systemic financial risks. It will help us to improve the measurement of systemic risk,to resolve the spillover impact of tail risks in the international stock market and exchange market,and to provide a reference for theoretical analysis and empirical testing for preventing cross-market financial risks and maintaining financial stability.

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杨子晖,陈雨恬,张平淼.股票与外汇市场尾部风险的跨市场传染研究[J].管理科学学报,2020,23(8):54~77

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  • 在线发布日期: 2021-10-25
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