摘要
本文以2017年至2021年G20国家金融市场为研究对象,在利用CAViaR模型对金融市场尾部风险进行准确测度的基础上,基于Granger因果关系网络模型和滚动估计法,分别从静态和动态两个维度刻画不同国家间金融市场尾部风险的跨市场传染路径及影响机制。研究结果表明,以COVID-19为代表的重大突发性公共事件加剧了金融市场间风险的传染,疫情发生后全球金融市场间尾部风险溢出水平显著上升,发达国家通过其股票市场影响其他国家金融市场稳定,而发展中国家则通过其债券市场形成风险溢出。动态分析结果表明,发达国家股票市场和外汇市场尾部风险冲击成为引发我国股票市场波动的重要诱因之一,而发展中国家债券市场尾部风险则同时影响我国股票市场和外汇市场。我国金融市场尾部风险主要通过外汇市场对其他国家的股票市场产生冲击,形成较高水平的风险溢出。在考虑新冠肺炎疫情期间不同类型新冠病毒变异毒株影响下金融市场系统性风险及其冲击的演化特征时,本文发现新冠肺炎疫情初期G20成员国各金融市场间的联动性显著高于德尔塔变异毒株时期和奥密克戎变异毒株时期,并且G20成员国金融市场尾部风险对我国金融市场的冲击在新冠肺炎疫情初期及新冠病毒变异毒株发现初期较为明显,而其他时期并未发生显著性变化。
Based on the financial data of G20 countries between 2017 and 2020,this paper measures the systemic risk of different financial markets by employing the CAVia R model,and investigates the systemic risks’cross-market contagion channels based on the Granger causality network analysis and rolling window estimation.Our findings indicate that COVID-19 Pandemic strengths the systemic risk contagion between different financial markets and the spillover effect of systemic risk increased significantly after the COVID-19 Pandemic.For developed countries,systemic risk transmitted through stock market,but through bond market for developing countries.The results of dynamic analysis confirm that the systemic risk of stock market and exchange rate market in developed countries is the main driver of the Chinese stock market volatility,and the bond markets’systemic risk of developing countries has significant impact on Chinese stock market and exchange rate market.The systemic risk in Chinese exchange rate market has significantly influence on other countries’stock markets.Considering the varying of systemic risk and the spillover effect of different financial markets under different coronavirus variants,the results show the systemic risk and spillover effect are significantly higher at the beginning of COVID-19 Pandemic than during the Delta and Omicron periods,and the spillover effects of G20 financial markets to Chinese financial markets only significantly change at the beginning of COVID-19 Pandemic and at the identification of new coronavirus variants.
作者
李绍芳
李方圆
刘晓星
LI Shaofang;LI Fangyuan;LIU Xiaoxing(Faculty of Economics and Management,Southeast University,Nanjing 210096 China)
出处
《金融评论》
CSSCI
北大核心
2022年第3期1-38,124,共39页
Chinese Review of Financial Studies
基金
国家自然科学基金青年项目《异质信念与资产价格行为:关联机制及其模型构建》(项目批准号:71801040),国家自然科学基金面上项目《流动性循环与金融系统安全》(项目批准号:72173018)
中央高校基本科研业务费专项资金(项目批准号:2242022S20018)的资助。
