中国金融系统风险溢出效应研究——基于溢出指数和波动溢出网络

文章基于溢出指数和波动溢出网络方法,从静态和动态分别度量我国金融系统不同子市场间的风险联动水平及变动趋势。研究结果表明,我国金融系统风险溢出效应整体水平较高,各市场间联动性较强;市场内部滞后效应大于市场之间溢出效应,两两有向溢出效应具有强不对称性;作为我国金融系统的风险中心,货币市场始终处于风险溢出方,但在金融危机时期,其对外风险溢出效应相对减弱,而大宗商品市场、资本市场、房地产市场等其余市场的风险溢出效应相对增强。值得注意的是,当前我国金融系统整体风险溢出水平较高,市场间风险相关性较强,需要进一步加强系统性风险的监测与防范。

Extreme Risk Spilloversin the Chinese Financial System: Based on the Spillover Index and Spillover Network

Exploring extreme risk spillovers among different financial markets is of great importance. This paper adopts methods of spillover indexes and the volatility spillover network to measure the characteristics of extreme risk spillovers between different sub-markets in the Chinese financial system both statically and dynamically. The empirical results indicate that, first, the overall level of risk spillover effects in the Chinese financial system is relatively high, and the inter-market linkages are strong; second, the inner-market hysteresis effects are greater than inter-market spillover effects, and the directional pairwise effects are strongly asymmetric; third, the monetary market plays the role of risk spillover center in the whole financial system. However, during the financial crisis, its risk spillover effects have relatively weakened while the risk spillover effects of other sub-markets such as the commodity market have relatively enhanced. It is worth noting that the current level of the overall risk spillover effects in the Chinese financial system is relatively high, and the inter-market risk correlation is relatively strong, which suggests that the authorities strengthen the monitoring and prevention of systemic risk.