| 美国金融危机对我国股市的传染渠道及效应——基于VAR模型和BEKK模型的检验 |
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| 引用本文： | 谢志超,邓翔.美国金融危机对我国股市的传染渠道及效应——基于VAR模型和BEKK模型的检验[J].山西财经大学学报,2012(1):32-40. |
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| 作者姓名： | 谢志超 邓翔 |
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| 作者单位： | 四川大学经济学院 |
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| 基金项目： | 国家社科基金项目“美国金融危机对中国的影响及应对措施研究”(09BJY002);国家自然科学基金项目“中国物价调整和变动的微观证据与特征分析”(71173149);四川大学985工程项目“经济发展与管理创新研究基地” |
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| 摘 要： | 采用VAR和BEKK模型研究了美国金融危机前后美国股票市场、货币市场、汇率市场与我国股市收益率之间的均值及波动溢出效应,并通过对比危机前后溢出效应的变化,分析了其是否对我国股市产生了传染效应。研究发现,通过美国股市、货币市场和汇率市场,金融危机对我国股市收益率均值水平的传染效应显著,仅通过美国货币市场金融危机对我国股市波动性的传染效应显著。
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| 关 键 词： | 美国金融危机 传导渠道 传染效应 |
The Contagion Channels and Effects of U.S.Financial Crisis to Chinese Stock Market——Based on the Testing of VAR and BEKK Approaches |
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| XIE Zhi-chao,DENG Xiang.The Contagion Channels and Effects of U.S.Financial Crisis to Chinese Stock Market——Based on the Testing of VAR and BEKK Approaches[J].Journal of Shanxi Finance and Economics University,2012(1):32-40. |
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| Authors: | XIE Zhi-chao DENG Xiang |
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| Institution: | 1.School of economics,Nianjing,Nanjing University,Nanjing 210093;2.School of management,Fuzhou University,350408 China) |
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| Abstract: | U.S.financial crisis has an impact on Chinese stock market by some transmission channels.By comparing the degree of change of spillover effects before and after crisis,the impact of U.S.financial crisis on Chinese stock market through spillover effects is analyzed.As the results,the contagion effect of the crisis on Chinese stock market average yield levels is significant in the U.S.interbank market,stock market and exchange market.The contagion effect on Chinese stock market volatility is significant only in the U.S.interbank market. |
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| Keywords: | U S financial crisis transmission channels contagion effects |
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