重大风险事件下全球股票市场风险传染效应研究

文章利用前沿的Elastic Net-VAR模型，考察在不同重大风险事件背景下全球股票市场的风险传染效应，并结合正交分解法和MQ贡献度指标，分析比较实体经济、市场预期、经济政策与跨市场传染等因素对全球股票市场风险传染效应的异质性影响。研究结论如下：在重大风险事件的冲击下，全球股票市场风险网络关联度更紧密，风险传染的地理集聚效应更显著，同时，资本开放水平较高的发达市场对新兴市场的风险输出能力明显增强；全球股票市场风险传染总效应在新冠疫情时期达到历史峰值，且全球股票市场隐含波动性对该峰值的形成具有前瞻性；实体经济因素在国际金融危机时期和欧债危机时期贡献度最高，市场预期因素在正常时期和中美贸易摩擦时期影响最大，经济政策与跨市场传染因素在新冠疫情时期影响最大。     

金融危机传染机制及其防范对策研究

当前,美国金融危机正在向其它国家蔓延,尽管危机传染渠道很多,但金融市场所固有的特性决定了其在危机扩散中起重要作用.随着我国加入WTO后过渡期的结束,我国资本市场会进一步开放,届时,各种传染路径在我国将有现实的土壤.为此,我国应未雨绸缪,积极进行前瞻性研究,构建稳健的银行和金融危机预警体系.同时,宏观经济管理层要能够迅速跟踪危机国和本国经济的变化,梳理出本国与危机国可能存在的联系,并对危机的传染途径做出正确的判断,力求在各个方面切断危机的传染途径,以减少市场预期的负面影响.     

金融危机传染机制探究——以欧债危机为例

随着国际间经济交流的日益频繁,一国爆发金融危机的风险越来越大,随之而来的则是危机通过各种渠道传染蔓延开来,给世界经济带来严重损害。本文以欧债危机为例,研究了金融危机传染的机制,以对我们在防范危机传染的实践作出指导。     

我国商业银行流动性风险控制模型的几点分析

金融危机的传染效应是指一个市场由于宏观经济波动而导致的金融市场流动性的缺乏,从而使另一个与其有密切金融联系包括通过直接投资、银行贷款、资本市场渠道等建立起来的各种金融联系的市场流动性缺乏,从而引发另外一国（或地区）危机的爆发.金融危机的传染可以发生在国与国之间（或地区与地区之间）,也可以发生在银行与银行之间.通常在不影响其它地区经济基础或者在与其它地区没有直接经济联系的条件下,仅仅通过预期、投资者对市场评价的变化等因素也会导致金融危机传染的爆发.本文以我国商业银行为研究对象,探讨了金融危机在银行间传染的机制.并对我国商业银行市场化改革中金融风险的控制提出了一些建议.     

资本账户开放与金融危机传染相关性分析——基于国际的比较研究

金融危机传染机制分析是国际金融研究中的重要问题之一。20世纪90年代以来有关资本账户开放与金融危机传染相关性问题引起学界广泛关注。通过对已有文献中关于金融危机传染机制的分析可知．资本账户开放与金融危机传染之间存在正相关性。对我国而言，需加强对短期投机资金流动的监管，谨慎稳妥地推进资本账户开放，采取各种措施预防和减弱国际金融危机传染。     

复杂网络的银行危机传染分析

本文通过对银行危机传染含义及形式进行简要分析，并提出银行危机传染应对措施，希望对银行危机传染研究提供一定的参考依据。     

商业银行金融产品创新的风险传染链网分析

2007年夏天爆发的次贷风波演化为了一场席卷全球的金融危机,至今世界经济尚未从次贷危机中复苏。起始于次贷危机的金融危机向世人展示了金融领域风险积累、风险传染和风险释放对实体经济的深远影响。     

金融风暴对中国经济影响的效应分析及研究

金融风暴通过贸易传染效应、金融传染效应、实体经济传染效应等三种途径由国外传导、蔓延到中国,通过传染效应的分析,研究和探寻出相应的对策或经济策略,这对我国经济健康、稳定、可持续的发展具有重要的现实意义。     

美元霸权的危机转嫁机制研究——一个简单的数理模型

本文借助最优货币危机模型的推演方法,以美元霸权和影子银行为前提,构造了关国次贷危机向世界其他国家转嫁的数理模型,试图解释美国次贷危机的国际传染机制,并揭示美国如何将风险和危机转嫁给全世界。以此为基础,本文总结了相应的启示。     

我国银行同业拆借市场“传染”风险的实证研究

本文使用矩阵法模型模拟我国银行同业风险头寸分布状况,估计了银行体系内的“传染”风险。结果表明:(1)银行同业资产和负债都与银行的类型和规模相关,国有银行的同业头寸占全部同业头寸的70%以上,但其同业资产占比有逐年下降趋势;(2)银行体系内风险传染的概率非常低,同时风险传染的概率及其导致的损失在逐年下降;(3)如果考虑银行预期和银行安全网对传染风险的降低作用,危机传染的风险甚至会降至零;(4)对“传染”风险的估计也存在低估的可能,同时银行同业拆借市场的“传染”风险正在从银行同业之间向银行与其他金融机构尤其是证券公司之间扩散。     

基于Copula理论的金融资产传染效应研究

某一突发性金融事件可能使整个金融市场间的联动程度显著增强,并对一定区域乃至世界范围的经济体系产生传染效应。对此,采用Copula函数方法,通过t-GARCH(1,1)模型对资产收益时序进行过滤,运用非参数估计,分析多变量之间相关结构及尾部相关性的变化进而考察变量间的传染效应。通过对美国次贷危机前后多国证券市场的实证分析,结果表明次贷危机后,美国标准普尔指数与代表性的亚洲证券市场间的联动性显著加强,次贷危机对亚洲股市存在传染效应。     

银行危机传导机制的理论分析

了解传导机制可以为阻断危机蔓延提供科学依据,本文从危机传导的基本内涵入手,分析了银行危机传导的诱因——银行脆弱性,提出金融脆弱性是银行危机传导的根本原因。本文在银行危机传导传统定义的基础上重新界定了该概念,分析了银行危机传导的途径,认为金融脆弱性是银行危机传导的重要媒介,防止银行危机传导的根本措施是提高银行的稳健性。     

Financial market crisis and financial market channel

Before a new financial architecture can be established in the wake of the financial crisis, the increasing importance of the global financial market channel must be fully understood. This importance was illustrated by the unexpectedly strong dampening effects of the financial crisis on the real economy and by the worldwide contagion of the crisis, including its spreading to emerging market economies that were macroeconomically stable. This article argues that the financial sphere is gaining in importance over the real sphere and that the impact of global financial determinants on economic activity is growing ever stronger. The keys to dealing with this change are greater transparency, stronger incentive structures and a stronger regulatory and supervisory framework.     

Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009–15

Over the period between end‐2009 and end‐2015, Greece experienced two discernible financial crises. This paper undertakes a correlation analysis of risk premia to investigate the nature and extent of contagion from these crises to other selected Eurozone countries. A commonly expressed view is that the effects of the second crisis were more muted since the systemic risks were seen by markets as being lower. However, using a rolling correlation model, a Dynamic Conditional Correlation GARCH (DCC‐GARCH) model and a t‐copula model we find that this is not the case. Broadly speaking, the contagion effects of the second crisis were at least as large as those associated with the first one.     

Guilty by association: The risk of crisis contagion

Crisis contagion, or how a crisis spreads from one company to another, has received very little attention from researchers. This is surprising as the negative consequences of crisis contagion can be significant when customers make assumptions of guilt by association. This article focuses on this important issue and describes four risk factors—country of origin, industry, organizational type, and positioning strategy—that increase the likelihood of crisis contagion. Valuable guidance is also provided on whether a company should issue a denial or remain silent if it faces the risk of crisis contagion.     

Shift‐contagion Vulnerability in the MENA Stock Markets

As part of a broader financial development reform agenda, the Middle East and North Africa (MENA) countries have successfully expanded and revitalised their stock markets over the last decade. Whereas previous contributions have investigated efficiency, international integration and portfolio diversification opportunities, very little is known about these markets’ vulnerability to external financial crises. In this paper, we investigate shift‐contagion to the MENA region using a comprehensive battery of econometric tests for a number of different crises episodes: the 1997 Asian crisis, the 1998 Russian virus and its Brazilian sequel, the 2000 Turkish collapse, the 9/11 turmoil, the 2001 Argentinean crisis, the 2002 Enron/WorldCom scandal and the 2007–09 global financial crisis. We found that Turkey, Israel and Jordan were the most vulnerable markets over the 1997–2009 period, followed by Tunisia, Morocco, Egypt and Lebanon. Our results also highlight heterogeneous but increasing levels of sensitivity to external financial shocks, especially during the recent global financial crisis. From a financial point of view, this suggests that MENA‐based diversification strategies may be relatively inefficient during periods of global turmoil. From an economic point of view, our results suggest that stock market development also involves potential destabilisation costs. This issue should be acknowledged and addressed by policymakers if these countries are to ensure a smooth transition towards international financial integration.     

Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis

We compare sovereign bond spreads during the international financial crisis across groups drawn from 43 countries, including 20 emerging economies. We extend traditional factor analyses and utilize propensity score matching to select a non-crisis sample for comparison with the crisis sample that is more robust to exogenous crisis dating. We find minimal changes over the crisis period in the average spreads of local-currency-denominated emerging market bonds. In contrast, the spreads of peripheral Eurozone sovereign bonds increased by large amounts and were subject to sovereign risk contagion.     

次贷危机之于中国:成因、影响及启示

种种迹象表明,美国次贷危机引发的全球金融危机远未结束,国际金融动荡将继续波动不稳.尽管我国金融市场相对封闭,开放程度不是很高,但是,此次美国次贷危机对我国金融市场产生的影响也不容小觑.我国政府应强化金融风险意识,在经济增长过程中必须控制风险;加强对房贷业务的管理,稳健发展房贷市场;积极稳妥地推进金融创新,加强对金融衍生产品的风险管理,在推进金融创新中提升风险管理能力;建立完善的信息披露机制,规范贷款业务,提高我国监管部门的风险判断能力和监管能力.