| 国际金融危机:直向性传染到交叉性传染的动态效应分析 |
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| 引用本文： | 李成,王建军. 国际金融危机:直向性传染到交叉性传染的动态效应分析[J]. 财经科学, 2009, 0(6) |
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| 作者姓名： | 李成 王建军 |
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| 作者单位： | 1. 西安交通大学经济与金融学院金融系,西安,710061
2. 西安交通大学经济与金融学院,西安,710061 |
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| 基金项目： | 教育部国际金融危机应对研究应急课题 |
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| 摘 要： | 本文用VAR系统检验金融危机的传染.通过对5国摩根史丹利MSCI指教的Granger因果关系检验和脉冲响应函数检验分析金融危机的传染效应,得出结论:金融危机前的平稳期美国与其他4国间保持单向因果关系;金融危机爆发后美国与这些国家建立双向因果关系,危机传染存在反馈机制;金融危机在国家间的交叉传染导致危机程度不断加深;脉冲响应函微检验验证了危机传染的动态效应即美国全融市场对其他国家的冲击强度加大,持续时间增加.
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| 关 键 词： | 金融危机三阶段 危机交叉传染 危机反馈机制 VAR模型 |
International financial crisis: Analysis on the dynamic effects from the direct contagion stage to the cross contagion stage |
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| Li Cheng,Wang Jianjun. International financial crisis: Analysis on the dynamic effects from the direct contagion stage to the cross contagion stage[J]. Finance and Economics, 2009, 0(6) |
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| Authors: | Li Cheng Wang Jianjun |
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| Affiliation: | Li Cheng1 Wang Jianjun2 |
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| Abstract: | This article uses VAR system to test the financial crisis contagion.Through granger causality test and impulse response function to analyze the Morgan Stanley MSCI index of five countries in the world for the world financial crisis contagion effects,this article draws the conclusion that: in the stable pre-crisis period there are only one-way causal relationship between the United States and the other four countries;after the outbreak of the crisis they quickly establish two-way causal relationship between ... |
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| Keywords: | Three stages of the financial crisis Cross-contagion of the crisis Feedback mechanism of the crisis VAR model |
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