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。

The Study on the Contagion Effect of Financial Assets Based on Copula Method

With the improvement of the international economy integration,the interdependence among international financial markets is higher after a shock to one country and the contagion effect of economic risks becomes increasingly striking.So,empirical study was made on the multivariate correlation structure and the correlation of changes in tail and contagion effect of subprime mortgage crisis after the financial crisis by Copula function and nonparametric estimation after t-GARCH(1,1) model filtering time series.The empirical results show that the correlation significantly strengthened among the S & P index and representative of the Asian stock markets Index in the subprime mortgage crisis and subprime mortgage crisis contagion effect exists.