基于非参数时变Copula模型的美国次贷危机传染分析

Analysis of sub-prime loan crisis contagion based on non-parametric time-varying copula

金融危机传染分析是国际金融领域中的重要课题,本文对Copula变点检测方法进行推广,采用时变非参数阿基米德Copula模型检验金融危机传染的存在性及其变化趋势,以时变尾部相依系数的大小来度量危机传染程度,并结合系数的变化趋势和时间段对金融危机传染效应进行分析.最后选择全球六个主要股票市场指数和S&P500指数进行危机传染实证研究,得出次贷危机对不同国家或地区的传染效应有所差别.

The analysis of financial contagion has been always an important subject in international finance. In this paper, the existence and development of financial contagion is verified by time-varying Archimedean Cop- ula and applying the time-varying tail dependence coefficient to measure the degree of financial contagion. Fi- nally, an empirical analysis of S＆PSO0 index and other six primary stock market indexes is presented by the method above.