摘要
本文利用动态条件相关多元GARCH模型(即DCC-MGARCH模型)对有关市场数据进行动态相关性分析,并紧密结合对经验事实的观察,探讨次贷危机爆发后美国与中国的金融市场和世界主要商品市场——石油市场的动态变化机理,揭示危机在不同的金融市场之间、商品市场之间以及与实体经济之间,通过资本流动、信息传递以及投资者心理和预期变化来传导的动态传染机制,特别是危机对中国金融经济的影响机制和表现。
This paper explores the dynamic change mechanism between the financial market of American and China and the mainly commodity market--crude oil market after the outbreak of sub-prime mortgage crisis by using DCC-MGARCH model to analyze the dynamic correlation of some market data. Based on the investigations of the empirical facts, the paper reveals the dynamic infection mechanism of crisis between the different markets, such as the financial market, the commodity market and real economy, which moves through capital flow, information transmission and the change of the investors＂ mental and anticipation. Especially, it studies the mechanism under which the crisis acts on the economy and finance of China.
出处
《管理评论》
CSSCI
北大核心
2009年第2期13-20,共8页
Management Review
基金
国家杰出青年科学基金项目资助(70825006)
国家社会科学基金项目资助(06BJY044)。
