经济一体化进程会放大金融危机传染效应吗？-以中国为样本

Does the Economic Integration Process Enlarge the Contagion Effect of the Financial Crisis?

本文结合中国经济的发展轨迹和制度的沿革路径,从实体经济一体化、金融经济一体化、宏观经济趋同化三个维度构建中国经济一体化进程的综合评价指标体系。在此基础上,本文运用非对称多元GARCH模型捕捉中国与亚洲、欧美7个重要的资本市场资产价格的动态条件相关系数,从收益率传染的角度对中国经济一体化进程与金融危机传染二者之间的内在关联机制进行计量分析。实证研究发现,金融危机在中国的传染效应呈现出区域性和时变性的双重特征。具体而言,在金融危机的冲击下,相对于亚洲市场,中国股票市场与欧美市场之间的联动性有了更为显著的提高。并且,随着时间的推移,特别是中国经济一体化进程的逐渐深入,金融危机在中国的传染效应进一步被放大。

This paper constructs the composite index of economic integration from three dimensions which are real economy integration, financial economy integration and macroeconomic synchronization. Based on that, this paper applies the asymmetrical multivariate GARCH （M-GARCH） model to trace the time-varying correlations between and among the security markets in China, USA, U.K., France, Germany, Japan, Singapore and Hong Kong. Furthermore, the paper makes dynamic econometric analysis on the co^mections between the economic integration process and the financial crisis contagion. Empirical results show tha4 with the evolvement of China＇ s economic integration, the correlations of index returns between and among different security markets have greatly increased after the financial crisis, which means the financial crisis contagion in China has been intensified.