我国金融市场间溢出效应研究——基于四元VAR-GARCH(1,1)-BEKK模型的分析

Research on Spillover Effect within Financial Markets

汇率改革以来,政府实施了一系列金融市场改革,促使金融市场一体化程度显著提高,增强了金融市场间联系。本文采用四元VAR(6)-GARCH(1,1)-BEKK模型分析了我国主要金融市场(股票市场、债券市场、外汇市场以及货币市场)的溢出关系。研究发现,上述市场有很强的波动集聚性和持续性,大多数金融市场间存在显著的双向均值溢出,所有市场间均存在显著的双向波动溢出,还发现市场间溢出可能主要来自于市场传染效应。据此,本文认为政府应该采取合理有效的监管框架,监控金融市场参与者的资本金状况,防止金融市场大幅波动,降低风险累积程度,并在执行货币政策时,兼顾金融市场价格变化对货币政策执行效力的影响。

Since the reform of exchange rate system, government had implemented a series of reforms in financial markets, which improves the integration and strengthens the interlink within financial markets. We introduced VAR （6） GARCH （1, 1） BEKK model with four variables to analyze the spillover effect. The results show that there are strong volatility clustering and persistence, and significantly mutual mean and volatility spillover effect within financial markets, which may results from market contagion. So, government should adopt reasonable and effective supervisory framework to monitor investors＇ capital state and prevent substantial increase in volatility and risk accumulation within financial markets, and also should take into account the impact of the change of prices in financial markets on the monetary policy effect.