摘要
国际金融危机提醒我们金融风险传播对经济的破坏力,金融风险可以在国际之间传播,也可以在金融市场之间传染。样本选择中国债券市场、外汇市场和股票市场数据,利用HP滤波的方式得出各市场的风险指数,构建VEC模型,分析各金融市场之间的传染效应。结果表明中国金融市场之间有着明显的风险传染效应,且不同金融市场的传染效应和贡献度不尽相同。
The international financial crisis reminds us that the transmission of financial risk has huge damage to the economy. The financial risks can contagion internationally, and also it can spread between the financial markets. This paper chooses the data from China debt market, ex- change market and stock market. We use the HP filter method calculate the markets＇ risk index, and make the VEC model to analyze the contagion effects between the financial markets. The re sults show that there are obvious contagion effects in China＇ s financial markets~ and different mar- kets display different contagion effects and contributions.
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2012年第7期20-27,36,共9页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
国家社会科学基金重点资助项目(08AJY021)
