基于美德经验的极端风险溢出效应检验

Extreme Risk Spillover Effect: the Empirical Test based on the United States and Germany Data

本文运用GARCH模型和主成分分析方法,从分析极端风险溢出机理出发,实证研究国际金融危机前后美国股票市场、债券市场及金银市场对德国股票市场的风险溢出效应,发现标准普尔500指数对德国法兰克福DAX指数日收率不仅存在极端风险溢出效应,且在金融危机前后的三个时期都存在风险溢出效应;而美国13周国债指数日收益率对德国法兰克福DAX指数日收益率在金融危机前后的三个时期都不存在风险溢出效应;费城金银指数的日收益率只在金融危机时期对德国法兰克福DAX指数日收益率产生风险溢出效应,即仅存在极端风险溢出效应。

Based on analyzing the mechanism of extreme risk spillover, this paper uses GARCH models and Principal Component Analysis （PCA） to empirically study the risk spillover effect from U. S. stock, bond and bullion market on Germany stock market before and after the financial crisis in 2008. S＆PSO0 index has extreme risk spillover effect on the daily return of Frankfurt DAX index, and the risk spillover effect exists in three periods before and after financial crisis. However, daily return of U. S. 13 weeks Treasury yield index has no risk spillover effect in these periods on the daily return of Frankfurt DAX index. And the risk spillover effect from daily return of Philadelphia Gold and Silver index on Frankfurt DAX index daily return only exists extreme riskspillover effect.