新兴市场国家金融风险传染性研究

Research on the Financial Contagion Risks in Emerging Markets and the Policy Implication of Macro-prudential Supervision

本文选取12个新兴市场国家1997年至2009年的月度数据,运用金融压力指数和面板VAR模型研究主要金融领域风险的传染性及其对宏观审慎监管的政策含义。主要结论是:新兴市场国家各金融市场间普遍存在金融压力的传染性;金融压力的传染性突出体现在危机阶段,稳定期则不显著;外汇市场压力的溢出效应最普遍,银行系统压力的溢出效应最弱。最后,本文就主要研究结论对宏观审慎监管的政策含义进行了阐释。

The contagious effects of financial risks among different financial areas, such as foreign exchange market, bank system, stock market and bond market, are analyzed based on the data of twelve Newly Emerging Markets during the period between 1997 and 2009 using the financial stress index and the .panel VAR. Some results are achieved as followed： the contagious effects exist universally among the financial areas in the Newly Emerging Countries; the contagious effects of financial stress are significant in the crisis period, but not significant in the stable period; the foreign exchange market pressure has comprehensive contagious effect on all the other financial areas; the bank system pressure has very limited contagious effect on other financial areas. In the end, the policy significance of the results for the macro-prudential supervision is interpreted.