国际贸易网络与股价崩盘传染:竞争性货币贬值视角

Study on International Trade Network and the Contagion Effect of Stock Price Collapse——From the Perspective of Competitive Currency Devaluation

股价崩盘事件时有发生,并且存在明显跨市场传染性,加剧了股价崩盘的负面影响。本文以2000-2016年全球28个国家和地区股指为样本.通过构建国际贸易网络。实证检验国际间股市崩盘传染渠道与传染机制。研究显示:第一.股价崩盘会在存在重要进出口国际贸易关系国家、地区间传染,表现为国际贸易关系国家、地区崩盘频率会增加目标国家、地区股价崩盘频率:第二.本文构建的竞争性货币贬值传染机制分析框架显示.国际贸易关系国家、地区由于采取竞争性货币贬值措施导致股价崩盘发生传染。本文基于“雷曼兄弟”破产准自然实验检验,依然表明股价崩盘会在国际贸易关系国家、地区发生传染.竞争性货币贬值是重要传染机制。因此.在制定关键性汇率政策时需要证监会与央行等金融监管机构合作.提升整个资本市场防范风险能力。

The occurrence of stock price collapse has a significant cross market contagion effect,which aggravates the negative impact of the stock price collapse.Based on the index of 28countries or regions in the world between 2000and 2016,this paper empirically tests the contagion channel and mechanism of international stock market crash by constructing international trade network.Research shows that the contagion effect of stock crash exists in countries or regions with close international trade relations,reflected by the high frequency of stock price collapse of a country followed by the stock crash of its close trade partners.Analysis of competitive devaluation contagion mechanism framework constructed in this paper shows that competitive devaluations measures may lead to the contagion effect of stock price collapse in countries/regions with close international trade relations.Based on the test of quasi natural experiment of "Lehman Brothers"bankruptcy,the paper concludes that share price crash could be infected in the areas with close international trade relations,while competitive devaluation is an important mechanism of such infection.Therefore,in the formulation of the key exchange rate policy,the CSRC should cooperate with the central bank and other financial institutions to improve the risk prevention ability of the whole capital market.