金融危机以来国内金融市场风险传导机制研究——基于偏t-APARCH模型的实证分析

A Research on the Risk Transmission Mechanism in Domestic Financial Market after Crisis: Empirical Analysis on APARCH Model with Skewed-t Distributions

基于金融市场波动有偏、尖峰、厚尾的特征,利用有偏t分布APARCH模型和Granger因果关系检验,对我国债券市场、股票市场、外汇市场和货币市场之间的风险传导问题进行考察。研究结果显示:在上涨和下跌阶段,各金融市场的风险传导能力具有个体差异;债券市场、股票市场和货币市场在上涨和下跌阶段具有非常强烈的风险传导能力;外汇市场在上涨阶段对其他市场不具有显著的风险传导能力,而在下跌阶段,对所有市场均具有风险传导能力;从整体上看,我国金融市场在下跌阶段的风险传导能力要强于上涨阶段的风险传导能力。

Based on the feature of skewed and fat-tailed distributions, this paper investigates the risk transmission mechanism of bond market, stock market, foreign exchange market and money market based on the skewed-t APARCK model and Granger inspection. The research result shows that risk transmission capacity of different markets is different at the period of rising and falling. Bond market, stock market, and money market have risk transmission capacity, on the contrary, foreign exchange market doesn＇t have the risk transmission capacity at the period of rising, but it has the risk transmission capacity at the period of falling. Wholly speaking, the risk transmission capacity of financial markets at the falling period is more powerful than that at the rising period.