我国金融市场的风险溢出效应分析

Risk Spillover Effect of China's Financial Market

评估金融市场间的风险溢出效应对金融市场监管和深化我国金融市场改革具有重要意义。本文基于MVGARCH模型研究了股票市场、债券市场和期货市场间的风险溢出效应。结果表明,三个金融市场之间存在风险溢出效应,市场之间存在风险传递。由于风险溢出效应的存在,相关部门应加强金融市场监管和相关政策的协调性,以金融市场的全局视角进行政策设计,恰当选择政策实施时机,保证政策实施效果。

Assessing risk spillover between financial markets has important implications for financial market supervision and deepening the reform of China's financial market. The paper study the risk spillover between stock market,bond market and the futures market using MVGARCH model to. The results show that there is risk transfer between the three financial markets. The presence of risk spillover suggests that should strengthen financial market supervision and coordination of relevant policies to the global financial market perspective policy design,the timing of the implementation of appropriate policy options to ensure the effectiveness of policy implementation.