金砖国家金融市场极端风险的净传染效应——基于空间计量分析

Research on the Pure Contagion of Financial Market's Extreme Risk among BRICS Countries Based on Spatial Econometrics

在经济全球化及金融自由化背景下,各国金融市场极端事件频频爆发,由于投资主体的非理性预期、恐慌心理蔓延、资产抛售的羊群行为等所造成的极端风险净传染,最终会导致不同国家金融市场表现出过度协同效应。文章首先从国家组群视角探究金融市场极端风险溢出的净传染机理,然后构建基于空间地理距离和经济-制度相似性两类空间权重矩阵的空间面板模型,最后将2006年至2013年样本数据分为四个阶段实证检验金砖国家之间是否存在金融市场极端风险净传染现象。研究结果表明:在面临发达国家极端金融风险源的冲击下,由于国际金融市场恐慌心理传播导致的投资者信心丧失、主观预期反转、风险偏好变迁造成对金融资产的羊群式抛售行为,金砖国家间金融市场极端风险可能存在净传染效应,但不同阶段结果会有所区别。具体来说,第一阶段只表现出基于空间地理关系造成的净传染,在第三阶段基于空间地理关系和经济、制度相似性造成的金砖国家间金融市场极端风险的净传染均存在,而在第二、四阶段并不存在基于空间距离、经济制度相似性所带来的金融市场极端风险的净传染现象。

Under the background of world trade integration and financial liberalization, the financial markets in different countries show excessive coordination after the outbreak of extreme events. This is mainly due to the pure contagion caused by investors＇ change of psychological expectations, risk appetite, panic spread, and herd behaviors. The paper constructs a spatial error model based on two kinds of spatial weight matrix to test the existence of the pure contagion of the risk sources among the BRICS. The results show that there exists the pure contagion of extreme risk in the financial markets among the BRICS in the first stage of the geographical relationship based on space and the third stage caused by spatial relation and economic system similarity. However, the pure contagion caused by these factors does not exist in the second and fourth stages.