宏观经济信息发布对国际金融危机传染效应的影响研究

The Effects of Macroeconomic News on Financial Crisis Contagion

金融危机爆发后所伴随的跨市场间传染现象备受关注,其中信息渠道是金融危机传染的主要途径之一。为了检验宏观经济信息发布对于金融危机传染效应的影响,以不同市场股票指数收益率的共超数作为危机传染效应的度量,以投资者情绪、条件波动率溢出作为控制变量,采用两阶段估计方法建立了金融危机传染的分位数回归模型。通过追踪2007至2009年全球金融危机期间美国市场和英国市场的宏观经济事件进行实证研究,结果表明宏观经济信息发布后确实会加剧金融危机的传染效应,尤其对于下尾风险的扩散影响更为显著。

The inter-market contagion effect incurred by the global financial crisis has been a focus of financial study and it is found that information channel is one of the key channels that the crisis spread through. In this paper,we use the quantile regression technique along with coexceedance,a contagion measure,to assess the extent to which news events contribute to contagion in the stock markets during the crisis between 2007 and 2009. We include conditional volatility and investor sentiment as control variables in our model and use a two-stage approach to model the contagion effect. The empirical results indicate that the release of macroeconomic information indeed exacerbates contagion effect of the financial crisis and especially has a more significant influence for the lower tail risk diffusion.