金融危机期间汇率风险传染研究

Contagion of exchange rate risk during financial crises

选取2000年—2016年欧元区国家、欧盟非欧元区国家、部分发达国家以及金砖五国等47个国家的货币汇率数据为样本,使用相关系数的费雪Z转换来检验次贷危机和欧洲主权债务危机的汇率风险传染效应,并将其进一步细分为净传染和转移传染两种类型.研究表明,两次金融危机爆发后,样本国家的外汇市场均出现大幅度震荡,但主要表现为汇率市场间的相互依赖关系,仅有少数国家货币汇率与传染源之间存在传染效应,其中,次贷危机期间转移传染效应明显,欧债危机期间净传染效应显著,可见实体经济间的联系和投资者心理预期对外汇市场的影响均较大.

Using exchange rate data of 47 countries which consists of Eurozone countries,non-euro EU countries,a few developed countries and BRICS countries from 2000 to 2016,this paper examines the existence of contagious effect of exchange rate risk with the method of Fisher Z transformation of the correlation coefficient.This paper further distinguishes the contagious effect into two types,pure contagion and shift contagion.The results show that there are sharp fluctuations in almost all the foreign exchange markets after subprime crisis and European sovereign debt crisis,but there still exists contagious effect of exchange rate risk between a handful of countries and the contagious sources,which means that most impacts of these crises are interdependent.Besides,shift contagion is remarkable during the subprime crisis while pure contagion is remarkable during European sovereign debt crisis.Both the links among real economies and investor’s expectation would significantly influence the exchange rate markets.