基于Morlet小波时频互相关的影子银行高频传染性研究

The Research on High Frequency Contagion of Shadow Banking Based on Morlet Wavelet

本文利用小波分析来检验影子银行高频对股票市场的传染性。结果发现:影子银行对A股市场的影响偏正向,这种正向关系表现在时频维度上是不同的两个时期,即2003至2008年和2008年至2011年。在频域维度上产生了二者间彼此领先对方的情况,这说明资金成本决定了其逐利性,并且二者间的关系更偏向于中短期,长期变弱化。

The paper uses wavelet analysis to test the contagion of high frequency of shadow banking to the stock market. The results show that the influence of shadow banking on A share market is in a positive direction, and this positive relationship is manifested in two different periods in the time-frequency dimension, namely from 2003 to 2008 and from 2008 to 2011. In the dimension of frequency domain, both of them lead each other, which indicates that the cost of capital determines its profit-driven, and the relationship between them is more inclined to the short term and the medium, while becomes weakened in the long term.