金融危机下信用违约风险的宏观驱动因素及跨区域传染效应——基于亚洲、北美、欧洲三大区域的实证分析

What Macro Factors Can Explain the Default Risk Premium and the Cross-regional Contagion Effect of Credit Default Risk During the Financial Crisis: An Empirical Analysis Based on the Asia,North America and Europe

笔者基于马尔科夫状态转移模型及MS-VAR模型,将金融危机引起的经济环境结构性变化考虑在内,以欧洲、北美、亚洲三大区域的CDS指数及相应主要国家的股票指数和宏观经济变量为样本,研究了金融危机下信用环境在经济的波动期和平稳期两状态下的信用违约风险宏观驱动因素及跨区域传染效应,填补了学术界对于此类问题的研究空缺。此外,笔者应用bootstrap仿真实验对MS-VAR模型参数进行了检验,并利用状态相依的GIRF简化了模型解释。结论表明:经济的繁荣向好和股市收益率的提高使违约风险趋于降低,而通货膨胀的压力则会使其趋于上升,同时,影响变量呈现状态转移行为,影响行为不只局限于区域内部,在特定经济状态下也会对外部区域产生溢出效应;区域间的信用违约风险传染特征是明显存在的,在经济波动期,传染效应更为明显,冲击效力更大,影响时间更长。面对金融国际化和经济全球化带来的传染效应,为防范信用违约风险的扩大,我们需要整体把握金融系统的形式和走向,坚持风险为本的监管理念,同时,面对金融国际化的大环境,建立完善开放的信用市场对于我国金融市场进一步走向全球化是很必要的。

This paper investigates what macro factors can explain default risk premium during the financial crisis and cross-regional contagion effect of default risk in the stationary period and the fluctuation period of the economy in Europe,North America and Asia based on the CDS index,major national stock index and macroeconomic variables taking advantage of Markov regime-switching model and MS-VAR model,filling the gaps in academic research on such issues.This paper uses the bootstrap method to test the estimated parameters,and employs state-dependence GIRF to explain the model.The results illustrate that when economic prosperity goes well and the stock market return increases,the risk of default tends to reduce,while inflationary pressures will make it tend to rise.Furthermore,the impacting variables show the state-transition behavior and the effect spills over from the interior region to the outside region in the particular state of the economy.Credit default risk of infection characteristics among regions could be observed in periods of economic fluctuations during which the contagion effect is much more obvious.Faced with such situations,we need to grasp the form and direction of the financial system as a whole,and adhere to the risk-based supervision concept in order to prevent the expansion of credit default risk.It is necessary for China to build and perfect an open cre-dit market faced with the irreversible trend of economic globalization.