主权风险溢出网络动态特征研究:以“一带一路”国家为例

A study on the dynamics of sovereign risk spillover networks:Evidence from the countries along the Belt and Road

随着金融市场全球化的逐步深入以及世界各国政治联系的越发紧密,主权风险跨国传染现象得到了现实的印证.在"一带一路"倡议强化本区域国家间政治金融联系的背景下,从主权风险网络化和区域国家集团化视角出发,借鉴基于方差分解的溢出指数方法,考察了"一带一路"沿线国家主权风险溢出网络的节点特征和结构特征,并探究了沿线国家整体以及不同区域国家集团主权风险溢出效应的动态性特征.研究发现:"一带一路"沿线25国主权风险总溢出效应较高,且中东欧区域国家集团在沿线国家主权风险溢出网络中处于主导地位.另外,沿线国家间的整体主权风险溢出效应随时间表现出明显的动态性特征和阶段性特征,中国与东盟集团之间的主权风险溢出效应在任何阶段总是最强的,而中东欧地区是最能代表沿线国家整体主权风险溢出效应变化的区域国家集团.这些发现对于宏观政策制定者、主权债及相关衍生品市场的投资者理解沿线区域主权风险溢出网络的本质特征和内在结构具有重要的指导意义.

With the deepening of the globalization of financial markets and the closer political connections between countries in the world,the transnational contagion of sovereign risk has been confirmed by reality.Under the background of the"Belt and Road Initiative",this paper investigates node characteristics and structural characteristics of sovereign risk spillover network among belt-road countries from the perspective of sovereign risk networking and regional grouping using spillover index approach based on FEV(forecast error variance)decomposition.We find that the overall spillover effect of the 25 countries alongside the"Belt and Road"is relatively high,and the Central and Eastern European countries is dominant in the sovereign risk spillover network of countries alongside the route.In addition,the overall sovereign risk spillover effect alongside the route shows obvious dynamic characteristics and phase characteristics over time.The sovereign risk spillover effect between China and ASEAN(Association of Southeast Asian Nations)group is always the strongest at any stage,while the Central and Eastern Europe is the regional group of countries that can well reveal changes in the overall sovereign risk spillover effect alongside the route.All these findings can help macro policy-makers and investors participating in the sovereign debt and related derivatives markets understand the essential characteristics and internal structure of the sovereign risk spillover network along the"Belt and Road".