“一带一路”倡议下中国与东盟金融市场风险溢出效应研究

Risk spillover effects between China and ASEAN financial markets under the Belt and Road strategy

量化中国与东盟金融市场风险溢出效应,有助于中国监管部门完善金融监管体系,严密防控外部金融风险.以2008-01-01—2020-06-30中国和东盟国家的相关经济指标为研究对象,借助GARCH-Copula-CoVaR模型对“一带一路”倡议提出前后金融市场间的风险溢出效应进行分析.结果表明,中国与东盟金融市场之间存在显著的双向、非对称风险溢出效应,战略提出后的双向风险溢出程度明显上升.据此提出相应建议,以期为防范金融市场风险提供借鉴.

Quantifying the risk spillover effects of financial markets between China and ASEAN will help Chinese regulatory authorities improve the financial regulatory system and strictly prevent and control external financial risks.The relevant economic indicators of China and ASEAN countries from January 1,2008 to June 30,2020 was taken as the research object,and the GARCH-Copula-CoVaR model was used to analyze the risk spillover effects between the financial markets before and after the Belt and Road strategy is proposed.The research results show that there is a significant two-way and asymmetric risk spillover effect between China and ASEAN financial markets.The comparison shows that the degree of two-way risk spillover after the proposal has been raised significantly.Based on this,corresponding suggestions are put forward in order to provide reference for preventing financial market risks.