摘要
本文将金融市场的VaR作为金融市场稳定性的指标,选取中国、俄罗斯和印度作为金砖国家的代表,运用半参数MIDAS分位点回归模型分析世界贸易对金砖国家金融市场的影响,着重分析正常和极端市场条件下各个国家的金融稳定性,尤其是2020年初新冠肺炎疫情发生期间的市场表现。实证结果表明,波罗的海运价指数(BDI)对金融稳定性有着显著的影响,且疫情导致的世界贸易衰退对金砖国家金融市场稳定性造成了不同程度的影响,其中中国在极端市场中表现最为稳定。
The BRICS countries(China,Russia,India,Brazil,and South Africa)are representatives of emerging markets in the world and play a pivotal role in world trade.The economic prosperity of the BRICS countries is closely related to the development of trade.In recent years,BRICS finance has attracted much attention from investors,so world trade has important research value for the stability of BRICS financial markets.This paper uses the semiparametric MIDAS quantile regression model to analyze the impact of world trade on the financial markets of the BRICS countries,and focuses on the financial stability of various countries in normal and extreme markets.Using the Baltic Shipping Price Index(BDI)daily data and weekly data can fully reflect the contribution of trade changes to financial instability,especially during the outbreak of the COVID-19 in early 2020.
作者
叶五一
文倩
汪一琦
Ye Wuyi;Wen Qian;Wang Yiqi
出处
《财经科学》
CSSCI
北大核心
2021年第8期27-38,共12页
Finance & Economics
基金
国家自然科学基金面上项目“市场相依视角下系统性风险的度量以及宏观影响因素研究”(71973133)
国家自然科学基金面上项目“国际金融市场极端尾部相依度量的方法以及应用研究”(71671171)。
