中国金融市场风险溢出效应研究

Study on the Risk Spillover Effects of China’s Financial Market

自2018年以来,金融风险的防范成为中国经济的三大任务之一。2021年是十四五开局之年,防范风险已经成为金融业监管的主题。为准确刻画中国金融系统风险溢出效应,选取了中国货币市场、资本市场等六个一级金融市场的日度交易数据,首先利用TVP-VAR模型构建了溢出指数,分析了金融市场间风险溢出效应的静态特征及动态特征,之后构建了金融市场的风险传染网络,分析了近五年以及新冠肺炎疫情前后金融系统风险溢出效应的变化情况。研究发现:(1)货币市场对其他市场的风险溢出效应较强,而股票市场、债券市场及外汇市场受到外部风险的冲击更大;(2)从分时期的风险溢出特征来看,当期重大事件会影响金融市场间的风险溢出关系;(3)新冠肺炎疫情后,金融市场风险传染网络变得更加紧密,金融系统内各子市场之间的风险溢出效应都明显增强。

Currently affected by internal and external factors,risks in my country’s financial system have accumulated.In order to accurately portray the risk spillover effects of my country’s financial system,this paper selects daily transaction data from six primary financial markets,including my country’s currency market and capital market.First,the spillover index is constructed using the TVP-VAR model,and the risk spillover between financial markets is analyzed.The static and dynamic characteristics of the effect,and then the risk contagion network of the financial market was HENG,and the changes in the risk spillover effect of the financial system in the past five years and before and after the new crown pneumonia epidemic were analyzed.The research found that:(1)Financial market risk spillover presents instability,direction asymmetry and randomness.The currency market has a strong risk spillover effect on other markets,while the stock market,bond market and foreign exchange market are more affected by external risks;(2)From the perspective of the characteristics of risk spillovers over time,the current period is significant The event will affect the risk spillover relationship between financial markets.The risk tolerance,risk spillover intensity and net risk spillover intensity of financial submarkets during the sample period are analyzed.The results show that the risk tolerance degree and risk spillover degree of financial markets have a reverse trend,and emergencies will affect the risk spillover relationship among financial markets.;(3)After the new crown pneumonia epidemic,the financial market risk contagion network has become closer,and the risk spillover effect between the various sub-markets in the financial system has increased significantly.The money market was the center of the risk contagion network before and after the epidemic.Affected by the epidemic,the three commodity markets became more active in the risk contagion network,and their ability to transmit external risks was significantly enhanced.Compared with the existing research,this paper has the following innovations:(1)Taking the money market,capital market,bulk commodity market,foreign exchange market,real estate market and gold market in China’s financial system as the research object,this paper measured the two-way risk spillover effect among various financial markets;(2)This paper examines the time-varying characteristics of risk spillover effect in China’s financial markets and analyzes the changing trend of risk spillover effect in various financial markets;(3)This paper considers the network characteristics of the financial system,constructs the financial risk contagion network based on the multilateral risk spillover relationship,identifies the center of the risk contagion network,and describes the change process of the centrality of each financial market network over time.