债券市场与其他金融市场的风险溢出效应研究

Research on Risk Spillover Effects of Bond Market and Other Financial Markets

防范化解金融风险是金融监管的重要主题,也是中国金融业三大任务之一。基于EGARCH模型和溢出指数模型进行债券市场与其他金融市场间的风险溢出效应分析。研究表明:总体溢出指数具有波动性以及不确定性,整体联动性较强,当受到极端事件冲击时,总体溢出指数发生剧烈波动,但各金融市场受自身滞后影响更强;债券市场与其他金融市场间的风险溢出具有非对称性,其中股票市场和能源市场的风险溢出影响最大,并且债券市场更多表现为风险承担者,而货币市场和外汇市场与债券市场间的净风险溢出值波动较小。

Preventing and resolving financial risks is an important theme of financial regulation, and also one of the three major tasks of China’s finance industry. Based on the EGARCH model and the spillover index model, this paper makes an analysis on the risk spillover effects between the bond market and other financial markets. The results shows that the overall spillover index has volatility as well as uncertainty and the overall linkage is strong, and the overall spillover index fluctuates drastically when it is impacted by extreme events, but each financial market is influenced by its own lag more strongly;the risk spillover between the bond market and other financial markets is asymmetric, among which the stock market and the energy market have the greatest risk spillover impact, and the bond market is more behaved as a risk taker, while the values of net risk fluctuation are smaller between the money market and exchange market and the bond market.