全球金融市场系统性风险溢出效应研究

Study on systemic risk spillover effect of global financial market

基于频域关联法,分别构建时域和频域下的总体溢出指数和方向溢出指数,以全球11个代表性金融市场的隐含波动率作为代理变量,考察了全球金融市场系统性溢出效应。研究发现:第一,全球金融市场系统性风险的跨国溢出效应十分显著,其总溢出水平和波动程度由长期的低频溢出所主导。第二,金融市场系统性风险的跨国溢出效应存在明显的时变性,国际重大事件往往伴随着总体溢出水平和长期溢出水平的急剧攀升,不同类型的事件冲击具有不同的周期长度。第三,中国的系统性风险溢出水平波动剧烈,国内外事件爆发会显著抬高中长期溢出水平;系统性风险溢入水平趋于平稳,但与全球溢出效应具有较高的同步性,存在突发危机的隐患。

Based on frequency connectedness method,the overall spillover index and directional spillover index in the time domain and frequency domain are respectively constructed,and the implied volatility of 11 representative financial markets in the world is used as a proxy variable to investigate the systemic spillover effect of the global financial market.The research finds that:first,the cross-border spillover effect of systemic risk in the global financial market is very significant,and its total spillover level and volatility are dominated by longterm low-frequency spillovers.Second,the transnational spillover effect of systemic risk in the financial market is obviously time-varying.Major international events are often accompanied by a sharp rise in the overall spillover level and long-term spillover level.Different types of event shocks have different cycle lengths.Third,the level of systemic risk spillovers in China fluctuates violently,and the outbreak of domestic and foreign events will significantly increase the level of medium and long-term spillovers;the level of systemic risk spillovers tends to be stable,but it is highly synchronized with global spillover effects,and there are sudden hidden dangers of crisis.