重大危机冲击下中日韩金融市场的溢出效应与风险网络

Spillover Effects and Risk Networks of Financial Markets in China,Japan and South Korea under the Impact of Major Crisis

本文以中、日、韩三国的各类金融市场为研究对象,利用GARCH模型和VAR方差分解,分别构建次贷危机、欧债危机和疫情在全球突发时期金融市场风险溢出指数,并进行时变特征分析,结果显示,日本市场的风险溢出效应在次贷危机和COVID-19疫情时期更显著,中国和韩国市场则在欧债危机时更显著。各国和区域的风险溢出指数的走势在疫情期比两次金融危机时期都更平稳。为进一步剖析疫情冲击下金融风险的传导路径,本文采用最小生成树算法构建分层次风险传导网络,发现各类金融市场的关键中心节点和风险运行方向都出现了明显变化,日本和区域的网络层次由少变多、结构由集中变松散,而中国和韩国的网络层次则有所减少,风险传导速度有所提升。本文对投资者的理性资产配置具有参考价值,而且对我国防范系统性金融风险,对东亚区域金融合作进程中维护中国和东亚金融稳定都具有重要意义。

This paper takes various financial markets in China,Japan and South Korea as the research object,to construct the financial market risk spillover indexes in the periods of subprime mortgage crisis,European debt crisis and COVID-19 epidemic by using the GARCH model and VAR variance decomposition,and conducts their time-variant characteristic analysis.The results show that the risk spillover effect of the Japanese market was more significant during the subprime mortgage crisis and the COIVD-19 epidemic,while the Chinese and South Korea markets were more significant during the European debt crisis.The trend of risk spillover indexes by country and region has been more stable during the epidemic than during both financial crises.To further analyze the transmission path of financial risks under the impact of the epidemic,this paper uses the minimum spanning tree algorithm to construct a hierarchical risk transmission network.The paper finds that the key central nodes and risk operation directions of various financial markets have changed significantly.The network level in Japan and the region has changed from less to more,and the structure has changed from centralized to loose,while the network level in China and South Korea has decreased,and the risk transmission speed has improved.This paper has reference value for inverstor’s rational asset allocation,and is of great significance for China’s prevention of systemic financial risks and for maintaining national and regional financial stability in the process of East Asian regional financial cooperation.