跨金融市场的风险传染和风险对冲:基于高维VAR for VaR模型的研究

Cross-Market risk contagion and risk hedging:An analysis based on high-dimensional VAR for VaR model

金融稳定需要防范和化解金融市场之间的风险传染。与以往文献只是探究两个市场的风险传染不同,本文利用高维VAR for VaR模型将中国的汇市、债市、大宗商品、金融期货和股市等五个金融市场纳入统一框架,分析这5个金融市场在不同状态的风险溢出效应,这有助于捕捉冲击在不同金融市场之间传播而产生的间接影响。Wald检验和后验分析表明5个市场间只在危机或泡沫状态时存在明显的风险溢出效应。同时,本文利用压力测试发现单个市场的短期冲击影响会被其他金融市场如股市消化吸收,但4个金融市场都处于正常状态会明显降低其他金融市场如股市的左尾风险。此外,本文提出利用单个金融市场在同一时点的不同分位数计算每个金融市场在同一时点的预期收益、波动风险和崩盘风险,这种做法的好处在于结果更加稳健以及减轻极端值的影响。在此基础上,本文进一步探究金融市场间是否能够对冲彼此的波动风险和崩盘风险。结果显示大宗商品市场和金融期货市场能够有效地对冲其他金融市场的波动风险和崩盘风险,但汇市、债市和股市无法对冲其他金融市场的波动风险和崩盘风险。

Financial stability needs the prevention and mitigation of risk contagion across financial markets. In contrast to previous literature that primarily explores risk contagion between two markets, this paper utilizes a high-dimensional VAR for VaR model to encompass the foreign exchange market, bond market, commodity market, financial futures, and stock market in China within a unified framework. It analyzes the risk spillover effects among these five financial markets under different states, aiding in capturing the indirect effects that result from shock propagation across different financial markets. The Wald test and backtesting analysis demonstrate pronounced risk spillover effects among the five markets only during crisis or bubble states. Furthermore, this study employs stress testing to reveal that short-term shock impacts in a single market can be absorbed by other financial markets such as the stock market. However, when all four financial markets are in normal states, they significantly reduce the left-tail risk of other financial markets like the stock market. Additionally, we propose calculating expected returns, volatility risk, crash risk, and kurtosis of a single financial market using different quantiles from the same financial market at the same point in time. This approach yields more robust results and mitigates the influence of extreme values. We further investigate whether financial markets can hedge each other' s volatility risk or crash risk. The results reveal that the commodity market and financial futures market can effectively hedge the volatility and crash risk of other financial markets, while the foreign exchange market,bond market, and stock market are unable to hedge the volatility and crash risk of other financial markets.