金融市场尾部风险度量与跨市场风险溢出效应研究

Research on Tail Risk Measurement and Cross Market Risk Spillover Effects in Financial Markets

自2008年全球金融危机后,极端事件引发的尾部风险以及跨市场风险溢出带来的危害受到多方关注。本文以VaR、CVaR模型为基础来度量我国金融市场的尾部风险。结果表明我国金融市场的金融风险变化方向一致,即单个市场发生的极端事件会导致其他市场产生相同方向的风险。通过进一步利用广义预测误差方差分解方法对金融市场之间的金融风险溢出效应进行测度,发现我国金融市场之间存在显著的风险溢出效应,其中股票市场是最主要的风险发送者,其余债券市场、金融衍生品市场、商品市场和外汇市场均为风险接收者。

Since the global financial crisis in 2008,the tail risk caused by extreme events and the harm caused by cross market risk spillovers have received widespread attention.This article measures the tail risk of China's financial market based on VaR and CVaR models.The results indicate that the direction of financial risk changes in China's financial market is consistent,that is,extreme events occurring in a single market will lead to similar risks in other markets.By further utilizing the generalized forecast error variance decomposition(GFEVD)method to measure the financial risk spillover effects between financial markets,it is found that there is a significant risk spillover effect between these markets,with the stock market being the main risk sender and the other markets,including bond,financial derivatives,commodity,and foreign exchange markets being risk receivers.