资本市场系统性风险监测及风险跨市场溢出研究——基于金融压力指数视角

Monitoring Systemic Risks of the Capital Market and Research on the Cross-Market Risk Spillover:From the Perspective of the Financial Stress Index

本文从股票、债券、衍生品、外汇四个市场选取指标构建资本市场压力指数,对中国资本市场系统性风险进行动态测度;在此基础上,从时域和频域视角考察风险在四个子市场间的溢出效应。研究结果表明:本文构建的资本市场压力指数能够准确识别样本区间内的重大风险事件;极端冲击将导致风险溢出水平上升,各子市场在风险传递中的作用具有差异性和时变性;根据风险溢出的大小、方向和长短期结构,能够对风险动态演化过程及驱动因素进行有效判别。本文的研究对完善资本市场风险动态监测体系具有重要价值。

This paper constructs a capital market financial stress index by selecting indicators from four markets,including the stock market,bond market,derivative market,and foreign exchange market to measure systemic risks in China’s capital market dynamically.On this basis,we investigate the cross-market risk spillover effect among the four sub-markets from both time domain and frequency domain perspectives.The research results are summarized as follows.(1)The capital market stress index constructed in this paper can accurately identify major risk events within the sample period.(2)Extreme shocks lead to an increase in risk spillover levels,and the roles played by each sub-market in risk spillover are different and time-varying.(3)Based on the magnitude,direction,and short-term and long-term structure of risk spillover,we can effectively identify the dynamic evolution process and driving factors of systemic risks.The research has important value for improving the dynamic monitoring system of capital market risks.