中国金融市场的风险溢出效应研究——基于溢出指数和复杂网络方法

基于信息溢出视角,采用溢出指数和复杂网络方法,从静态和动态角度测度我国金融市场风险溢出的强度和方向,识别危机中的风险中心及演化.研究表明,我国金融系统风险溢出具有波动性、不确定性及不对称性,整体联动能力较强;各市场滞后效应明显;市场受到冲击时接受风险的程度与其对外溢出风险的程度呈相反变动趋势;货币市场尤其是回购市场是金融系统的风险中心,对外风险溢出效应最强,但在危机发生时相对减弱,而金属、股票、房地产等市场在危机时的风险溢出作用显著增强;债券和外汇市场被动接受风险的能力最强.

Study on risk spillover effect of financial markets in China based on methods of spillover index and complex network

Based on view of information spillover, we measure degree and direction of risk spillover in China from dynamic and static perspectives, identify risk centers and their evolution within crisis applying methods of spillover index and complex network. The results show that the risk spillover effect in China is fluctuant, uncertain and asymmetric, and strong connectedness and obvious hysteresis effect exist in financial markets; the degree of receiving risks is opposite to that of transmitting risks when markets impacted by extreme events; the currency market, especially the inter-bank repo market is the risk center of financial system with the strongest risk spillover effect but weaken during financial crisis. However, risk spillover effect of metal market, stock market and real estate market enhance significantly during financial crisis; bond market and foreign exchange market receive the most risks.