“一带一路”国家金融风险溢出研究——基于TENET网络方法

被引：12

作者：

赵万里 ^{[1
]}

范英 ^{[1
]}

姬强 ^{[2
,3
]}

张大永 ^{[4
]}

机构：

[1] 北京航空航天大学经济管理学院

[2] 中国科学院科技战略咨询研究院

[3] 中国科学院大学公共政策与管理学院

[4] 西南财经大学经济与管理研究院

来源：

系统工程理论与实践 | 2022年 / 42卷 / 01期

关键词：

“一带一路”; 股票市场; 极端风险网络; TENET; CoVaR;

D O I：

暂无

中图分类号：

F831 [世界金融、银行];

学科分类号：

020202 ;

摘要：

随着"一带一路"沿线国家间贸易自由度、金融机构合作水平不断提升,"一带一路"国家间金融市场也在逐步增进融合.研究"一带一路"沿线国家间金融市场风险传染关系对保障地区金融健康发展有重要的现实意义.本文借鉴TENET方法构建"一带一路"沿线国家股票市场极端风险网络,探究极端尾部风险情形下带路沿线国家股票市场间的风险特征,风险传导路径以及演变规律.研究结果表明:"一带一路"沿线国家股票市场的系统性风险具有时变特征,且在经济承压时期呈现上升趋势.从分区域来看,2008年受金融危机影响欧洲地区风险较高,2020年新冠疫情期间亚洲地区风险较高.从具体国家来看,受欧债危机影响较大的希腊,塞浦路斯等国股市风险溢出水平较高.中国在"一带一路"金融风险网络中主要接收外界的金融风险,风险主要来源于以色列、希腊和新加坡等国.本研究能够为"一带一路"沿线国家的宏观政策制定者、跨国金融投资机构进行金融风险监测和防范境外输入性风险提供理论指导.

引用

页码：24 / 36

页数：13

共 31 条

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