基于复杂网络的泛金融市场极端风险溢出效应及其演变研究

被引：22

作者：

谢赤 ^{[1
,2
]}

贺慧敏 ^{[1
]}

王纲金 ^{[1
,2
]}

凌毓秀 ^{[1
]}

机构：

[1] 湖南大学工商管理学院

[2] 湖南大学金融与投资管理研究中心

来源：

系统工程理论与实践 | 2021年 / 08期

关键词：

泛金融市场; 下行/上行极端风险; 风险溢出效应; 有向加权复杂网络; Granger因果检验;

D O I：

暂无

中图分类号：

F832.5 [金融市场];

学科分类号：

摘要：

本文采用基于GED的ARMA-(T)GARCH-VaR模型,借助风险Granger因果检验方法考察中国泛金融市场9个子市场在5个时期的下行和上行极端风险溢出效应,进而通过有向加权复杂网络刻画各个子市场之间的极端风险溢出演化规律.实证结果表明,子市场间的极端风险溢出效应具有时滞性,在风险溢出网络中越极端的风险传播能力越强、效率越高.下行和上行极端风险溢出效应具有不对称性,在多个时期上行风险的传播能力强于下行风险.极端风险溢出网络在5个时期的中心节点不断变化,但能源子市场始终是主要的上行极端风险溢出的接受者.金融危机过后大宗商品和债券子市场在网络中输送极端风险溢出的能力增强,且它们之间存在显著的极端风险溢出效应.

引用

页码：1926 / 1941

页数：16

共 33 条

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