管理评论

›› 2012, Vol. 24 ›› Issue (2): 3-11.

• 风险管理与系统工程专题 •    下一篇

基于欧洲主权债务危机背景下的金融传染分析

周 舟1 ,董坤2 ,汪寿阳2   

  1. 1.中国科学院虚拟经济与数据科学研究中心，北京 100190；2.中国科学院数学与系统科学研究院，北京 100090
  • 收稿日期:2012-06-19 修回日期:2012-06-19 出版日期:2012-02-25 发布日期:2012-06-20

An Empirical Study of Financial Contagion Effect Based on the European Sovereign Debt Crisis

Zhou Zhou1, Dong Kun2 and Wang Shouyang2   

  1. 1.Research Centre on Fictitious Economy & Data Science, Chinese Academy of Sciences, Beijing 100190;2.Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190
  • Received:2012-06-19 Revised:2012-06-19 Online:2012-02-25 Published:2012-06-20

摘要： 运用向量自回归方法（VAR）和时变多元GARCH模型（DCC-MGARCH），检验欧洲主权债务危机期间的金融传染效应。研究市场包括希腊、西班牙、爱尔兰、英国、法国、德国、美国、日本以及中国的股票市场。实证结果表明，欧洲债务危机期间各国金融市场间相关性显著上升，市场间影响程度更大、影响时间更长，存在金融传染效应；希腊是此次危机的传染源，欧洲其他国家之间的传染效应不明显；蔓延期中国股票市场也与欧洲市场存在联动性，但影响较为滞后。此外，研究发现直至2009年4月，美国次债危机的影响才基本消退。分析表明历年巨额的财政支出和较差的经济自愈能力是欧洲主权债务危机发生的主要原因。

关键词: 欧洲主权债务危机, 金融传染, VAR, DCC-MGARCH

Abstract: VAR and DCC-MGARCH models are employed to investigate the financial contagion effects during the European Sovereign debt crisis. Empirical studies performed on stock markets, such as Greece, Spanish, Irish, UK, France, Germany, USA, Japan and China, show strong evidence of financial contagion during the crisis: sharp increase in correlation, long duration and great linkages across markets. Greece is the source of contagion in this sovereign debt crisis, but the contagion effects among other European countries are not significant. A significant but lagged linkage between Chinese and European stock markets is also obtained. Besides, our empirical results indicate that the shocks of the U.S subprime crisis did not fade away until April 2009. Our analysis reveals that the European Sovereign debt crisis is due to its huge fiscal expenditure and weak economic recovery performance.

Key words: European sovereign debt crisis, financial contagion effects, VAR, DCC-MGARCH