管理评论

管理评论 ›› 2022, Vol. 34 ›› Issue (2): 102-111.

• 数字经济 • 上一篇    下一篇

全球数字货币波动对中国金融资产的风险溢出效应研究

姬强1, 胡旻2, 马嫣然3, 张大永2, 郭琨4   

  1. 1. 中国科学院科技战略咨询研究院, 北京 100190;
    2. 西南财经大学经济与管理研究院, 成都 611130;
    3. 中国地质大学(北京)经济管理学院, 北京 100083;
    4. 中国科学院大学经济与管理学院, 北京 100190
  • 收稿日期:2020-09-30 出版日期:2022-02-28 发布日期:2022-03-24
  • 通讯作者: 郭琨（通讯作者），中国科学院大学经济与管理学院副研究员，硕士生导师，博士
  • 作者简介:姬强，中国科学院科技战略咨询研究院研究员，硕士生导师，博士;胡旻，西南财经大学经济与管理研究院博士研究生;马嫣然，中国地质大学（北京）经济管理学院，博士后，博士;张大永，西南财经大学经济与管理研究院教授，博士生导师，博士
  • 基金资助:
    国家自然科学基金优秀青年基金项目（72022020）；国家自然科学基金面上项目（71974159）。

Risk Spillovers between Global Cryptocurrency and Chinese Financial Assets

Ji Qiang1, Hu Min2, Ma Yanran3, Zhang Dayong2, Guo Kun4   

  1. 1. Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190;
    2. Research Institute of Economics and Management, Southwestern University of Finance and Economics, Chengdu 611130;
    3. School of Economics and Management, China University of Geosciences (Beijing), Beijing 100083;
    4. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190
  • Received:2020-09-30 Online:2022-02-28 Published:2022-03-24

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摘要： 随着数字经济的快速发展，经济社会对于数字货币的需求迅速增大，推动经济增长的同时也给金融市场带来了巨大的冲击。与此同时，中国金融市场的开放程度越来越高，全球数字货币的波动也可能对中国金融资产造成输入性风险。本文测度了全球数字货币资产价格波动对中国大类金融资产的风险溢出效应及其动态演化特征，并在此基础上分析和识别了影响全球数字货币与国内大类资产之间系统性风险的核心因素。结果发现，全球数字货币与国内金融资产之间具有一定的极端风险关联性，长期看，全球数字货币在该系统的风险传导中占主导地位，受国内金融资产的影响相对较小；短期看，下行风险总体关联性波动以及瞬时大幅上涨次数要高于上行风险总体关联性。同时，市场中的恐慌情绪是全球数字货币与国内金融资产之间系统性风险的主要影响因素。

关键词: 数字经济, 数字货币, 金融资产, VaR, 风险溢出网络

Abstract: The fast development of digital economy has led to larger demand for cryptocurrencies. While they brought clear benefits to the economic progress, cryptocurrencies have also shown significant impacts on financial markets. The volatility of global cryptocurrencies can potentially affect financial markets in China with increasing trends of financial openness. With this concern in mind, this paper aims to measure risk spillovers between global cryptocurrencies and financial assets in China, and then tries to identify the main factors linking systemic risks between financial markets in China and global cryptocurrency markets. Our results show that certain level of extreme risk spillover exists. In the long-term, volatility in the global cryptocurrency markets leads the risk spillover channels, but they receive limited impacts from financial assets in China. When we look at the short-term spillover effects, downward risks dominate upward risks. Meanwhile, market sentiment is shown to be the main factor explaining the systemic risk spillover found in this paper.

Key words: digital economy, cryptocurrency, financial assets, VaR, risk spillover network