极端风险溢出效应的定量测度及非对称性——来自中国股市与债市的经验证据

管理评论 ›› 2020, Vol. 32 ›› Issue (9): 55-67.

极端风险溢出效应的定量测度及非对称性——来自中国股市与债市的经验证据

侯县平¹, 傅春燕², 林子枭³, 林宇³

1. 成都信息工程大学统计学院, 成都 610103;
2. 成都信息工程大学物流学院, 成都 610103;
3. 成都理工大学商学院, 成都 610059

收稿日期:2020-01-08 出版日期:2020-09-28 发布日期:2020-09-30
作者简介:侯县平,成都信息工程大学统计学院讲师,博士;傅春燕,成都信息工程大学物流学院副教授,博士;林子枭,成都理工大学商学院硕士研究生;林宇,成都理工大学商学院教授,博士生导师,博士。
基金资助:
国家自然科学基金面上项目（71771032）；四川省科技计划项目软科学研究（2019JDR0045）；四川省教育厅人文社科重点项目（18SA0038）；国家统计局统计信息技术与数据挖掘重点开放实验室开放课题（SDL201902）。

Quantitative Measurements and Asymmetries of Extreme Risk Spillover Effects: Evidence from China's Stock and Bond Markets

Hou Xianping¹, Fu Chunyan², Lin Zixiao³, Lin Yu³

1. School of Statistics, Chengdu University of Information Technology, Chengdu 610103;
2. School of Logistics, Chengdu University of Information Technology, Chengdu 610103;
3. Business School, Chengdu University of Technology, Chengdu 610059

Received:2020-01-08 Online:2020-09-28 Published:2020-09-30

摘要/Abstract

摘要： 极端风险溢出效应对于投资组合与风险管理具有重要意义。本文在基于动态Copula刻画中国股市与债市间相依关系的基础上，运用CoVaR方法定量测度了股市与债市间的极端风险溢出效应，并分析了极端风险溢出效应的特征。研究结果表明，股市与债市间存在着上尾对下尾的风险溢出和下尾对上尾的风险溢出，且具有显著的非对称性，上尾对下尾风险溢出强度大于下尾对上尾风险溢出强度，股市对债市的风险溢出强度大于债市对股市的风险溢出强度。

关键词: CoVaR, Copula, 极端风险, 风险溢出, 非对称性

Abstract: Extreme risk spillover effects have important implications in terms of portfolios and risk management. The paper characterizes the dependence structure between China's stock and bond market using dynamic copula, then quantitatively measures the extreme risk spillover effects between China's stock and bond market using CoVaR. The empirical results show that downside risk spillover effects caused by upside risk of the other market and upside risk spillover effects caused by downside risk of the other market have been documented, and the asymmetries of extreme risk spillover effects are significant. Specifically, the strength of downside risk spillover effects caused by upside risk of the other market is larger than that of upside risk spillover effects caused by downside risk of the other market, and the strength of risk spillover effects in bond market caused by stock market is larger than that of risk spillover effects in stock market caused by bond market.

Key words: CoVaR, copula, extreme risk, risk spillover, asymmetry

侯县平, 傅春燕, 林子枭, 林宇. 极端风险溢出效应的定量测度及非对称性——来自中国股市与债市的经验证据[J]. 管理评论, 2020, 32(9): 55-67.

Hou Xianping, Fu Chunyan, Lin Zixiao, Lin Yu. Quantitative Measurements and Asymmetries of Extreme Risk Spillover Effects: Evidence from China's Stock and Bond Markets[J]. Management Review, 2020, 32(9): 55-67.

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