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央行工作論文-2020年第1號 金融危 機傳染實證分析研究.docx 15頁

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金融危機傳染實證分析研究 摘要:本文在梳理了金融危機傳染的定義,分析了金融危機傳染的機理,介紹了 Copula 函數的金融危機傳染檢驗方法的基礎上,主要運用多種靜態 Copula和動態 Copula 函數對金融危機傳染進行了分析。主要結論包括三個方面:一是金融危機時期,中國股市下跌與美國股市下跌一定程度上存在聯動,但中國股市的波動也有一定獨立性;二是全球金融危機后,國內股市和債市呈現顯著負相關性;三是從國內金融機構看,不論是否處于危機期間,國有商業銀行之間、國有商業銀行與中小型銀行之間的風險傳染并不明顯,中小型銀行之間風險傳染較強,但不是由金融危機引起的,而是由其他因素導致。 Abstract:Based on the definition, mechanism, and testing models of financial contagion, the paper uses static Copula and dynamic Copula functions to analyse the influences of financial contagion. The main conclusions can be summarized as follows. First, during the financial crisis, to some extent China stock market declined along with the US stock market, while no statistically significant evidences confirm the correlation of this co-movement, and the volatility of China stock market exhibits some independence. Second, there is a strong negative correlation between domestic stock market and the bond market in the post global financial crisis. Third, in terms of domestic financial institutions, whether or not during the crisis, there isn’t significant risk contagion among the state-owned commercial banks or between the state-owned commercial banks and small and medium-sized commercial banks. However, the risk contagion between small and medium-sized commercial banks is relatively strong due to the other factors rather than the financial crisis. 關鍵詞:金融危機 Copula 函數 風險傳染 聲明 聲明:中國人民銀行工作論文發表人民銀行系統工作人員的研究成果,以利于開展學術交流與研討。論文內容僅代表作者個人學術觀點,不代表人民銀行。如需引用,請注明來源為《中國人民銀行工作論文》。 Disclaimer: The Working Paper Series of the People's Bank of China (PBC) publishes research reports written by staff members of the PBC, in order to facilitate scholarly exchanges. The views of these reports are those of the authors and do not represent the PBC. For any quotations from these reports, please state that the source is PBC working paper series. 1 江潔,經濟學碩士,任職于中國人民銀行重慶營業管理部;陳杰,理學博士,任職于中國人民銀行重慶營業管理部, email:2712615215@;何海鷹,經濟

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