跨部门的波动溢出影响及其规模:澳大利亚的基于部门的分析
1Research Centre in Business, Economics & Resources, Ho Chi Minh City Open University, Ho Chi Minh City, Vietnam.
PloS one
|June 1, 2023
概括
在COVID-19大流行期间,澳大利亚各行业的波动溢出显著增加,达到90%. 风险传递器包括消费主食和工业,而金融和房地产吸收风险.
科学领域:
- 金融经济学 金融经济学
- 市场波动性分析市场波动性分析
- 风险管理 风险管理
背景情况:
- 关于股票市场溢出存在广泛的研究,但部门波动性溢出仍未得到充分研究.
- 了解跨部门波动动态对于金融稳定至关重要,尤其是在危机期间.
研究的目的:
- 估计澳大利亚各行业的波动性溢出影响.
- 分析COVID-19大流行对部门波动性传播的影响.
- 确定澳大利亚市场中关键的风险传递器和吸收器.
主要方法:
- 自主回归移动平均线 - - 一般化自主回归条件异二次性 (ARMA-GARCH) 模型用于部门波动率估计.
- 矢量自回归 (VAR) 框架来评估溢出效应.
- 在COVID-19大流行期间识别波动性断点的波浪式方法.
主要成果:
- 从2010年到2019年,澳大利亚各行业的波动溢出率显著 (60%),在2020年流行期间升至90%.
- 到2021年,溢出效应恢复到大流行前的水平.
- 消费主食和工业产品成为主要的风险传播者.
- 金融和房地产行业充当了重要的风险吸收者.
- 房地产,医疗保健和金融业的波动率增加了300%以上.
结论:
- 随着COVID-19大流行,澳大利亚各行业的波动性溢出大幅扩大.
- 作为风险传播者 (消费主食,工业) 和吸收者 (金融,房地产) 的部门角色被明确定义.
- 调查结果为加强风险管理策略提供了关键的见解,特别是用于导航极端市场事件.
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