明天以后:COVID-19对系统风险的财务影响
David Vidal-Tomás1, Rocco Caferra1,2, Gabriele Tedeschi2
1Department of Economics, Universitat Jaume I. Department of Economics, Castellón, Spain.
概括
由于COVID-19的流行,系统性风险通过金融市场迅速传播. 在疫情爆发的前几个月,限制性抗疫措施在制投资者恐慌方面无效.
科学领域:
- 经济学 经济学 经济学
- 金融 金融 金融 金融 金融
- 流行病学 流行病学
背景情况:
- 随着COVID-19的流行,金融市场出现了前所未有的波动.
- 了解财务影响和政策有效性至关重要.
研究的目的:
- 分析COVID-19的财务影响.
- 评估金融市场反疫情措施的有效性.
- 调查金融系统风险的出现和速度.
主要方法:
- 滞后的交叉相关性分析来研究传染病的传播.
- 增强的AR{1) -EGARCH{1,1) 模型来评估政策影响.
- 利用股票市场指数,COVID-19病例和限制性措施的复合数据集.
主要成果:
- 系统性风险迅速出现,并在金融市场迅速扩散.
- 在疫情初期,限制措施并没有有效制投资者恐慌.
- 无论该国的传染程度如何,都观察到金融市场的反应.
结论:
- COVID-19 流行病引发了重大的金融系统风险.
- 早期的抗疫政策在稳定金融市场方面取得了有限的成功.
- 需要进一步研究金融市场的长期性和政策调整.
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