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在疫情爆发之前和之后,对中国金融部门之间动态风险溢出效应的比较研究
Cuicui Liu1,2, HuiZi Ma1, Xiangrong Wang1
1College of Mathematics and Systems Science, Shandong University of Science and Technology, Qingdao, Shandong, China.
PloS one
|December 10, 2024
概括
COVID-19大流行最初增加了金融部门风险溢出影响,证券受到影响最大. 风险传染动态在疫情后发生了转变,突出显示了银行,保险和多元金融部门不断变化的脆弱性.
科学领域:
- 金融经济学 金融经济学
- 风险管理 风险管理
- 计量经济学 计量经济学 计量经济学
背景情况:
- COVID-19大流行给全球金融市场带来了前所未有的冲击.
- 了解跨部门风险传播对于金融稳定至关重要.
- 金融部门,包括银行,保险,证券和多元金融,是相互关联的.
研究的目的:
- 分析关键金融部门之间的动态风险溢出效应.
- 确定这些溢出效应如何在流行病前,流行病和流行病后阶段演变.
- 评估个别金融部门对系统风险的脆弱性和稳定性.
主要方法:
- 利用时间变化的参数向量自回归与动态条件分数 (TVP-VAR-DY) 模型.
- 银行,保险,证券和多元金融部门的每日收盘价格数据.
- 使用五种不同的滞后顺序进行了稳定性检查.
主要成果:
- 总系统性风险溢出效应最初增加,然后减少,在疫情期间波动性增加.
- 证券行业最容易受到溢出风险的影响和传播的风险.
- 银行业表现相对稳定,而多元金融和保险部门在各阶段都表现出明显的传染模式.
结论:
- 随着COVID-19大流行,金融部门的风险溢出动态发生了重大变化.
- 证券行业的脆弱性需要有针对性的风险管理策略.
- 特定部门的反应和不断变化的经济条件塑造了未来的风险传播模式.
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