科技与企业
科技與企業
과기여기업
KEJI YU QIYE
2014年
10期
8-9
,共2页
欧债危机%风险传染%股票市场%债券市场
歐債危機%風險傳染%股票市場%債券市場
구채위궤%풍험전염%고표시장%채권시장
European debt crisis%risk contagion%stock market%bond market
欧债危机对金融市场产生了显著的冲击，引发了巨大的风险。本文通过构建二元GARCH-BEKK模型，实证检验了欧债危机背景下欧洲股票市场、我国股票市场、国债市场与企业债市场之间的波动溢出效应，揭示了欧债危机冲击我国股票市场、国债市场与企业债市场的风险传染路径。实证表明，欧债危机冲击我国股票市场与债券市场的风险传导路径为：欧债危机引发的风险通过欧洲股票市场传导到我国股票市场，然后传导到企业债市场，最后传导到国债市场。
歐債危機對金融市場產生瞭顯著的遲擊，引髮瞭巨大的風險。本文通過構建二元GARCH-BEKK模型，實證檢驗瞭歐債危機揹景下歐洲股票市場、我國股票市場、國債市場與企業債市場之間的波動溢齣效應，揭示瞭歐債危機遲擊我國股票市場、國債市場與企業債市場的風險傳染路徑。實證錶明，歐債危機遲擊我國股票市場與債券市場的風險傳導路徑為：歐債危機引髮的風險通過歐洲股票市場傳導到我國股票市場，然後傳導到企業債市場，最後傳導到國債市場。
구채위궤대금융시장산생료현저적충격，인발료거대적풍험。본문통과구건이원GARCH-BEKK모형，실증검험료구채위궤배경하구주고표시장、아국고표시장、국채시장여기업채시장지간적파동일출효응，게시료구채위궤충격아국고표시장、국채시장여기업채시장적풍험전염로경。실증표명，구채위궤충격아국고표시장여채권시장적풍험전도로경위：구채위궤인발적풍험통과구주고표시장전도도아국고표시장，연후전도도기업채시장，최후전도도국채시장。
The European debt crisis have had a significant impact on the financial markets, and triggered a huge risk. By constructing binary GARCH-BEKK model, this paper empirical tests volatility spillover effects between the European stock market, China's stock market, bond market and corporate bond market in the context of the European debt crisis, and reveals risk contagion path of the European debt crisis on China's stock market, bond market and corporate bond market. Empirical results shows that the risk contagion path of European debt crisis on China's stock market and bond market is that, the risk of European debt crisis through the European stock markets transfers to the China’s stock market, then transmits to the corporate bond market, , and finally transfers to the Treasury bond market.
