经济数学
經濟數學
경제수학
MATHEMATICS IN ECONOMICS
2014年
2期
94-101
,共8页
欧阳雪艳%杨晓光%李应求
歐暘雪豔%楊曉光%李應求
구양설염%양효광%리응구
欧洲主权债务危机%CoVaR%风险关联
歐洲主權債務危機%CoVaR%風險關聯
구주주권채무위궤%CoVaR%풍험관련
European Sovereign Debt Crisis%CoVaR%risk connectivity
采用CoVaR方法分析欧元区金融市场的风险关联,通过测度金融市场间的系统性风险溢出效应,考察单个市场的脆弱性和对系统性风险的贡献性。实证发现,一方面,危机程度较严重的欧洲五国市场的风险关联较强,但风险传染并不明显,陷入危机主要是源于自身经济出现问题;另一方面,德国靠其强大的经济基础,受到的影响是有限的,扮演着稳定市场的角色。
採用CoVaR方法分析歐元區金融市場的風險關聯,通過測度金融市場間的繫統性風險溢齣效應,攷察單箇市場的脆弱性和對繫統性風險的貢獻性。實證髮現,一方麵,危機程度較嚴重的歐洲五國市場的風險關聯較彊,但風險傳染併不明顯,陷入危機主要是源于自身經濟齣現問題;另一方麵,德國靠其彊大的經濟基礎,受到的影響是有限的,扮縯著穩定市場的角色。
채용CoVaR방법분석구원구금융시장적풍험관련,통과측도금융시장간적계통성풍험일출효응,고찰단개시장적취약성화대계통성풍험적공헌성。실증발현,일방면,위궤정도교엄중적구주오국시장적풍험관련교강,단풍험전염병불명현,함입위궤주요시원우자신경제출현문제;령일방면,덕국고기강대적경제기출,수도적영향시유한적,분연착은정시장적각색。
Based on CoVaR approach,and through measuring the risk spillover effect of financial markets in Euro area, this paper investigated the risk connectivity of these markets,and analyzed the fragility of a single market and its contribution to the systemic risk.The results indicate that the more seriously affected by the crisis,the stronger of risk connect among the countries,and the risk connectivity mainly comes from their own economic problems.While Germany,relying on its strong e-conomic basis,is less affected by the crisis,and has played a stabilizing role in the system.