CAJ | 학술논문

本次美国次贷危机通过不同的传染渠道席卷全球，厘清这次危机的传染渠道对深刻认识金融危机意义重大。选取32个经济体次贷危机前后21个季度中的数据，引入空间面板回归模型对表现金融市场关联程度的Copula传染指数进行传染渠道的实证分析，结果表明：金融渠道是本次危机的主要传染渠道，国际贸易渠道的重要性弱于金融渠道；同时，流动性风险和信用风险加剧了金融传染的程度；但货币竞争性贬值因素在美国次贷危机的传染过程中作用并不显著。此外，区域性经济组织之间的传染明显强于地理关系之间的传染。
본차미국차대위궤통과불동적전염거도석권전구，전청저차위궤적전염거도대심각인식금융위궤의의중대。선취32개경제체차대위궤전후21개계도중적수거，인입공간면판회귀모형대표현금융시장관련정도적Copula전염지수진행전염거도적실증분석，결과표명：금융거도시본차위궤적주요전염거도，국제무역거도적중요성약우금융거도；동시，류동성풍험화신용풍험가극료금융전염적정도；단화폐경쟁성폄치인소재미국차대위궤적전염과정중작용병불현저。차외，구역성경제조직지간적전염명현강우지리관계지간적전염。
US subprime mortgage crisis spreads around the whole world through many routes of financial contagion, so considering the characteristics of the US subprime mortgage crisis, we choose macro and market data from 32 economies in 21 quarters before and after this crisis to analyze the index of market linkages （i.e., Copula contagious index） by spatial panel data model. The result finds that the main contagious tunnel of US subprime mortgage crisis is financial tunnel, and international trade tunnel is less important. Besides, risk of liquidity and credit worsen the financial contagion, while competitive currency devaluation is not significant in the crisis. In addition, our analysis shows that the contagion among regional economies is much more significant than that through geography relations.