国际金融研究
國際金融研究
국제금융연구
Studies of International Finance
2013年
5期
49~62
,共null页
金融压力 风险传染 系统性金融风险 宏观审慎监管
金融壓力 風險傳染 繫統性金融風險 宏觀審慎鑑管
금융압력 풍험전염 계통성금융풍험 굉관심신감관
Financial Stress; Risk Contagion; Systematic Financial Risk; Macro Prudential Supervision
本文选取12个新兴市场国家1997年至2009年的月度数据，运用金融压力指数和面板VAR模型研究主要金融领域风险的传染性及其对宏观审慎监管的政策含义。主要结论是：新兴市场国家各金融市场间普遍存在金融压力的传染性；金融压力的传染性突出体现在危机阶段，稳定期则不显著；外汇市场压力的溢出效应最普遍，银行系统压力的溢出效应最弱。最后，本文就主要研究结论对宏观审慎监管的政策含义进行了阐释。
本文選取12箇新興市場國傢1997年至2009年的月度數據，運用金融壓力指數和麵闆VAR模型研究主要金融領域風險的傳染性及其對宏觀審慎鑑管的政策含義。主要結論是：新興市場國傢各金融市場間普遍存在金融壓力的傳染性；金融壓力的傳染性突齣體現在危機階段，穩定期則不顯著；外彙市場壓力的溢齣效應最普遍，銀行繫統壓力的溢齣效應最弱。最後，本文就主要研究結論對宏觀審慎鑑管的政策含義進行瞭闡釋。
본문선취12개신흥시장국가1997년지2009년적월도수거，운용금융압력지수화면판VAR모형연구주요금융영역풍험적전염성급기대굉관심신감관적정책함의。주요결론시：신흥시장국가각금융시장간보편존재금융압력적전염성；금융압력적전염성돌출체현재위궤계단，은정기칙불현저；외회시장압력적일출효응최보편，은행계통압력적일출효응최약。최후，본문취주요연구결론대굉관심신감관적정책함의진행료천석。
The contagious effects of financial risks among different financial areas, such as foreign exchange market, bank system, stock market and bond market, are analyzed based on the data of twelve Newly Emerging Markets during the period between 1997 and 2009 using the financial stress index and the .panel VAR. Some results are achieved as followed： the contagious effects exist universally among the financial areas in the Newly Emerging Countries; the contagious effects of financial stress are significant in the crisis period, but not significant in the stable period; the foreign exchange market pressure has comprehensive contagious effect on all the other financial areas; the bank system pressure has very limited contagious effect on other financial areas. In the end, the policy significance of the results for the macro-prudential supervision is interpreted.
