CAJ | 학술논문

本文运用TVFAVAR模型，研究了中关基准利率调整所引发的市场风险和信用风险联动。研究发现，在繁荣时期，短期利率与市场风险和信用风险之间的联动存在“离散效应”。在不景气时期存在“复合效应”，宏观经济条件的恶化放大了利率的不利冲击，且美国市场间存在的市场风险因子与信用风险核心变量间的联动性在样本内趋于增强，忽视风险间的动态相互作用会造成对整体风险估计的偏误。本文对认识实体经济与金融市场间复杂的相互依赖关系也具有重要意义。
본문운용TVFAVAR모형，연구료중관기준리솔조정소인발적시장풍험화신용풍험련동。연구발현，재번영시기，단기리솔여시장풍험화신용풍험지간적련동존재“리산효응”。재불경기시기존재“복합효응”，굉관경제조건적악화방대료리솔적불리충격，차미국시장간존재적시장풍험인자여신용풍험핵심변량간적련동성재양본내추우증강，홀시풍험간적동태상호작용회조성대정체풍험고계적편오。본문대인식실체경제여금융시장간복잡적상호의뢰관계야구유중요의의。
In this paper, we propose a time-varying factor-augmented vector autoregressive （TVFAVAR） approach to study the interaction between market risk and credit risk caused by the adjustment of Sino-US benchmark interest rate. We found that there exist ＂diversification effects＂ between short-term interest rate and market and credit risk during the boom, and ＂compounding effects＂ during the recession. The deterioration of macroeconomic conditions amplified the adverse impact of the interest rate, and the linkage between market risk factor and the key variables of credit risk tends to be enhanced in the sample interval. Thus, neglecting the dynamic interaction among risks may lead to biased estimates of the overall risk measure. The approach sheds some light on the complex interdependence between the real economy and the financial sector.