CAJ | 학술논문

在经济全球化及金融自由化背景下,各国金融市场极端事件频频爆发,由于投资主体的非理性预期、恐慌心理蔓延、资产抛售的羊群行为等所造成的极端风险净传染,最终会导致不同国家金融市场表现出过度协同效应。文章首先从国家组群视角探究金融市场极端风险溢出的净传染机理,然后构建基于空间地理距离和经济-制度相似性两类空间权重矩阵的空间面板模型,最后将2006年至2013年样本数据分为四个阶段实证检验金砖国家之间是否存在金融市场极端风险净传染现象。研究结果表明：在面临发达国家极端金融风险源的冲击下,由于国际金融市场恐慌心理传播导致的投资者信心丧失、主观预期反转、风险偏好变迁造成对金融资产的羊群式抛售行为,金砖国家间金融市场极端风险可能存在净传染效应,但不同阶段结果会有所区别。具体来说,第一阶段只表现出基于空间地理关系造成的净传染,在第三阶段基于空间地理关系和经济、制度相似性造成的金砖国家间金融市场极端风险的净传染均存在,而在第二、四阶段并不存在基于空间距离、经济制度相似性所带来的金融市场极端风险的净传染现象。
재경제전구화급금융자유화배경하,각국금융시장겁단사건빈빈폭발,유우투자주체적비이성예기、공황심리만연、자산포수적양군행위등소조성적겁단풍험정전염,최종회도치불동국가금융시장표현출과도협동효응。문장수선종국가조군시각탐구금융시장겁단풍험일출적정전염궤리,연후구건기우공간지리거리화경제-제도상사성량류공간권중구진적공간면판모형,최후장2006년지2013년양본수거분위사개계단실증검험금전국가지간시부존재금융시장겁단풍험정전염현상。연구결과표명：재면림발체국가겁단금융풍험원적충격하,유우국제금융시장공황심리전파도치적투자자신심상실、주관예기반전、풍험편호변천조성대금융자산적양군식포수행위,금전국가간금융시장겁단풍험가능존재정전염효응,단불동계단결과회유소구별。구체래설,제일계단지표현출기우공간지리관계조성적정전염,재제삼계단기우공간지리관계화경제、제도상사성조성적금전국가간금융시장겁단풍험적정전염균존재,이재제이、사계단병불존재기우공간거리、경제제도상사성소대래적금융시장겁단풍험적정전염현상。
Under the background of world trade integration and financial liberalization, the financial markets in different countries show excessive coordination after the outbreak of extreme events. This is mainly due to the pure contagion caused by investors＇ change of psychological expectations, risk appetite, panic spread, and herd behaviors. The paper constructs a spatial error model based on two kinds of spatial weight matrix to test the existence of the pure contagion of the risk sources among the BRICS. The results show that there exists the pure contagion of extreme risk in the financial markets among the BRICS in the first stage of the geographical relationship based on space and the third stage caused by spatial relation and economic system similarity. However, the pure contagion caused by these factors does not exist in the second and fourth stages.