CAJ | 학술논문

本文以三大国际评级机构发布的欧元区17国长期主权信用评级信息作为欧元区主权风险的替代变量，从多市场极端收益联动和市场间传导机制的角度，检验了欧债危机爆发前后欧元区主权风险冲击对中国金融市场的影响机制及其内在传导机理。实证检验结果表明：欧债危机下欧元区主权风险冲击显著增强了中国金融市场间的联合极端收益波动；这一影响在三大评级机构发布的不同欧元区国家主权信用评级信息下和中国不同金融市场间具有显著的差异性；当主权评级调至接近或达到投机级时能对中国金融市场产生系统性的投机级临界效应。本文的实证结论为增强中国政府金融干预和处置能力，从而维护金融体系稳定提供了较强的政策启示。
본문이삼대국제평급궤구발포적구원구17국장기주권신용평급신식작위구원구주권풍험적체대변량，종다시장겁단수익련동화시장간전도궤제적각도，검험료구채위궤폭발전후구원구주권풍험충격대중국금융시장적영향궤제급기내재전도궤리。실증검험결과표명：구채위궤하구원구주권풍험충격현저증강료중국금융시장간적연합겁단수익파동；저일영향재삼대평급궤구발포적불동구원구국가주권신용평급신식하화중국불동금융시장간구유현저적차이성；당주권평급조지접근혹체도투궤급시능대중국금융시장산생계통성적투궤급림계효응。본문적실증결론위증강중국정부금융간예화처치능력，종이유호금융체계은정제공료교강적정책계시。
Taking the long-term sovereign credit ratings of the 17 Euro-zone countries issued by the three major international rating agencies as the substitution variables for the Euro-zone sovereign risk, this paper investigates the impact of the Euro-zone sovereign risk shock on the financial markets in China before and after the European debt crisis. The empirical results show that the changes in the Euro-zone sovereign risk can cause significant impact on the co-exceedanc- es in China＇s financial markets. Further studies suggest that the impact of the Eu- ro-zone sovereign credit ratings vary significantly among different financial markets in China. In addition, the updates in the Euro-zone sovereign ratings can also have systemically significant speculative effects on China＇s financial markets.