CAJ | 학술논문

国家间国家风险的相互关联状况, 已成为影响全球投资战略和国际资本流动的重要决定因素, 因此有必要深入识别国家风险相关性特征. 本文基于信息熵理论, 引入互信息构建广义相关系数刻画国家风险间复杂的相关关系, 并通过构建＂多阶段-多要素＂的分析框架, 刻画了2007 年金融危机前后政治、经济、金融三种国家风险要素的相关性特征差异. 以金砖国家为例, 研究发现：金融危机前后综合国家风险相关性变化明显; 即使国家间综合国家风险相关性变化趋势相似, 但其内在的国家风险要素相关性特征差异显著. 研究结果有利于国际投资者规避来自国家层面的不确定性损失, 对国际贸易与投资有着重要的指导意义.
국가간국가풍험적상호관련상황, 이성위영향전구투자전략화국제자본류동적중요결정인소, 인차유필요심입식별국가풍험상관성특정. 본문기우신식적이론, 인입호신식구건엄의상관계수각화국가풍험간복잡적상관관계, 병통과구건＂다계단-다요소＂적분석광가, 각화료2007 년금융위궤전후정치、경제、금융삼충국가풍험요소적상관성특정차이. 이금전국가위례, 연구발현： 금융위궤전후종합국가풍험상관성변화명현; 즉사국가간종합국가풍험상관성변화추세상사, 단기내재적국가풍험요소상관성특정차이현저. 연구결과유리우국제투자자규피래자국가층면적불학정성손실, 대국제무역여투자유착중요적지도의의.
Correlation of country risk between different countries has been a crucial influencing factor for worldwide investment strategy and international capital flow. Given this, identifying the correlation characteristics is of great importance. In this paper, mutual information is introduced based on the information entropy theory to construct globalized correlation, which will be used to depict the complex correlation relationship between different countries＇ country risk. Further, a ‘multi-phase ＆ multi-elements’ frame is proposed and correlation characteristic differences before and after financial crisis in 2007 for political/economic/financial risk are given respectively. BRICS countries are selected as the sample countries, and results as follows are obtained. For composite country risk, after the crisis correlation between the five countries changes obviously compared with its behavior before the financial crisis. Even if correlation of composite country risk changes in the same way, the correlation characteristics for different country risk elements may also behave differently. Results obtained in this paper can not only help international investors avoiding lost coming from country risk, but also offer guidance for international trade and investment.