本文選題：風(fēng)險(xiǎn)傳導(dǎo)　切入點(diǎn)：MVMQ-CAViaR模型　出處：《中國(guó)管理科學(xué)》2017年08期 　論文類型：期刊論文

【摘要】：針對(duì)原始MVMQ-CAViaR模型未考慮正負(fù)沖擊具有非對(duì)稱性的不足,本文將其擴(kuò)展為非對(duì)稱MVMQCAViaR模型和聯(lián)合非對(duì)稱MVMQ-CAViaR模型,繼而運(yùn)用該模型分析了我國(guó)金融業(yè)不同板塊間的風(fēng)險(xiǎn)傳導(dǎo)效應(yīng),并采用嚴(yán)謹(jǐn)?shù)暮鬁y(cè)檢驗(yàn)對(duì)比了各個(gè)模型的預(yù)測(cè)效果。結(jié)果表明,銀行對(duì)證券和保險(xiǎn)板塊均具有顯著的風(fēng)險(xiǎn)傳染效應(yīng),而證券只能單方向地吸收其他板塊的風(fēng)險(xiǎn)溢出;正負(fù)信息沖擊對(duì)自身以及其他板塊存在不同程度的非對(duì)稱特征,且指數(shù)下跌對(duì)VaR的影響效果要強(qiáng)于指數(shù)上漲,聯(lián)合負(fù)向沖擊會(huì)放大原有的風(fēng)險(xiǎn)水平;新構(gòu)建的兩個(gè)非對(duì)稱模型能顯著提升原有模型風(fēng)險(xiǎn)預(yù)測(cè)精度,其中聯(lián)合非對(duì)稱MVMQ-CAViaR模型的預(yù)測(cè)效果更佳。
[Abstract]:In view of the disadvantage that the original MVMQ-CAViaR model does not consider the asymmetry of positive and negative shocks, this paper extends it to asymmetric MVMQCAViaR model and joint asymmetric MVMQ-CAViaR model, and then uses the model to analyze the risk conduction effect between different sectors of the financial industry in China. The results show that banks have significant risk contagion effects on securities and insurance plates, while securities can only absorb risk spillover from other plates in one direction. Positive and negative information shocks have asymmetric characteristics to themselves and other plates, and the effect of index decline on VaR is stronger than that of index rising, and the combined negative impact will amplify the original risk level. The two new asymmetric models can significantly improve the risk prediction accuracy of the original model, and the combined asymmetric MVMQ-CAViaR model is more effective.
【作者單位】： 復(fù)旦大學(xué)經(jīng)濟(jì)學(xué)學(xué)院;華中科技大學(xué)經(jīng)濟(jì)學(xué)院;中南財(cái)經(jīng)政法大學(xué);
【基金】：中央高�；究蒲袠I(yè)務(wù)費(fèi)資助項(xiàng)目(2016AD007) 國(guó)家自然科學(xué)基金資助項(xiàng)目(71402191)
【分類號(hào)】：F224;F832
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本文編號(hào)：1576853