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

【摘要】：針對原始MVMQ-CAViaR模型未考慮正負(fù)沖擊具有非對稱性的不足,本文將其擴(kuò)展為非對稱MVMQCAViaR模型和聯(lián)合非對稱MVMQ-CAViaR模型,繼而運用該模型分析了我國金融業(yè)不同板塊間的風(fēng)險傳導(dǎo)效應(yīng),并采用嚴(yán)謹(jǐn)?shù)暮鬁y檢驗對比了各個模型的預(yù)測效果。結(jié)果表明,銀行對證券和保險板塊均具有顯著的風(fēng)險傳染效應(yīng),而證券只能單方向地吸收其他板塊的風(fēng)險溢出;正負(fù)信息沖擊對自身以及其他板塊存在不同程度的非對稱特征,且指數(shù)下跌對VaR的影響效果要強于指數(shù)上漲,聯(lián)合負(fù)向沖擊會放大原有的風(fēng)險水平;新構(gòu)建的兩個非對稱模型能顯著提升原有模型風(fēng)險預(yù)測精度,其中聯(lián)合非對稱MVMQ-CAViaR模型的預(yù)測效果更佳。
[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;中南財經(jīng)政法大學(xué);
【基金】：中央高�；究蒲袠I(yè)務(wù)費資助項目(2016AD007) 國家自然科學(xué)基金資助項目(71402191)
【分類號】：F224;F832
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本文編號：1576853