基于R藤copula变点模型的金砖四国金融传染性与稳定性检验

doi:10.3969/j.issn.0253-2778.2018.08.009

中国科学技术大学学报 ›› 2018, Vol. 48 ›› Issue (8): 655-666.DOI: 10.3969/j.issn.0253-2778.2018.08.009

基于R藤copula变点模型的金砖四国金融传染性与稳定性检验

叶五一，郭人榛，缪柏其

中国科学技术大学管理学院统计与金融系，安徽合肥 230026

收稿日期:2017-12-13 修回日期:2018-02-25 接受日期:2018-02-25 出版日期:2018-08-31 发布日期:2018-02-25
通讯作者: 叶五一
作者简介:叶五一（通讯作者），男，1979年生，博士/副教授.研究方向：风险管理，金融工程.E-mail:wyye@ustc.edu.cn
基金资助:
国家自然科学基金(71371007,71172214）资助.

Financial contagion and stability test of BRIC countries based on R-vine copula change-point model

YE Wuyi, GUO Renzhen, MIAO Baiqi

Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230026, China

Received:2017-12-13 Revised:2018-02-25 Accepted:2018-02-25 Online:2018-08-31 Published:2018-02-25

摘要/Abstract

摘要： 从所分析国家与全球系统性风险相依关系的角度对金融传染性与稳定性进行刻画，以MSCI全球指数代表全球系统性风险因子，分析新兴市场代表国家——金砖四国（中国、俄罗斯、印度、巴西）的主要股指与MSCI全球指数之间的相依结构，进而对金砖四国的金融传染与稳定进行实证分析.为了分析系统性风险对金砖四国影响的结构性变化，对R藤copula进行变点检验，分析金砖四国金融传染性与稳定性受金融危机及金砖国家会议等事件的影响，并采用以MSCI指数为条件的相关系数度量金砖国家间的金融传染性与稳定性.实证结果表明，系统性风险可控后金砖国家股市独立性增强，金融危机过后金砖国家所受系统性风险冲击变大，通过金砖国家会议各国合作加强后有助于降低金砖国家之间的风险传染.

关键词: 金融传染性与稳定性, 金砖四国, R藤copula, 变点检测

Abstract: The BRIC countries (Brazil, Russia, India and China) are representations of the emerging markets. Financial contagion and stability from the perspective of the dependence of the analyzed countries on the global systemic risk was characterized, with the MSCI Global Index representing the global systemic risk factor. The dependency structure of the BRIC’s major indexes and the MSCI global index was analyzed, and an empirical analysis of the financial stability of the BRIC countries was performed. To analyze the structural changes of systemic risk impact on the BRIC countries, R-vine copula was used to test the change point and analyze the financial contagion and stability of the BRIC countries affected by the financial crisis and BRICs events. The financial stability among BRIC countries was measured using the correlation coefficient based on the MSCI index. The empirical results show that after the control of systemic risk, the independence of the BRIC countries’ stock markets has been strengthened. The BRIC countries have been hit harder by systemic risks after the financial crisis. Strengthening BRIC countries’ cooperation will help to reduce the risk of the affection between BRIC countries.

Key words: financial contagion and stability, BRIC countries, R-vine copula, change-point testing

中图分类号:

F764.1
F823

叶五一，郭人榛，缪柏其. 基于R藤copula变点模型的金砖四国金融传染性与稳定性检验[J]. 中国科学技术大学学报, 2018, 48(8): 655-666.

YE Wuyi, GUO Renzhen, MIAO Baiqi. Financial contagion and stability test of BRIC countries based on R-vine copula change-point model[J]. Journal of University of Science and Technology of China, 2018, 48(8): 655-666.

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基于R藤copula变点模型的金砖四国金融传染性与稳定性检验

Financial contagion and stability test of BRIC countries based on R-vine copula change-point model

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