中国管理科学 ›› 2022, Vol. 30 ›› Issue (10): 46-59.doi: 10.16381/j.cnki.issn1003-207x.2020.0324
刘超1,2, 郭亚东1
收稿日期:
2020-03-02
修回日期:
2020-05-18
出版日期:
2022-10-20
发布日期:
2022-10-12
通讯作者:
刘超(1969-),男(汉族),山东枣庄人,北京工业大学经济与管理学院,教授,研究方向:社会经济系统分析与优化,Email:liuchao@bjut.edu.cn.
E-mail:liuchao@bjut.edu.cn
基金资助:
LIU Chao1,2, GUO Ya-dong1
Received:
2020-03-02
Revised:
2020-05-18
Online:
2022-10-20
Published:
2022-10-12
Contact:
刘超
E-mail:liuchao@bjut.edu.cn
摘要: 系统性金融风险频发,其表现出的风险溢出效应受到国内外学者广泛关注。通过极大重叠离散小波变换和溢出指数方法,从静态和动态视角定量研究不同时间尺度和阶段下我国市场行业间系统性金融风险溢出特性,并构建多时间尺度和不同风险阶段下风险溢出网络,分析其拓扑结构演化规律。实证结果发现:行业间总体风险溢出水平较高,市场整体风险联动性强;原始尺度下国防军工、农林牧渔、有色金属行业为主要的风险溢出行业,资本市场及相关行业、化工及机电、部分服务业、医药生物行业始终是主要的风险接受行业;不同时间尺度下行业间风险溢出特性会发生明显的改变,且随着时间尺度的增加,整体风险溢出特性开始减弱;内生危机时行业间风险溢出水平要高于外生危机;同一社区下的行业之间会优先发生风险的传递。所得结果可为监管者和投资者提供一定的决策参考。
中图分类号:
刘超, 郭亚东. 多时间尺度下行业间系统性金融风险溢出及拓扑结构分析[J]. 中国管理科学, 2022, 30(10): 46-59.
LIU Chao, GUO Ya-dong. Systemic Financial Risk Spillover and Its Topology Analysis of Sector Indexes in China under a Multi-Scale View[J]. Chinese Journal of Management Science, 2022, 30(10): 46-59.
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