中国管理科学 ›› 2023, Vol. 31 ›› Issue (4): 35-45.doi: 10.16381/j.cnki.issn1003-207x.2020.1190
• 论文 • 上一篇
郝俊1, 李建平1, 冯倩倩2, 3, 孙晓蕾2, 3
收稿日期:
2020-06-22
修回日期:
2021-03-12
发布日期:
2023-05-06
通讯作者:
孙晓蕾(1981-),女(汉族),山东烟台人,中国科学院科技战略咨询研究院,研究员,博士,研究方向:风险管理,Email:xlsun@casisd.cn.
E-mail:xlsun@casisd.cn
基金资助:
HAO Jun1, LI Jian-ping1, FENG Qian-qian2, 3, SUN Xiao-lei2, 3
Received:
2020-06-22
Revised:
2021-03-12
Published:
2023-05-06
Contact:
孙晓蕾
E-mail:xlsun@casisd.cn
摘要: 新冠肺炎疫情冲击,叠加油价下跌等不确定性因素使得全球金融市场承受巨大的下行压力;且金融市场内部的联动性不断增强,金融变量间的波动溢出效应往往会放大风险水平,因此国际社会对美国金融市场动荡是否会演化成金融危机保持极大担忧与高度警惕。在此背景下,如何有效刻画金融市场间的溢出效应,并实现对美国金融危机早期预警已成为关注焦点。对此,本文首先考虑疫情冲击下金融市场波动特点,构建涵盖9个市场、涉及15项指标的危机预警指标体系;其次,引入广义预测误差方差分解和复杂网络技术,刻画金融市场间的溢出效应;最后,将溢出效应引入传统KLR模型之中,实现了考虑指标间溢出效应的危机预警信号综合集成。结果表明:基于溢出效应强度构建的综合预警模型能够更为精准地捕捉危机信号;危机预警信号在2020年4月已接近2008年金融危机的早期水平,但仍存在一定距离,需要持续关注其未来走势。
中图分类号:
郝俊, 李建平, 冯倩倩, 孙晓蕾. 基于溢出效应的金融危机早期预警方法研究[J]. 中国管理科学, 2023, 31(4): 35-45.
HAO Jun, LI Jian-ping, FENG Qian-qian, SUN Xiao-lei. Early Warning of Financial Crisis Based on the Spillover Effects[J]. Chinese Journal of Management Science, 2023, 31(4): 35-45.
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