Dynamic Evolution and Industry Aggregation of Risk Contagion Based on Spatial Econometrics

摘要：

　　With the accelerating of virtualization trends of fimancial field, it is imminent to promote coordinated development of financial markets and the real economy.The mixed transmission mechanism of the fimancial field and the real economy has become hot research.This paper uses spatial econometrics theory and time varying copula approach to define Generalized Economic Metric Distance.And then we establish financial contagion network topology of cross regional and real sectors.Based on this, we study dynamic evolution mechanism of shock effects of the financial crisis.The research results show that shock effect has the dynamic evolution characteristics with the development of the financial crisis.In different crisis period, the network center node is different.Shock effects of the financial crisis on real economy have obvious industry clustering and hierarchy.

关键词： Spatial econometrics Financial contagion Shock path Time varying T-copula

作者: LI Li TIAN Yi-xiang MOU Sheng-dong XIAO Zhuang

作者单位: School of Management and Economics,University of Electronic Science and Technology of China,Chengdu,P.R.China,611731

会议类型: 国际会议

会议名称: 2015 International Conference on Public Administration (11 th)2015(第十一届)公共管理国际会议

会议地点: 印度尼西亚

会议语种:英文

页码: 1115-1121

在线出版日期: 2015-12-09（万方平台首次上网日期，不代表论文的发表时间）