Market Connectedness and Risk Spillover Based on Data from China During Post-Crisis Era

摘要：

　　Based on view of information spillover,we construct financial risk spillover index based on method of generalized forecast error variance decomposition and use rolling window to measure risk spillover level of currency market, capital market, real estate market and their sub-markets in China during post crisis era.The results show that the risk spillover effect in China is fluctuant, uncertain and asymmetric, and strong connectedness exists in Chinese financial markets.The interbank trading market, especially the repo market is risk spillover center with the strongest risk spillover effect.However, the bond market receives the most risks from other financial markets.Thus, the government should enhance supervision on interbank trading market, release relevance of financial markets appropriately and improve independence of the bond market to prevent the occurrence of systemic financial risk.

关键词： financial markets systematic financial risk risk spillover spillover index generalized forecast error variance decomposition

作者: LIU Chao XU Junhui ZHOU Wenwen

作者单位: School of Economics and Management, Beijing University of Technology, Beijing, China, 100124;Modern School of Economics and Management, Beijing University of Technology, Beijing, China, 100124

会议类型: 国际会议

会议名称: The 9th (2017)International Conference on Financial Risk and Corporate Finance Management(第九届(2017)金融风险与公司金融国际研讨会)

会议地点: 日本

会议语种:英文

页码: 215-222

在线出版日期: 2017-07-01（万方平台首次上网日期，不代表论文的发表时间）