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| 文章编号：1672-3104(2020)04-0100-11 |
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中国金融子市场周期波动的关联动态与溢出效应检验 |
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邓创1,2，谢敬轩2 |
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（1. 吉林大学数量经济研究中心，吉林长春，130012；
2. 吉林大学商学院，吉林长春，130012） |
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| 摘 要： 金融子市场周期波动之间的信息溢出与交互影响是金融风险传导的重要途径。在比较信贷、债券、股票、货币、外汇和房地产等六大金融子市场周期运行态势和波动特征的基础上，利用有向无环图(DAG)方法考察各金融子市场波动间的同期因果关系，并采用基于广义预测误差方差分解的动态溢出指数模型实证检验各金融子市场间的交互影响动态。研究表明：中国各金融子市场的周期波动态势存在较大差异，其中股票市场具有显著的长扩张、短收缩波动特征，而房地产、信贷、债券市场等则表现出长收缩、短扩张波动态势；各金融子市场波动之间的同期因果关系和交互影响动态均具表现出时变性或阶段性差异，近年来信贷市场、股票市场和房地产市场受其他金融子市场周期波动的溢出效应明显增强。 |
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| 关键词： 金融子市场；金融周期波动；同期因果关系；有向无环图；动态溢出指数 |
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The correlation dynamics and spillover effects among financial sub-market cycle fluctuation in China |
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DENG Chuang1,2, XIE Jingxuan2 |
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（1. Center for Quantitative Economics, Jilin University, Changchun 130012, China;
2. School of Business, Jilin University, Changchun 130012, China） |
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| Abstract: Information spillovers and interactive effects among financial sub-market cycle fluctuations are important channels for financial risk transmission. On the basis of comparing the cyclical operating trends and volatility characteristics of six major financial sub-markets, including credit, bonds, stocks, currencies, foreign exchange, and real estate, the present study employed the directed acyclic graph (DAG) method to examine the concurrent causality among financial sub-market fluctuations, and exploited the dynamic spillover index model based on generalized forecast error variance decomposition to test empirically the dynamics of interaction among financial sub-markets. The research shows that there exist great differences in the financial sub-market cycle fluctuations in China. Among them, the stock market has significant long-expansion and short-shrinkage fluctuation characteristics, while the real estate, credit, and bond markets exhibit long-shrinkage and short-expansion fluctuation posture. Both causality and interaction dynamics among financial sub-market fluctuation show time-varying or phased differences. In the recent years, the spillover effects of the cycle fluctuations of other sub-markets in the credit market, stock market and real estate market have been significantly enhanced. |
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Key words: financial sub-market; financial cycle fluctuation; synchronic causality; directed acyclic graph; dynamic spillover index |
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