| 摘要: |
| 本文在梳理金融危机传染的定义，分析金融危机传染的机理，介绍Copula函数的金融危机传染检验方法的基础上，通过运用多种静态Copula和动态Copula函数对金融危机传染进行了分析。主要结论包括三个方面：一是金融危机时期，中国股市下跌与美国股市下跌在一定程度上存在联动，但中国股市的波动也有一定独立性；二是全球金融危机后，国内股市和债市呈现显著负相关性关系；三是从国内金融机构看，不论是否处于危机期间，国有商业银行之间、国有商业银行与中小型银行之间的风险传染并不明显，中小型银行之间风险传染较强，但不是由金融危机引起的，而是由其他因素导致。 |
| 关键词: 金融危机；Copula函数；风险传染 |
| DOI： |
| 分类号:F830.2 |
| 基金项目: |
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| Empirical Analysis on the Contagion of Financial Crisis |
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JIANG Jie，CHEN Jie，HE Hai-ying，FENG Li-li
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People’s Bank of China，Chongqing Operations Office
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| Abstract: |
| Based on the definition，mechanism，and testing models of financial contagion，the paper uses static Copula and dynamic Copula functions to analyse the influences of financial contagion.The main conclusions can be summarized as follows.First，during the financial crisis，to some extent China stock market declined along with the US stock market，while no statistically significant evidences confirm the correlation of this co-movement，and the volatility of China stock market exhibits some independence.Second，there is a strong negative correlation between domestic stock market and the bond market in the post global financial crisis.Third，in terms of domestic financial institutions，whether or not during the crisis，there isnt significant risk contagion among the state-owned commercial banks or between the state-owned commercial banks and small and medium-sized commercial banks.However，the risk contagion between small and medium-sized commercial banks is relatively strong due to the other factors rather than the financial crisis. |
| Key words: Financial Crisis；Copula Function；Risk Contagion |
