The Study of Financial Stress Spillover Network——Based on Time and Frequency Domain

Abstract

Abstract: The financial stress index can provide a reference for the risk level of the financial system, but it is insufficient to investigate the linkages of stress between financial sectors. With the employment of the “spillover index” method, this paper revises and expands the financial stress index to track the total amount and the direction of stress spillovers in the securities, bonds, banking, currency and foreign exchange markets, thereby to build a spillover network of financial stress within the financial system. The results of the study are as follows: In China's financial system, the spillover of stress output by the banking industry is the lowest among the five sectors, and the banking sector is not closely linked to other markets; the financial stress of each financial sector is highly time-varying, and the correlation within the system will increase significantly during the financial crisis; the correlation level of the financial stress is mainly affected by events with longer duration and influence, but it also can be caused by irrational investment behaviors such as noise trading.

Key words: Financial Stress, Risk Transmission, Network Analysis

摘要： 金融压力指数可以为金融体系的整体风险水平提供参考,但对于金融系统内部联动性的考察存在不足。本文通过“溢出指数”方法对金融压力指数进行修正和扩展,以跟踪股票、债券、银行、货币和外汇市场压力的溢出总量和方向,并构建金融压力在金融系统内的关联网络。研究表明,我国金融体系中银行业的压力溢出水平在五个部门中最低,与其他市场的联系并不紧密;金融压力在金融系统内的关联具有很强的时变性,在金融危机事件期间会显著上升;金融压力在金融系统内的关联水平主要受较长周期事件影响,但是噪声交易等非理性投资行为所带来的干扰不应忽视。

关键词: 金融压力, 风险传导, 关联网络分析

CLC Number:

F832.59

YE Fangbing, ZHAO Pei, LIU Jingshan. The Study of Financial Stress Spillover Network——Based on Time and Frequency Domain[J]. , 2021, 37(5): 59-71.

叶方冰, 赵沛, 刘精山. 金融压力溢出关联网络研究——基于时域与频域的视角[J]. 财经论丛, 2021, 37(5): 59-71.

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