次贷危机下我国资本市场与银行体系跨市场风险传染实证研究

跨市场风险传染是在金融工具创新和金融业务融合的过程中,金融风险跨越原有金融分业经营界限由某一金融机构、金融市场向其他金融机构和市场传导的机制.本文通过构造资本市场三大价格指数,利用格兰杰(Granger)因果关系检验、向量自回归模型(VAR模型)、方差分解和脉冲响应函数对次贷危机给我国资本市场带来的金融风险向银行体系传导进行实证分析,并得出股票市场风险的跨市场传染是资本市场金融风险向银行体系传导的主要形式,股票市场对信贷市场的影响时间更长,而股票市场对票据市场的冲击强度更大.

Empirical Study on the Cross-market risk Contagion Between China's Capital Market and the Banking System Under the Sub-prime Mortgage Crisis

The contagion of cross-market risk is the mechanism that financial risk spreads from one financial institution or financial market to another financial institution or financial market during the process of financial instruments innovation and financial business integration.In this paper,we give out three major capital price index and make out empirical analysis on the financial risk contagion from the capital market to the banking system in China under the sub-prime mortgage crisis by using Granger causality test,Vector Auto-regression (VAR) model,variance decomposition and impulse response function.Finally,in this paper the conclusions are given that the cross-market contagion of stock market risk is the main form of financial risk transmission from capital market to the banking system,that the stock market affects the credit market longer and that the stock market impacts on the bill market more serious.