基于极值相依性的金融危机共生强度研究
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财经研究 2010 年 第 36 卷第 10 期, 页码：71 - 85
摘要
参考文献
摘要
共生性危机是金融危机研究的热点之一,经验表明不同国家同时爆发两种危机的可能性不同,但尚缺乏对危机共生强度的定量研究;copula是刻画变量之间非线性相互关系的重要方法,但函数选择目前仍缺少依据。针对这两个问题,文章由极值相依性模型推导出数十种生存copula函数的共同渐近形式,基于此构建危机共生指数,并给出一套系统检验共生性强弱及度量共生强度的方法。对1994-2009年十个新兴经济体的实证研究表明:各国的危机共生强度各异,俄罗斯、新加坡、智利和中国的金融危机具有弱共生性;爆发共生性危机的可能性很大程度上由金融自由化决定;外汇市场或金融市场遭受攻击时的极端风险更易在两者之间传导;通过本币升值稳定物价的宏观调控政策将增加双重危机爆发的可能性;控制外汇市场和银行业经营的不稳定因素是抑制共生性危机的重要途径,但在印度和中国的效果可能有限。
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[3]沈中华.银行危机与货币危机真是共生的吗?[J].金融研究,2000,6:11-22.
[4]Beck T,Demirgüc-Kunt A,Levine R.Bank concentration,competition,and crises:First results[J].Journal of Banking and Finance,2006(30):1581-1603.
[5]Bussiere M,Fratzscher M.Towards a new early warning system of financial crises[J].Journal of International Money and Finance,2006,25(6):953-973.
[6]Coles S G,Heffernan J E,Tawn J A.Dependence measures for extreme value analyses[J].Extremes,1999,2:339-365.
[7]Embrechts P,McNeil A,Straumann D.Correlation and dependence in risk manage-ment:properties and pitfalls[A].M A H Dempster.risk Management:Value at riskand beyond[C].Cambridge:University Press,2002.
[8]Fernald J,Edison H J,Loungani P.Was China the first domino?Assessing links be-tween China and other Asian economies[J].Journal of International Money and Fi-nance,1999,18(4):515-535.
[9]Frankel J,Rose A.Currency crashes in emerging markets:an empirical treatment[J].Journal of International Economics,1996,41:351-366.
[10]Glick R,Hutchison M.Banking and currency crises:how common are twin[R].Pacif-ic Basin Working Paper Series,Working Paper No.PB99-07,1999.
[11]Heffernan J E.A directory of coefficient of tail dependence[J].Extremes,2000,3(3):279-290.
[12]Herz B,Bauer C,Karb V.Another twin crisis:currency and debt crisis[J].Reviewof Economics,2003,54(3):248-267.
[13]Hill B M.A simple general approach to inference about the tail of a distribution[J].Annals of Statistics,1975,3:1163-1174.
[14]Kaminsky G L,Reinhart C M.The twin crises:the causes of banking and balance-of-payments problems[J].American Economic Review,1999,89:473-500.
[15]Ledford A W,Tawn J A.Modelling dependence within joint tail regions[J].Journalof the Royal Statistical Society,Series B,1997,59:475-499.
[16]Mckinnon R I,Pill H.Credible liberalizations and international capital flows[A].TaketoshiIto,Anne O Krueger.Financial deregulation and integration in east Asian[C].Chicago:Uni-versity of Chicago,1996.
[17]Mikosch T.How to model multivariate extremes if one must?[J].Statist.Neerland-ica,2005,59(3):324-338.
[18]Nagayasu J.Currency crisis and contagion:evidence from exchange rates and sectoralstock indices of the Philippines and Thailand[J].Journal of Asian Economics,2001,12(4):529-546.
[19]Poon S,Rockinger M,Tawn J A.Extreme-value dependence in financial markets:di-agnostics,models and financial implications[J].Review of Financial Studies,2004,17(2):581-610.
[20]Reinhart C M,Rogoff K S.This time is different:Eight centuries of financial folly[M].Princeton and Oxford:Princeton University Press,2009.
[21]Zhang Z,Shinki K.Extreme co-movements and extreme impacts in high frequency da-ta in finance[J].Journal of Banking and Finance,2007,31:1399-1415.
[22]Demirgüc-Kunt A,Detragiache E.The determinants of banking crises in developingand developed countries[J].IMF Staff Papers,1998,45:81-109.
引用本文
覃筱, 任若恩. 基于极值相依性的金融危机共生强度研究[J]. 财经研究, 2010, 36(10): 71–85.
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