基于变系数分位点回归的金砖四国金融稳定分析
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摘要
金融不稳定性累积到一定程度就会引发金融危机,而新兴市场作为世界经济发展的重要增长点,同时也是金融危机爆发的重灾区.因此,新兴市场金融稳定性的研究至关重要.本文基于新兴市场代表国家——金砖四国(中国,俄罗斯,印度,巴西)的主要综合股指对金融稳定性进行了实证研究.与传统金融稳定性的研究方法不同,本文考虑系统性冲击在正常和极端市场下对不同国家金融市场的影响.首先应用分位数回归模型对金砖四国的金融稳定性进行检验,进而基于变系数分位数模型研究系统性冲击对金融市场稳定性的影响随时间变化的趋势,对金融稳定性进行了时变分析.实证结果表明,金砖四国都具有某种程度的金融不稳定性,近期中国和巴西在5%分位点处的金融不稳定性受系统性冲击的影响相对于印度和俄罗斯更加剧烈.
A crisis occurs when the financial instability is up to a certain degree. As the important growth point of global economic development,emerging markets suffered from the heavy blow of the financial crisis.Thus,it is imperative to study the financial stability of emerging markets. This paper mainly discusses the financial stability of the major stocks of BRIC countries( China,Russia,India,Brazil),the representatives of the emerging markets. Different from the traditional methods in this field,this paper focuses on the influence of systemic shock on normal and extreme markets respectively. First,aquantile regression model is used to test the financial stability of the BRICs. Then a variable coefficient quantile model is proposed to study the timevarying trend of the impact that systematic shock has imposed on their financial stability. Also,a time-varying analysis is conducted subsequently. The empirical result shows that each of the BRICs has a certain degree of financial instability. China and Brazil suffers more severely from the systematic shock at the 5 percentages compared with India and Russia recently.
A crisis occurs when the financial instability is up to a certain degree. As the important growth point of global economic development,emerging markets suffered from the heavy blow of the financial crisis.Thus,it is imperative to study the financial stability of emerging markets. This paper mainly discusses the financial stability of the major stocks of BRIC countries( China,Russia,India,Brazil),the representatives of the emerging markets. Different from the traditional methods in this field,this paper focuses on the influence of systemic shock on normal and extreme markets respectively. First,aquantile regression model is used to test the financial stability of the BRICs. Then a variable coefficient quantile model is proposed to study the timevarying trend of the impact that systematic shock has imposed on their financial stability. Also,a time-varying analysis is conducted subsequently. The empirical result shows that each of the BRICs has a certain degree of financial instability. China and Brazil suffers more severely from the systematic shock at the 5 percentages compared with India and Russia recently.
引文
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[15]刘烨,方立兵,李冬昕,等.融资融券交易与市场稳定性:基于动态视角的证据[J].管理科学学报,2016,19(1):102-116.Liu Ye,Fang Libing,Li Dongxin,et al.Margin trading and the stability of stock market:A dynamic perspective[J].Journal of Management Sciences in China,2016,19(1):102-116.(in Chinese)
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[20]Roger L,Stacey L S.A model of financial fragility[J].Journal of Economic Theory,2001,99(1/2):220-264.
[2]Keynes J M.The General Theory of Employment,Interest,and Money[M].New York:Harcourt Brace and World,1936.
[3]Hyman P,Minsky D.A Theory of Systemic Fragility[M].//Altman E D.Sametz A W(Eds.),Financial Crises:Institutions and Markets in a Fragile Environment,London:John Wiley and Sons,1977.
[4]Aoki K,Nikolov K.Bubbles,banks and financial stability[J].Journal of Monetary Economics,2015,74(6):33-51.
[5]Albulescu C T.Financial stability and monetary policy:A reduced form model for the euro area[J].Romanian Journal of E-conomic Forecasting,2013a,16(1):62-81.
[6]Bernoth K,Pick A.Forecasting the fragility of the banking and insurance sectors[J].Journal of Banking and Finance 2011,35(4):807-818.
[7]Anufriev M,Tuinstra J.The impact of short-selling constraints on financial market stability in a heterogeneous agents model[J].Journal of Economic Dynamics and Control,2013,37(8):1523-1543.
[8]Horváth R,Va2ko D.Central bank transparency and financial stability[J].Journal of Financial Stability,2016,22(1):45-56.
[9]Blot C,Creel J,Hubert P,et al.Assessing the link between price and financial stability[J].Journal of Financial Stability,2015,16(1):71-88.
[10]Sensoy A,Ozturk K,Hacihasanoglu E.Constructing a financial fragility index for emerging countries[J].Finance Research Letters,2014,11(4):410-419.
[11]黄金老.论金融脆弱性[J].金融研究,2001,(3):41-49.Huang Jinlao.The theory of financial fragility[J].Journal of Finance,2001,(3):41-49.(in Chinese)
[12]耿志祥,费为银.金融资产风险度量及其在风险投资中的应用---基于稳定分布的新视角[J].管理科学学报,2016,19(7):87-101.Geng Zhixiang,Fei Weiyin.Risk measures of financial assets and its application in risk investment:From the new perspective of stable distribution[J].Journal of Management Sciences in China,2016,19(7):87-101.(in Chinese)
[13]文凤华,张阿兰,戴志峰,等.房地产价格波动与金融脆弱性---基于中国的实证研究[J].中国管理科学,2012,20(2)1-10.Wen Fenghua,Zhang Alan,Dai Zhifeng,et al.Price fluctuation of real estate industry and financial fragility:An empirical study based on Chinese[J].Chinese Journal of Management Science,2012,20(2),1-10.(in Chinese)
[14]马亚明,赵慧.热钱流动对资产价格波动和金融脆弱性的影响---基于SVAR模型的实证分析[J].现代财经,2012,(6)5-15.MaY aming,Zhao Hui.On the effect of hot money flows on asset price fluctuation and financial fragility:Based on empirical analysis of SVAR model[J].Modern Finance and Economics,2012,(6):5-15.(in Chinese)
[15]刘烨,方立兵,李冬昕,等.融资融券交易与市场稳定性:基于动态视角的证据[J].管理科学学报,2016,19(1):102-116.Liu Ye,Fang Libing,Li Dongxin,et al.Margin trading and the stability of stock market:A dynamic perspective[J].Journal of Management Sciences in China,2016,19(1):102-116.(in Chinese)
[16]Baur D G,Schulze N.Financial market stability-A test[J].Journal of International Financial Markets,Institutions and Money,2009,19(3):506-519.
[17]Koenker R,Bassett Jr G.Regression quantiles[J].Econometrica:Journal of the Econometric Society,1978,46(1):33-50.
[18]Cai Z,Xu X.Nonparametric quantile estimations for dynamic smooth coefficient models[J].Journal of the American Statistical Association,2008,104(485):371-383.
[19]史金凤,刘维奇,杨威.基于分位数回归的金融市场稳定性检验[J].中国管理科学,2011,19(2):24-29.Shi Jinfeng,Liu Weiqi,Yang Wei.Test for financial market stability based on quantile regression method[J].Chinese Journal of Management Science,2011,19(2):24-29.(in Chinese)
[20]Roger L,Stacey L S.A model of financial fragility[J].Journal of Economic Theory,2001,99(1/2):220-264.