| 次贷危机传染渠道的空间计量 |
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| 引用本文： | 程棵,陆凤彬,杨晓光.次贷危机传染渠道的空间计量[J].系统工程理论与实践,2012,32(3):483-494. |
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| 作者姓名： | 程棵 陆凤彬 杨晓光 |
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| 作者单位： | 1. 中国科学院 数学与系统科学研究院, 北京 100190;
2. 中国石油大学(北京), 北京 102249 |
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| 基金项目： | 国家自然科学基金重点项目(70933003);国家973计划(2007CB814902) |
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| 摘 要： | 本次美国次贷危机通过不同的传染渠道席卷全球,厘清这次危机的传染渠道对深刻认识金融危机意义重大. 选取32个经济体次贷危机前后21个季度中的数据,引入空间面板回归模型对表现金融市场关联程度的Copula传染指数进行传染渠道的实证分析, 结果表明:金融渠道是本次危机的主要传染渠道,国际贸易渠道的重要性弱于金融渠道; 同时, 流动性风险和信用风险加剧了金融传染的程度; 但货币竞争性贬值因素在美国次贷危机的传染过程中作用并不显著. 此外,区域性经济组织之间的传染明显强于地理关系之间的传染.
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| 关 键 词： | 次贷危机 传染渠道 Copula传染指数 空间面板回归模型 |
| 收稿时间： | 2011-04-08 |
Spatial analysis of US subprime mortgage crisis contagion |
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| CHENG Ke
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LU Feng-bin
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YANG Xiao-guang.Spatial analysis of US subprime mortgage crisis contagion[J].Systems Engineering —Theory & Practice,2012,32(3):483-494. |
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| Authors: | CHENG Ke LU Feng-bin YANG Xiao-guang |
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| Institution: | 1. Academy of Mathematics and Systems Science, Beijing 100190, China;
2. China University of Petroleum (Beijing), Beijing 102249 |
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| Abstract: | US subprime mortgage crisis spreads around the whole world through many routes of financial contagion,so considering the characteristics of the US subprime mortgage crisis,we choose macro and market data from 32 economies in 21 quarters before and after this crisis to analyze the index of market linkages(i.e.,Copula contagious index) by spatial panel data model.The result finds that the main contagious tunnel of US subprime mortgage crisis is financial tunnel,and international trade tunnel is less important.Besides,risk of liquidity and credit worsen the financial contagion,while competitive currency devaluation is not significant in the crisis.In addition,our analysis shows that the contagion among regional economies is much more significant than that through geography relations. |
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| Keywords: | subprime mortgage crisis contagious tunnel Copula contagious index spatial panel data model |
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