基于VAR模型的金融危机传染效应检验方法与实证分析

随着国际经济一体化程度的提高,经济风险的波及效应也日益显著。20世纪90年代以来爆发的国际金融危机,通过金融市场体系对各国产生的传染效应便是典型的表现之一。本文运用VAR系统的方法,提出了通过分析危机前后各国市场波动性之间的因果关系的变化、以及被传染国家对危机发源国的冲击响应的变化,来检验金融危机传染效应的新方法。并运用此方法,实证分析了亚洲金融危机的传染效应。

Testing Approach and Empirical Analysis on Contagion Effect Based on VAR Model

With the improvement of integration of the international economy, propagation effect of the economic risks becomes increasingly striking. The international financial crises in the 1990's are typical cases that have exerted a contagion effect on the countries through the international financial system. Applying VAR model, this paper introduces a new method to testify the contagion effect of crisis by analyzing the Granger Causality change of the volatility of two markets and the change of impulse response of the infected country to original crisis country prior to and after crisis periods. I have also empirically examined the contagion effect in Asia with the application of this method.