| 多条件行为网络下金融市场间溢出效应分析 |
| Spillover effects among financial markets under multi-condition behavioral networks |
| 摘要点击 48 全文点击 0 投稿时间：2025-01-08 修订日期：2025-11-13 |
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| 中文关键词 溢出效应，分位数公因子误差向量自回归模型，分位数连通性，金融网络分析 |
| 英文关键词 spillover effects; quantile common factor error vector autoregressive model; quantile connectivity; financial network analysis |
| 基金项目 国家自然科学基金项目（面上项目，重点项目，重大项目） |
| 投稿方向 金融工程与风险管理 |
| 作者 | 单位 | 邮编 | | 刘超 | 北京工业大学 | 100124 | | 钱存* | 北京工业大学 | 100124 | | 朱文君 | 南洋理工大学 | |
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| 中文摘要 |
| 金融市场间的溢出效应存在明显的市场条件异质性，识别其分位数依赖特征对提升资产配置与风险管理效能具有重要价值。基于中国金融市场多维度指标体系，构建分位数公因子误差向量自回归模型，结合动态网络分析，揭示不同市场条件下收益与波动溢出效应的异质性特征及网络演化规律，并分析宏观状态变量的影响。实证发现：收益与波动溢出呈现非线性和尾部非对称性特征，分别在双尾、右尾增强，且受更多公共因子驱动。极端条件下，网络连通度提升但强关联占比下降，货币市场节点中心性凸显；收益溢出网络中常态条件由实体经济关联市场主导风险传导，尾部条件下避险资产和金融中介市场形成关键枢纽；极端条件下波动溢出网络呈现“全域共振”特征，传统金融与商品市场波动联动由弱转强。另外，货币政策与宏观经济景气度是共同影响溢出的核心宏观变量。本研究拓展了分位数视角下的金融市场间溢出机制认知，为系统性风险防范提供了新的经验证据。 |
| 英文摘要 |
| Identifying quantile-dependent spillover characteristics among financial markets is essential for effective risk management and asset allocation, as spillovers exhibit heterogeneity under varying market conditions. This paper develops a quantile common factor error vector autoregression model based on Chinese financial market indices. Using dynamic network analysis, the study examines return and volatility spillovers and their evolution across market states, considering macroeconomic influences. Results show asymmetric, nonlinear spillovers in tails, with common factors prominently affecting two-tailed and right-tailed scenarios. Real economy-linked markets dominate return spillovers under normal conditions; however, during tail conditions, network connectivity increases, correlations weaken, and money markets gain prominence. Safe-haven assets and financial intermediaries become key hubs in extreme conditions. Volatility spillover networks display global resonance reflecting altered connections between traditional financial and commodities markets. Monetary policy and macroeconomic sentiment significantly influence spillovers. This research provides empirical insights for systemic risk prevention and enhances understanding of quantile-specific financial spillovers. |
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