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BVAR论文：基于因果关系的金融市场间传导性研究【中文摘要】全球经济的迅猛发展,对于中国的经济既是机遇又是挑战,利益与风险并存,如何在获得利益的同时,规避风险就显得极为重要,而要规避风险弄清什么样的事件会导致风险,尽早防范此类事件就变成了未雨绸缪的关键,而在股市的下跌时期,尤其是极端下跌时期,传导性会变的复杂和强烈,一些没有传导关系或者是传导关系比较弱的金融市场会产生传导关系,而且这些传导关系是危机在金融市场间传导的载体,随着金融市场间经济的联系,使得风险随着金融市场迅速传播,而且在范围和程度上都会有所加强,由此可见,金融市场间的传导关系是未雨绸缪的关键,这也表明了研究金融市场间的传导关系的重要性。金融市场间的传导会导致风险的传导,甚至会引起大规模经济危机,1992-1993年的欧洲金融货币体系危机,1997年的亚洲金融危机,1998年俄罗斯经济危机以及2007年美国次贷危机的爆发就是很好的例子。然而1997年的亚洲金融危机,对于中国经济的影响并不大,为什么呢?究其原因就是当时中国的金融市场与其他国家的金融市场间的传导性很弱或者基本上不存在,然而随着中国加入WTO以及中国经济的国际化的不断深入,中国金融市场以前形成的“孤岛”将不复存在,那么他的庇佑作用也随之消失,因此,应该更加关注中国金融市场自身或者与其他金融市场间的传导关系,这样保证中国金融市场平稳健康发展的“预防针”才能做好,才能使中国金融市场在全球经济日新月异的今天和未来立于不败之地。本文不仅运用BVAR计量模型通过Granger因果关系研究沪深股市和新加坡股市之间,中外新兴金融市场和成熟金融市场间以及基于股市指数极差的传导性,也通过脉冲响应函数进一步验证了因果关系的结论；而且也实证分析了上涨和下跌过程中沪深股市及新加坡股市之间,中外股市之间以及香港和沪深股市之间传导性的变化特征。实证结果表明：对于沪深股市及新加坡股市,在整个样本期,沪深股市互相传导,新加坡股市与深圳股市互相传导,新加坡股市对上海股市单向传导；沪深股市及新加坡股市三者问在下跌时期的传导关系比上涨时期更为复杂；对于中外股市,在整个样本期香港股市与新加坡股市互相传导,日本股市与韩国股市互相传导,美国股市对其他股市单向传导,中国沪市对韩国股市单向传导,中国沪市对新加坡股市单向传导,中国沪市对香港股市单向传导；下跌时期六个股市间的传导关系都比上涨时期更加的错综复杂,而且应用脉冲响应函数验证了Granger因果关系的结论；对于沪深股市及香港股市,在整个样本期和上涨时期都是深圳股市对香港股市单向传导,下跌时期深圳股市对上海股市和香港股市都是单向传导,香港股市对上海股市单向传导,同样也可以看出下跌时期的传导性要比上涨时期更加的强烈。【英文摘要】Therapiddevelopmentoftheglobaleconomy,whichisnotonlyaopportunityforChina’seconomicbutalsoachallengeforit,benefitsandrisksareexitedatonetime.Itisextremelyimportantforushowtobenefitandtoavoidrisksatthesametime,ifyouwanttoavoidtheriskofevents,toknowwhatisnecessarywillleadtotheriskbecomesproactivekeyforassoonaspossibletopreventsuchincidents,thestockmarket’sindeclinePeriod,especiallyintheextremedownperiod,theconductivitybecomescomplexandintense,somefinancialmarketswhichhadnorelationshiporaweakconductivitybetweenthemwillbecomehadconductiverelationship,andtheserelationshipsarethecarrieroffinancialmarketcrisis,astheeconomiccontactsbetweenthefinancialmarkets,makingtheriskofrapidspreadofthefinancialmarkets,andinthescopeandextent,itwillbestrengthened,Thisshowsthattheconductivitybetweenfinancialmarketsisthekeytoavoidtherisk,whichexplainstheimportantoftheresearchingconductivityamongfinancialmarkets.Conductivitybetweenfinancialmarketswillleadtotheriskoftransmission,andmayevencausealarge-scaleeconomiccrisis,1992-1993crisisintheEuropeanfinancialandmonetarysystem,the1997Asianfinancialcrisis,theRussianeconomiccrisisof1998andthe2007outbreakoftheU.S.subprimemortgagecrisisaretypicalexamples.However,the1997Asianfinancialcrisis,theChineseeconomyisnomoreinfluence,why?ThereasonisthattheconductivityofChina’sfinancialmarketsandothercountries’isweakornearlynon-existentin1997,butwithChina’saccessiontoWTOandChineseeconomycontinuedtodeepenfortheinternationalizationoftheeconomy,China’sfinancialmarket“islands”whichformedbeforewillceasetoexist,thentheblessingofhisrolewilldisappear,therefore,weshouldbemoreconcernedaboutChina’sfinancialmarketitselforwithotherfinancialmarketsrelationshipbetweentheconduction,sothatChina’sfinancialmarketstoensureasmoothhealthydevelopmentofthe“vaccination”,whichmakeChina’sfinancialmarkettobeinvincibleintherapidlychangingglobaleconomytodayandthefuture.ThispapernotonlybytheuseofBVAReconometricmodelofGrangercausalitybetweenstockmarketsShanghai,ShenzhenandSingaporestockmarketsandChineseandforeignfinancialmarketsinemergingandmaturefinancialmarketsandthestockpricebasedonverypoorconductivity,butalsobytheimpulseresponsefunctiontofurtherverifythecausalrelationshipconclusion;ButalsoempiricalanalysisofthechangesoftheconductivefeaturesprocessbetweenupanddownwhichbetweentheShanghai,ShenzhenandSingaporestockmarkets,aswellasbetweenChineseandforeignstockmarketsaswellasbetweenShanghai,ShenzhenandHongKongstockmarkets.Theempiricalresultsshowthat:forShanghai,ShenzhenandSingaporestockmarkets,intheentiresampleperiod,ShanghaiandShenzhenstockmutualconduction,theSingaporestockmarketandShenzhenstockmutualconduction,theSingaporestockmarketontheShanghaistockmarketunidirectionalconduction;andSingaporestockmarkets,ShanghaiandShenzhenstockmarketsconductionindownperiodthanriseperiodismorecomplicated;ForChineseandforeignstockmarkets,inthewholesampleperiodtheHongKongstockmarketandSingaporestockmarketwitheachotherconduction,JapanstockmarketandSouthKoreastockmarketmutualconduction,theU.S.stockmarketone-waytransfertoothermarkets,ShanghaistockmarketOne-waytransfertheSouthKoreastockmarketandShanghaistockmarketonone-waytransmissionofSingaporestockmarketandShanghaistockmarketone-waytransmissionofHongKongstockmarket;theconductivityrelationshipofthesixstockmarketsindownperiodmorecomplexthanrise,andtheapplicationoftheimpulseresponsefunctiontoverifytheconclusionsoftheGrangercausality;fortheShanghai,ShenzhenstockmarketsandtheHongKongstockmarket,intheperiodoftheentiresampleperiodandriseperiodtheShenzhenstockmarketareone-waytransferofHongKongstockmarket,duringthedownperiodShenzhenstockmarkettoshanghaiandHongKongstockmarketsareOne-waytransmission,whichcanalsobeseenthattheconductivityduringthedownperiodismorecomplexthanriseperiod.【关键词】BVAR成熟金融市场新兴金融市场Granger-Causality传导性脉冲响应函数股市指数日极差【英文关键词】BVARdevelopedfinancialmarketemergingfinancialmar