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:2009-01-06:(08zbzx0003);(GL0934):(1961-),,,,.:1006-0464(2009)06-0551-06a,b,b,b(a.,330047;b.,330031):,,(Granger)(VAR),,,:;;;:F830.9:A,,,,,,,CalvoReinhart(1996)[1]1994,;,Edwards(1998)[2],GARCH,,;,,(2008)[3]DCC-MV2GARCH,,,,(2006)[4],,,Granger,VAR,(:)(:),:,,1:(),,,,336200912()JournalofNanchangUniversity(NaturalScience)Vol.33No.6Dec.2009(2005420094),:=3/(+)+3/(+)=3/(+)+3/(+)=3/(+)+3/(+),,Granger,,ADF,,,1ADF()AugmentedDiekey-FullerUnitRootTestonthedataLnbondLnfuturesreporateshibor1stdifference-2.671719-4.234092-3.685822-3.6300725%CriticalValue3-1.9483-1.9483-1.9483-1.94832ADF()AugmentedDiekey-FullerUnitRootTestonthedataLnbanknoteLnloanLnstocks2nddifference-3.432105-5.162040-4.7341575%CriticalValue3-1.9486-1.9486-1.9486,Lne,bond,futures,reporate,shibor,banknote,loan,stocks12(DLnbond,DLnfutures,Dreporate,Dshibor,DDLn2banknote,DDLnloan,DDLnstocks),D,DD2211,,Granger,;,,;,,,,212VAR,VAR,,VAR,y1tykt=A0+A1y1t-1ykt-1+A2y1t-2ykt-2++Apy1t-pykt-p+1tkt(y1tykt)T=(DLnbond,DLnfutures,Dreporate,Dshibor,DDLnbanknote,DDLnloan,DDLnstocks)AICp=5,A0,Ai(i=1,2,,5),it3311Granger255()2009(2005420074)(2007420094)Granger,F,5%,:3GrangerCausalityTestbeforefinancialcrisisloanshiborbanknotereporatestocksbondfuturesloan0.021040.676510.018280.820860.702100.66556shibor0.577740.987900.818900.517270.148110.70074banknote0.158340.040670.116730.866190.356110.86915reporate0.474720.460170.899640.843010.126680.53710stocks0.0216430.218600.0365330.606850.214090.02057bond0.678340.0196130.772150.077100.775930.30144futures0.179060.077040.170620.0216530.496000.791404GrangerCausalityTestafterfinancialcrisisloanshiborbanknotereporatestocksbondfuturesloan0.013600.590060.022020.0346130.164940.31072shibor0.111170.115900.604150.094540.248710.044813banknote0.030570.081480.025990.0363830.441780.10439reporate0.006260.293720.092900.093930.0030230.56127stocks0.0355430.530570.0125330.076140.421010.44063bond0.151980.004610.024570.215430.549740.48827futures0.218710.423250.125040.171920.888840.40606:3,3,34,:(stocksloan),(stocksbanknote),(bondshi2bor),(futuresreporate);:(loanstocks),(shiborfutures),(banknotestocks),(reporatebond),(stocksloan),(stocksban2knote),:(1),,,,(),,,,,;(2),2005,,,,,,312(VarianceDecomposition),,,3556:,:5VarianceDecompositionofDDLOAN:PeriodS.E.DDLNSTOCKSDDLOAN10.0048911.97546398.0245420.00713511.6871988.3128130.00791612.0122887.9877240.00804412.0778687.9221450.00814914.7793185.2206960.00853218.1215981.878416VarianceDecompositionofDDLOAN:PeriodS.E.DDLNSTOCKSDDLOAN10.0093867.80588292.1941220.01158118.5274281.4725830.01194519.1222580.8777540.01203819.2884180.7115950.01385023.2991276.7008860.01418224.3926275.6073856,(6)7.805882%,(5)1.975463%,,:,78,(7)10.36157%,(8)23.84524%,7VarianceDecompositionofDDLNBANKNOTE:PeriodS.E.DDLNSTOCKSDDLNBANKNO10.03566410.3615789.6384320.04105513.2588386.7411730.04297313.9526986.0473140.04366914.7368285.2631850.04393018.9473581.0526560.04402825.7479574.252058VarianceDecompositionofDDLNBANKNOTE:PeriodS.E.DDLNSTOCKSDDLNBANKNO10.04550323.8452476.1547620.04639124.3276475.6723630.05009527.3462272.6537840.05178130.9597669.0402450.05586733.0789966.9210160.06186039.7330260.26698,313(ImpulseResponses),,VAR,,,:1,,,20,,20,,,;,,,,,455()200934,13,;1734,,5,,6,,,20,,164,:(1),,,,,,,,,,,,;,,,,,(2)5556:,,,,,,,(3),20,13,,,;,,,,,;;;,,,,:[1]CalvoS,ReinhartC.CapitalFlowstoLatinAmerica:ISThereEvidenceofContagionEffeets[R].WorldBankPo2lieyResearehWorkingPaper,1996(6):16-19.[2]EdwardsS.InterestRateVolatility,CapitalandContagion[R].NBERWorkingPaper,1998(2):56-67.[3],.[J].,2008(11):78-79.[4],,.[J].,2006(2):16-24.[5]GelosRG,SahayR.FinancialMarketSpilloversinTransi2tionEconomies[J].TheEconomiesofTransition,2001(7):66-73.[6]XuXE,FungHG.Cross-marketLinkagesBetweenU.S.andJapanesePreciousMetalsFuturesTrading[J].JournalofInternationalFinancialMarkets,Inst.andMon2ey,2005(3):107-124.[7],.[J].(),2005,29(2):142-145.[8],.[J].,2006(8):31-34.[9],.A+H[J].,2008(11):62-65.[10],.[J].,2009(2):97-101.EmpiricalStudyontheCross-marketriskContagionBetweenChina’sCapitalMarketandtheBankingSystemUndertheSub-primeMortgageCrisisHEYi2qinga,b,WANYuan2yuanb,HEDian2zhib(a.CenterforCentralChinaEconomicDevelopmentResearchatNanchangUniversity,Nanchang330047,China;b.SystemsEngineeringResearchInstitute,NanchangUniversity,Nanchang330031,China)Abstract:Thecontagionofcross-marketriskisthemechanismthatfinancialriskspreadsfromonefinancialinsti2tutionorfinancialmarkettoanotherfinancialinstitutionorfinancialmarketduringtheprocessoffinancialinstru2mentsinnovationandfinancialbusinessintegration.Inthispaper,wegiveoutthreemajorcapitalpriceindexandmakeoutempiricalanalysisonthefinancialriskcontagionfromthecapitalmarkettothebankingsysteminChinaunderthesub-primemortgagecrisisbyusingGrangercausalitytest,VectorAuto-regression(VAR)model,vari2ancedecompositionandimpulseresponsefunction.Finally,inthispapertheconclusionsaregiventhatthecross-marketcontagionofstockmarketriskisthemainformoffinancialrisktransmissionfromcapitalmarkettothebank2ingsystem,thatthestockmarketaffectsthecreditmarketlongerandthatthestockmarket