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| 1 | 结构性去杠杆与中国房地产金融业波动溢出风险:促进还是抑制?显示文摘基于广义方差分解的动态波动溢出指数法,测度中国9个房地产金融子行业在2011—2020年的波动溢出风险,并分析部门杠杆、宏观经济政策等因素对房地产金融业波动溢出风险的影响效应及行业异质性。研究发现:第一,中国房地产金融业总体波动溢出风险自2019年以来持续上升至较高水平。房地产业对金融业的波动溢出风险明显大于金融业对房地产业的波动溢出风险;房地产金融各子行业的双向波动溢出风险存在非对称性。第二,各部门杠杆对房地产金融波动溢出风险的影响存在明显差异。金融部门和政府部门杠杆显著促进房地产金融总体波动溢出风险和行业双向溢出风险,而非金融部门杠杆则表现为显著抑制。第三,房地产金融业波动溢出风险存在明显的货币政策顺周期特征。 | 郭文伟 朱洪进 马晓文 | 2022 | 云南财经大学学报2022，38，1： | 4 |
| 2 | Estimating Network Connectedness of Financial Markets and Commodities显示文摘We investigate the directional volatility and return network connectedness among stock,commodity,bond,currency and cryptocurrency markets.The period of study covers Feb 2006 until August 2018.We utilize and expand Diebold and Yilmaz(20142015)connectedness measurement;accordingly,in the variance decomposition structure,we use Hierarchical Vector Autoregression(HVAR)to estimate high dimensional networks more accurately.Our empirical results show that markets are highly connected,especially during 2008-2009.Asian stock markets are the net receiver of shocks,while European and American stock markets are the net transmitter of shocks to other markets.The pairwise connectedness results suggest that among stock markets,DAX-CAC 40,FTSE 100-CAC 40 and S&P 500-S&P_TSX index are more integrated through connectedness than the others.For other markets,WTI crude oil-Brent crude oil,30-Year bond and 10-Year bond,Dollar Index futures-EUR/USD have notable connections.In terms of cryptocurrencies,they contribute insignificantly to other markets and are highly integrated with each other.Gold and cryptocurrencies seem to be good choices for investors to hedge during a crisis. | Ehsan Bagheri Seyed Babak Ebrahimi Financial | 2020 | Journal of Systems Science and Systems Engineering2020，29，5： | 0 |
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