次贷危机在黄金、原油和外汇市场的风险传染和波动溢出

摘要笔者通过向量自回归及多元广义自回归条件异方差模型，对比分析了2008年次贷危机前后黄金、原油和美元市场的相互联系，研究了次贷危机在这三个市场间的传导机制和波动性溢出效应。实证结果表明危机是由美元和黄金市场向原油市场传染的。这场危机不仅加剧了市场的剧烈波动，而且使市场间的风险相互溢出，同时影响多个市场。危机后黄金市场的风险较低，美元市场的波动最为剧烈。

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	龚玉婷

关键词：次贷危机风险传染波动溢出

Abstract： The paper analyzes the risk transmission mechanism of the subprime crisis by comparing the dynamic linkage among gold, oil and US dollar markets in 2008 subprime crisis with Granger causality It is found that the risk of the subprime crisis spreads from US exchange and gold markets to oil market. The trivariate vector error correction (VEC) model analysis shows that there is one cointegration relation among gold, oil price and dollar index before the subprime crisis, but they are not cointegrated after the shock of the crisis. Empirical results indicate that the subprime crisis not only drives up the volatilities in these three markets, but also makes the risk spillover effects significant.

Keywords： Subprime Crisis Risk Contagion Volatility Spillover VAR GARCH

收稿日期 2011-12-10; 接受日期 2013-03-06;

作者简介: 龚玉婷（1985- ），女，福建宁德人，上海交通大学安泰经济与管理学院博士研究生，主要从事金融计量研究。

引用本文:

龚玉婷.次贷危机在黄金、原油和外汇市场的风险传染和波动溢出[J]. 经济经纬, 2013,2: 150-154

GONG Yu-ting.Risk Transmission and Volatility Spillover under Subprime Crisis：Evidence from Gold, Oil and US Dollar Markets[J] Economic Survey, 2013,V1(2): 150-154

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2013/V1/I2/150