中国金融周期对发达国家的溢出效应

IF 5.5 Q1 BUSINESS, FINANCE

Green Finance Pub Date : 2019-11-25 DOI:10.3934/gf.2019.4.364

Tinghui Li, Junhao Zhong, Hai Zhang, P. Failler

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引用次数: 1

摘要

本文对1990年第一季度至2017年第四季度中国金融周期的溢出效应进行了量化分析。本文构建了中国金融周期的溢出指数，并拟合了马尔可夫转换自回归模型。我们的主要研究结果表明，中国金融周期溢出具有几个普遍特征，并具有对特定事件非常敏感的显著时变特征。我们研究了三种不同的净溢出机制，将它们分别标记为收缩、适度和扩张，并发现适度机制占主导地位。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Chinese financial cycle spillovers to developed countries

In this paper, we quantify the spillovers of Chinese financial cycles from 1990Q1 to 2017Q4. We construct a spillover index for Chinese financial cycles and fit the Markov-switching autoregressive model. Our main findings indicate that Chinese financial cycle spillover shows several general characteristics and has significant time-varying features that are very sensitive to specific events. We examine the three different regimes of net spillovers, labeling them contraction, moderation, and expansion, and find that the moderation regime dominates.

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来源期刊

Green Finance Multiple-

CiteScore

9.60

自引率

3.50%

发文量

审稿时长

6 weeks

期刊介绍： Green Finance is an international, interdisciplinary Open Access journal dedicated to green finance, environmental, and sustainability research and practice. It offers a platform for publishing original contributions and technical reviews on green finance and related topics, following a rigorous peer-review process. Accepted article types include original research, reviews, editorials, letters, and conference reports.