论文部分内容阅读
采用Shapley值法,分别从债券市场和股票市场组成的金融体系对欧元区主要成员国进行风险贡献程度的分析,考察各单个市场对相应的金融系统的风险贡献的变化情况.实证发现,两个金融系统均表现出危机程度较严重的国家,其风险贡献占比较大,且它们的风险贡献占比沿着危机前、次贷危机时期、欧债危机时期的演变而逐渐上升,相应地其他国家的风险贡献占比呈下降趋势.特别地,欧债危机爆发后,债券金融系统各国的风险贡献占比出现极端化现象,受危机影响较小的国家则在危机中扮演了稳定市场的角色.
Using the Shapley value method to analyze the risk contribution degree of the financial system consisting of the bond market and the stock market respectively to the major member states of the Eurozone and examining the changes of the respective risk contribution to the corresponding financial system in each single market.It is found that two The financial system shows that the countries with more serious crisis have a greater risk contribution, and their proportion of risk contribution gradually increases along with the evolution of the crisis period, the subprime mortgage crisis and the debt crisis. Correspondingly, other countries The share of risk contribution declines.Especially after the European debt crisis broke out, the risk contribution proportion of the bond financial system has been extremized, and the countries that are less affected by the crisis have played a stabilizing market role in the crisis.