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美国金融危机给世界经济带来的阴影至今仍未消散,各国经济受到这场金融危机的严重冲击,很多国家甚至陷入新一轮主权债务危机。因而,在后金融危机时期,考察和反思美国金融危机的传染性仍然是一个重要议题。本文以美国金融危机对中国溢出的传染渠道为切入点。通过构建指标并估算贸易传染渠道和金融传染渠道指数,发现二者均是美国金融危机冲击中国的重要传染渠道。然后利用VAR模型的脉冲响应方法,区分了这两个传染渠道对中国溢出的作用程度。实证结果表明,在美国金融危机期间,这两个传染渠道确实存在;并且贸易传染渠道对中国的作用程度更强烈,作用时间更长久。
The shadow of the U.S. financial crisis on the world economy has not dissipated so far. The economies of various countries have been severely hit by this financial crisis and many countries have even plunged into a new round of sovereign debt crisis. Therefore, it is still an important issue to examine and reflect on the contagion of the U.S. financial crisis in the post-financial crisis period. This article takes the U.S. financial crisis as an entry point for China’s spillover of infectious diseases. By constructing indicators and estimating trade infectious channels and financial contagious channels index, both were found to be important infectious channels for the U.S. financial crisis to impact China. Then, using the impulse response method of VAR model, we can distinguish the effect of these two channels on China’s spillover. The empirical results show that during the financial crisis in the United States, the two channels of infection did exist; and the channel of trade contagion had a stronger role and longer term for China.