The Impacts of Emerging Asia on Global Financial Markets
The Impacts of Emerging Asia on Global Financial Markets
复制标题
亚洲新兴市场对全球金融市场的影响
DOI：
10.1080/1540496x.2017.1342244
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发表时间：
2017
影响因子：
4
通讯作者：
Tanaka Mariko
中科院分区：
文献类型：
--
作者：
Fukuda Shin-ichi;Tanaka Mariko
本文旨在探讨亚洲金融市场冲击的溢出效应在过去20年中上升到何种程度。在第一部分中，我们研究了股票市场的溢出效应。通过对全球向量自回归（GVAR）模型的估计，我们发现亚洲新兴市场的溢出效应在后全球金融危机（GFC）时期变得很大。然而，我们也发现，大部分的溢出效应是来自制造业的冲击，而不是来自金融部门的冲击。这意味着在后全球金融危机时期，由于新兴亚洲制造业受到的冲击增加，溢出效应增加。在第二部分中，我们考察了不同汇率的溢出效应。与股票市场一样，亚洲新兴市场的溢出效应在全球金融危机后时期对外汇市场的影响很大。特别是，我们的高频数据分析表明，中国人民银行（PBC）的汇率政策变化在后GFC时期对大多数先进货币产生了积极的溢出效应。实证结果表明，中国金融危机对全球金融市场的影响一直在上升。
The purpose of this article is to explore to what extent spillovers from Asian financial market shocks have risen during the past two decades. In the first part, we examine spillover effects in stock markets. Estimating the Global Vector Autoregressive (GVAR) model, we find that spillover effects from emerging Asia became large in the post Global Financial Crisis (GFC) period. However, we also find that most of the spillover effects were from shocks in the manufacturing sector rather than from those in the financial sector. This implies that the spillover effects increased in the post GFC period because of increased manufacturing sector’s shocks in emerging Asia. In the second part, we examine spillover effects across different foreign exchange rates. As in the stock markets, spillover effects from emerging Asia became large in the foreign exchange markets in the post GFC period. In particular, our high frequency data analysis suggests that an exchange rate policy change by the the People’s Bank of China (PBC) had positive spillover effects on most of the advanced currencies in the post GFC period. The empirical results imply that the impact of Chinese shocks has been rising in the global financial markets.