Study On Contagion Effect Of Euro Zone Debt Crisis

Under the background of global economic integration developing and monetary liberalization accelerated,the economic crisis is no longer an event that happens in a specific country or region,but influences the whole economy.With the deepening of China's financial reform,RMB officially joined the international monetary fund(IMF)Special Drawing Rights(SDRS)basket for the first time,in landmark recognition of China's integrated into the global financial system.Meantime it marked the RMB internationalization was steadily being pushed forward.As China participates in the global economy deeper and wider,large scale international speculative hot money will enhance the risk of the domestic market.There is no doubt that China will suffer a greater influence from international market attack.Therefore,it is of great theoretical value and practical significance for early warning and resolving the international infectious risk to China to study and judge the extinction of contagion effects,refine the mechanism of contagion transmission,draw lessons from the response methods of crisis countries.Under the combination of various factors,such as deficiency in design of European system,member states lack of financial system supervisor and the pressures from the external economic,the upgrade and spread of the contagion effects of the European sovereign debt crisis are growing.The formation and evolution of Euro zone debt crisis is not only a superposition of all problems,such as politics,economy and society,but the ultimate sign of vulnerability and uncertainty of the international market,especially under the background of economic globalization and financial liberalization.Compared to previous crises,the European debt crisis possessed some obviously different characteristics,such as the cross-market interactivity of contagion being strengthen,the interaction with the real economy being obvious,and spatial dependence or heterogeneity of financial contagion becoming more salient.Considering the above factors,this paper introduces a new research method and train of thought,trying to use both time series method with DCC-MVGARCH model and spatial panel data model to justify the above problems,especially with the following three degrees:whether the contagion effect exists or not;what is the specific space transmission channels and the space dependence.This paper based on Masson(1998)of contagion mechanism as the theoretical basis,assumed the existence of non-physical spatial dependence for the spread of the crisis and combined theoretical&empirical analysis organically,in order to do a comprehensive research on contagion effects of the European debt crisis.In the empirical analysis,firstly use DCC-MVGARCH model to verify the existence and time characteristics of the cross-market contagion.Then,according to the world economic freedom index,the non-physical political&economic spatial weight matrix and the crisis pressure index are constructed,and the global correlation of crisis infection is examined by spatial data exploration method.Finally,apply the spatial panel model with some macro-economic operation indexes to refine the spatial contagion path and mechanism of the European debt crisis.This study mainly draws the following conclusions:(1)The European debt crisis across financial market contagion effects is commonly exists;(2)The empirical.analysis of the contagion's time characteristics and experience results are basically identical.At the start of the Greece government debt crisis,there hasn't any exception occurs,while with the spread of the market panic,crisis escalated gradually and the contagion effect significantly enhanced;(3)CIND exists spatial correlation,and global monsoon effect,spillover effect(financial&trade channels),and net contagion effects present at the same time during the European debt crisis;(4)There is an obvious dependence under the building of non-physical economic&political relationship.