Financial Contagion And Stability Test Based On R Vine Copula Change-point Model

In recent years,it has aroused great attention of international financial market researchers that financial crisis transmission analysis is of great importance to financial risk management and global portfolio optimization.Most financial crisis transmission researches test the infectivity between the two countries,while,this article studies several countries from another perspective.Modeling the interdependencies between major countries(regions),the paper analyzes the financial crisis transmissions among regions.This article is composed of two parts.The first part is aimed at emerging market countries.The continuous economic development of emerging market countries makes an important contribution to the world economic growth.At the same time,the financial stability in emerging markets also becomes undeniable.The study of financial stability in emerging market countries is of great significance.This article will characterize financial stability from the perspective of the dependence of the analyzed countries on the global systemic risk,with the MSCI Global Index representing the global systemic risk factor.Analyze the dependency structure of emerging markets on behalf of the countries of the BRIC's major indexes and the MSCI global index,and then make an empirical analysis of the financial stability of the BRIC countries.In order to analyze the structural changes of systemic risk impact on the BRIC countries,R Vine copula is used to test the change point,and to analyze the financial stability of the BRIC countries affected by the financial crisis and BRICS events.We measure the financial stability among BRIC countries using the correlation coefficient based on the MSCI index.The empirical results show that after the control of systemic risk,the independence of the BRICS countries' stock markets has been strengthened.The BRICS countries have been hit harder by systemic risks after the financial crisis.By strengthening BRICS countries' cooperation,it will help to reduce the BRIC countries' Between the risk of infection.The results of this paper have some reference to the emerging countries how to improve the financial stability and enhance the ability to resist systemic riskThe second part is aimed at the developed countries.With R-vine-copula model,eight major regional stock indexes in the world are tested.In order to test the phenomenon of financial crisis transmission,change point examination is applied on the R-vine-copula model based on likelihood ratio statistic.In the empirical study,two change points detected during the period correspond to the US subprime mortgage crisis and European debt crisis respectively.Finally,comparing the change in the correlation coefficient between the various areas before and after the change point,the paper tests the subprime mortgage crisis and the spread of European debt crisis.Empirical result shows that the transmission level of the US subprime mortgage crisis is significantly higher than that of European debt crisis and transmission channels of these two crises are different among major global countries?regions?.