Research On Dynamic Correlation Of Quantile Regression Model Based On Smooth Transition Mechanism

With the development of international integration,the linkage between interna-tional financial markets has been more and more attention,also became a hot topic for scholars.Existing studies have studied the linkage between market risks from the per-spective of financial market value at risk based on the quantile regression model,but did not consider the effect of exogenous variables to the linkage,and the linkage be-tween financial markets always constantly changing,whether these correlations exist a mechanism transformation?Based on this,this paper constructed the smooth transfor-mation mechanism of quantile regression model,Then we study the dynamic correla-tion between the U.S.stock market and the global stock market risk under the nonlinear mechanism transformation.The smooth conversion variable of this paper selects the market volatility index VIX,the index is called "panic index",it tracks the S&P 500 in the United States,can predict the future volatility of the S&P 500,so can therefore very good capture between U.S.financial market and the rest of the world financial markets sensitive information.Smooth mechanism transformation model conversion position can depict the global stock market for the U.S.stock market sensitive,convert-ing slope describes the conversion rate of U.S.financial market and national financial markets linkages.The empirical results show that the correlation between international stock markets exists nonlinear mechanism transformation,almost global stock markets are subject to the impact of the U.S.stock market,and under different quantiles,cor-relation between high and low mechanism smooth conversion,conversion rate of each are not identical,and performance under low bit strong,shows that the correlation be-tween financial markets mainly transmission of tail risks.We will be the data sample of this article is divided into three study subsamples,were adopted in this paper,the smooth transition of quantile regression model,the results show that during the crisis and the non-crisis of position transformation parameters and the correlation is different,the period of crisis transformation parameters obviously reduced,and under a low quan-tile significantly promoted,shows that our proposed model for the study on the dynamic correlation between financial market is feasible,moreover,the exogenous variable VIX index can indeed have an impact on the linkage between financial markets,which pro-vides a new way for international investors and policy makers to consider the impact of the us economy on global stock markets through the change of VIX index.