Research On Risk Contagion Path During Subprime Crisis

With the pace of global integration,political ties,trade and economic exchanges between countries become more and more close,which also makes the economic relations between countries or regions in reality can not be explained by traditional classical economic theory.The multi-path and extensive nature of financial crisis contagion makes the study of financial crisis contagion become very complex.This paper mainly studies the transmission path of subprime mortgage crisis to China through three steps: Random Forest modeling to determine the time order of countries infected with financial crisis;Gauss Copula model to see the dependence between countries;VAR model to see the causal relationship between countries infected.Random forest modeling is used to judge the time order of financial crisis infection in each country.The data are divided into training set and test set.The training set is divided into positive and negative samples,whether the model is infected or not.The state of infection is set to 1 and the state of unin fected is set to 0.Thirteen characteristic quantities are constructed to fit the model according to stock price composite index,P/E ratio and turnover rate,and the test set is brought into training model.Choose the time when the infection first appears as the time when countries were infected with the financial crisis in the sub-prime mortgage crisis.Based on the Gauss Copula model to see the contagion effect of financial crisis among countries,the stock price composite index of each country is selected to construct,and the dependence of the stock markets of each country is obtained.The VAR model is constructed to see whether countries are infected or not,and the Granger causality principle introduced into the VAR model is as follows: 1)Without considering secondary infection,only the first infected country can infect the country after infection,and the second infected country can infect the country first without considering the situation of the second infected country.2)Based on the empirical results of the Gauss Copula model,two countries with the greatest dependence and a difference of less than 0.03 with the greatest dependence are selected as the research objects.3)Consider the possibility of simultaneous transmission.Through these three steps,see the infection in the sub-prime mortgage crisis is depicted firstly,secondly,depict the dependence among countries on the time axis.Finally,the Granger causality of VAR model between the two countries with greater dependence is selected,and finally the path of infection from the sub-prime mortgage crisis to China is obtained.