School of Finance, Zhongnan University of Economics and Law, Wuhan, China.
School of Finance, Shandong University of Finance and Economics, Jinan, China.
Front Public Health. 2022 Aug 2;10:963620. doi: 10.3389/fpubh.2022.963620. eCollection 2022.
The COVID-19 outbreak has greatly impacted the stability of the global financial markets. In the post-COVID-19 pandemic era, the risk contagion patterns of the global financial markets may change. This paper utilizes the conditional value-at-risk (ΔCoVaR) model to measure the risk level of the financial markets in various economies and uses the TVP-VAR-CONNECTEDNESS approach to construct a time-varying spillover index. Based on the dimensions of time and space, we explored the contagion path, contagion status, and contagion structure characteristics of global financial market risk before and during the COVID-19 pandemic. The results entail several conclusions. (i) The COVID-19 pandemic increased the spillover level of global financial market risk and the risk connectedness of financial markets in different countries. In addition, during the concentrated outbreak period of COVID-19, the risk spillover level in developing countries rose rapidly, while the financial risk spillover level in developed countries decreased significantly. (ii) The impact of the COVID-19 pandemic on the spillover of the global financial market risk is time-varying, and there is a strong correlation between the risk spillover level of the financial markets of the world and the severity of the COVID-19 pandemic. (iii) Due to the impact of the COVID-19 pandemic, Brazil, Canada, and Russia have become new risk spillover centers; in the post-COVID-19 pandemic era, China's spillover to developed countries has increased, and the financial influence of China has also gradually increased. In addition, the risk contagion capacity of financial markets among European countries is gradually converging. (iv) During the concentrated outbreak of the COVID-19 pandemic, the Americas were the main exporter of global financial market risk, while Europe played a role in risk absorption.
新冠疫情的爆发对全球金融市场的稳定造成了巨大影响。在后疫情时代，全球金融市场的风险传染模式可能会发生变化。本文利用条件在险价值（ΔCoVaR）模型测度了各经济体金融市场的风险水平，采用时变参数向量自回归-连接溢出指数（TVP-VAR-CONNECTEDNESS）方法构建了时变溢出指数。基于时-空两个维度，我们探讨了新冠疫情前后全球金融市场风险的传染路径、传染态势和传染结构特征。结果得出了以下几点结论。（i）新冠疫情提高了全球金融市场风险的溢出水平和各国金融市场的风险关联度。此外，在新冠疫情集中爆发期间，发展中国家的金融风险溢出水平迅速上升，而发达国家的金融风险溢出水平则显著下降。（ii）新冠疫情对全球金融市场风险溢出的影响具有时变性，全球金融市场风险溢出水平与新冠疫情的严重程度呈较强的相关性。（iii）受新冠疫情影响，巴西、加拿大和俄罗斯成为新的风险溢出中心；在后疫情时代，中国对发达国家的溢出效应增强，中国的金融影响力也逐渐增强。此外，欧洲国家金融市场的风险传染能力也在逐渐收敛。（iv）在新冠疫情集中爆发期间，美洲是全球金融市场风险的主要输出地，而欧洲则发挥了风险吸收的作用。
