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论文类型：会议论文

发表时间：2016-01-01

收录刊物：CPCI-SSH

页面范围：233-238

关键字：financial risk; financial stress index; Mainland; Hong Kong

摘要：To explore the potential contagion and spillover effect between the financial system of Mainland China and Hong Kong, this paper constructs the financial stress index describing financial risk conditions in Mainland and Hong Kong, then sets up a VAR to study whether there is risk transmission between the two markets or not. The results indicate that the a Mainland financial shock accounts for partly variation in Hong Kong FSI and Hong Kong financial stress can cause Mainland financial instability.