基于变量之间的协整关系，构建三元VEC模型分析了中国股票市场、债券市场以及期货市场间的风险波动溢出效应。 Granger因果检验和协整方程表明：金融市场间的风险波动在较长时期内存在均衡关系，股票市场的风险波动会对债券市场以及期货市场产生显著影响，期货市场和债券市场的风险波动存在着反向的变动关系。脉冲响应分析和方差分解进一步表明股票市场风险波动冲击对自身以及债券市场和期货市场的贡献度较大，而受其他市场影响较小，债券市场以及期货市场的风险冲击对对方市场波动有一定的影响。%Based on the cointegration relationship among the variables , this paper analyzes the risk fluctua-tion spillover among stock market , bond market and the futures market in China by making VEC model . Granger causality test and cointegration equation show that there is a long -term balanced relationship of risk fluctuation in the three financial markets .The risk fluctuation in the stock market has a significant impact on the bond market as well as the futures market;futures market and bond market have a reverse relationship of risk fluctuation .Impulse response analysis and variance decomposition further show that impact of risk fluc -tuation in stock market contributes greatly to bond market , futures market and stock market itself , which are less influenced by other markets .The risk shock of bond market and futures market has mutual effect on both of them to a certain degree .
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