Transmission Machine of International Financial Crisis Based on VAR Model

Abstract

 The financial crisis has always been accompanied by human economic activities, and its outbreak has a serious impact on people's normal life, and it has no warning, which is a problem of great concern to all countries in the current economic development. Based on the monthly data of long-term bond yields of eight countries (six European countries, the United States and Japan) from December 2009 to February 2012, through correlation test and Granger causality analysis, the results show that there is no Granger causality between the bond yields of various countries and the bond yields of Greece before the European debt crisis, but Granger causality exists between the bond yields of Germany, France and Italy and Greece after the crisis. Finally, it puts forward the process of China's complete opening of capital account and the problems that should be paid attention to after that. The latest development direction of vector autoregressive model is the identification of exogenous policy shocks and the estimation of panel vector autoregressive model. This paper studies and analyzes the transmission mechanism of international financial crisis. Vector autoregressive model is used to describe the transmission mechanism of international financial crisis. The enhancement of the ability to resist the contagion of financial crisis is an important factor to promote the sound development of China's economy. Starting with the related concepts of the transmission mechanism of international financial crisis, this paper probes into the specific transmission modes of international financial crisis and the suppression measures of the transmission mechanism of international financial crisis.