基于小波分析研究美国次贷危机在全球股票市场中的传染

发布时间：2018-05-22 15:13

本文选题：金融市场 + 传染　；参考：《系统工程》2011年05期

【摘要】：基于调整相关系数模型,在小波分析框架下,研究美国次贷危机在全球股票市场中的传染。研究发现:传染可以被分为时间上总体趋势的传染和频率上细节变动的传染,且这两种传染可以被分解到不同尺度进行研究;使用极大重叠离散小波变换的调整相关系数方法比不使用小波的方法更精确;两种传染的共同作用使得全球股市之间的联系比危机发生前更加紧密:总体趋势的传染具有区域性特征,该特征支持了文中提出的2次传染的假设;波动幅度的传染比基本联系的传染持续的时间要短。欧盟区作为高度一体化组织,区域内波动没有相互传染,受到外部波动传染,很快在系统内分散消失,没有再对其他国家发生2次传染。全球资本流动是导致危机传染的重要渠道,金融危机传染与资金流向轨迹高度一致。
[Abstract]:Based on the model of adjusted correlation coefficient, the contagion of US subprime mortgage crisis in global stock market is studied under the framework of wavelet analysis. It is found that the infection can be divided into the transmission of the general trend in time and the transmission of the frequency change in detail, and these two kinds of infection can be decomposed into different scales to study; The method of adjusting correlation coefficient using discrete wavelet transform with great overlap is more accurate than that without wavelet. The joint action of the two kinds of contagion makes the connection between the global stock market closer than before the crisis: the contagion of the general trend has the regional characteristic, which supports the hypothesis of the two contagion in this paper; The spread of volatility is shorter than the duration of transmission of the underlying link. As a highly integrated organization, the intraregional fluctuations are not transmitted to each other, but are transmitted by external fluctuations. They quickly disperse and disappear in the system, and there are no further two transmissions to other countries. Global capital flow is an important channel leading to crisis contagion, and financial crisis contagion is highly consistent with the trajectory of capital flow.
【作者单位】：北京航空航天大学经济管理学院;
【基金】：2008年管理科学部第三期应急项目(70841019)
【分类号】：F831.51;F224

【参考文献】