股价指数、CDS定价及其关联性研究

发布时间：2018-07-02 19:31

本文选题：股价指数 + CDS　；参考：《暨南大学》2013年硕士论文

【摘要】：2007年爆发的次贷危机是20世纪30年代以来影响最为广泛的一次金融危机。无论在经济还是金融方面，此次金融危机无不对美国及世界其他各国造成了巨大的影响。不少学者认为CDS是此次金融危机爆发以及传导的重要因素之一。通常认为信用衍生品市场的风险要高于传统的金融市场如股票市场，股票市场和信用衍生品市场之间也可能存在很大的关联性。在理论部分本文首先分别分析了国内生产总值、无风险利率、通货膨胀率、货币供应量、汇率、人均可支配收入以及国际收支等对股票价格指数以及CDS价格指数的影响，接着分析了股票价格指数以及CDS价格指数的关联性。在实证部分本文首先利用VAR模型检验国内生产总值（GDP）、无风险利率（R）、通货膨胀率（CPI）、美元指数（文中简称为DL）、货币供应量（M2）、人均可支配收入（文中简称为INCOME）以及国际收支（文中简称为EX）7个宏观经济变量对道琼斯指数的影响；然后利用无风险利率、通货膨胀率、美元指数、货币供应量以及人均可支配收入5个变量对美国CDS指数的影响进行实证分析；最后利用描述性统计、相关性分析、时间趋势线分析以及格兰杰检验对道琼斯指数与CDS指数的关联性进行实证分析。实证结果表明：国内生产总值和美元指数对道琼斯指数的影响较大；人均可支配收入、美元指数以及货币供应量等对CDS指数的影响较大；股票市场与CDS市场之间存在较大的关联性，并且两个市场之间的风险会相互传导。
[Abstract]:The subprime mortgage crisis that broke out in 2007 was the most widespread financial crisis since the 1930s. In both economic and financial terms, the financial crisis has had a huge impact on the United States and the rest of the world. Many scholars believe that CDS is the outbreak of the financial crisis and transmission of one of the important factors. It is generally believed that the risk of credit derivatives market is higher than that of traditional financial markets such as stock market, and there may be a great correlation between stock market and credit derivatives market. In the theoretical part, we first analyze the effects of GDP, risk-free interest rate, inflation rate, money supply, exchange rate, per capita disposable income and balance of payments on stock price index and CDS price index. Then it analyzes the relevance of stock price index and CDS price index. In the empirical part, we first use VAR model to test gross domestic product (GDP), risk-free interest rate (R), inflation rate (CPI), dollar index (DL), money supply (M2), per capita disposable income (INCOME) and international. The influence of seven macroeconomic variables on the Dow Jones index; Then using the risk-free interest rate, inflation rate, dollar index, money supply and per capita disposable income of the five variables to the United States CDS index empirical analysis; finally, using descriptive statistics, correlation analysis, Time trend line analysis and Granger test to the Dow Jones index and the correlation between the CDS index empirical analysis. The empirical results show that GDP and US dollar index have great influence on the Dow Jones Index, while the per capita disposable income, US dollar index and money supply have a great influence on the CDS index. There is a strong correlation between the stock market and the CDS market, and the risk between the two markets will be transmitted.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.51;F224

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