欧债危机期间中美英日四国金融风险传染分析

发布时间：2018-08-22 21:04

【摘要】：近几年，金融危机爆发得日益频繁，危机爆发后的全球蔓延证明了金融危机的复杂性和传染性，这也使得检验金融危机传染性的存在与否以及对传染程度的确定显得越来越重要，尤其是对投资者和风险管理者更显得尤为重要。正确分析金融危机风险传染情况能大大降低在全球范围内进行投资和资本运作所承担的风险。对金融风险在不同市场间的传染进行实证分析，对于各国投资者在金融开放中防范和应对金融危机并保持金融稳定有重要意义。本文以欧债危机爆发至今为样本期间，对中国上证指数收益率、美国道琼斯指数收益率、英国金融时报指数收益率、日本日经225指数收益率进行实证研究，首先通过非参分位数回归方法检验金融风险传染的存在性，然后运用多元SVAR-GARCH模型测度金融市场间的风险传染程度，最后，构建了基于Copula方法尾部相关系数来度量在极端情况下，金融市场间的风险传染程度。三个模型都不约而同取得一致性结论，，证实了四国金融市场间的金融分析传染性的存在性，得出两两之间金融风险传染程度的大小，为各国投资者的跨国资本投资和风险管理提供了一定的借鉴。
[Abstract]:In recent years, financial crises have broken out more and more frequently, and the global contagion after the crisis has proved the complexity and contagion of the financial crisis. This also makes it more and more important to test the existence of financial crisis contagion and to determine the degree of contagion, especially for investors and risk managers. Correctly analyzing the financial crisis risk contagion can greatly reduce the risk of global investment and capital operation. The empirical analysis on the contagion of financial risk in different markets is of great significance for investors in various countries to prevent and cope with financial crisis and maintain financial stability in the process of financial opening. This paper takes the European debt crisis as a sample to study the yield of Shanghai Stock Exchange Index, Dow Jones Index, Financial Times Index, Nikkei 225 Index, and Japan's Nikkei 225 Index. First, the existence of financial risk contagion is tested by non-parametric quantile regression method, then the degree of risk contagion between financial markets is measured by multivariate SVAR-GARCH model. Finally, the tail correlation coefficient based on Copula method is constructed to measure the degree of risk contagion in extreme cases. Degree of risk contagion between financial markets. The three models all come to a consistent conclusion, which confirms the existence of contagion in financial analysis among the four financial markets, and draws the magnitude of financial risk contagion between two and two. It provides some reference for the transnational capital investment and risk management of investors in various countries.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.6

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