中美两国金融市场联动效应研究

发布时间：2018-01-11 20:22

本文关键词：中美两国金融市场联动效应研究　出处：《吉林大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着经济全球化的不断深入，开放经济体间的经济联系日益紧密，国际金融市场间的联动性也逐渐增强。中美两国分别作为世界上最大的发展中国家和最大的发达国家，两国金融市场的发展在国际金融市场地位举足轻重。近年来两国的金融市场联动也日益密切。因此，对中美两国金融市场间联动性的研究具有重要的现实意义。本文将从实证角度出发，以次贷危机为分界线，对危机前后中美两国各金融子市场间的联动性变化进行详细分析，并提出相关的政策建议。本文首先对中美两国金融市场联动性的演变进行说明，即中美金融市场的联动性主要来源于两国在贸易、直接投资等方面的互动。其次，本文使用结构向量自回归模型(Structual Vector Autoregression,SVAR)对中美两国的货币市场，股票市场和外汇市场间的联动性进行实证分析。其中，分别以美国三月期国库券利率、中国的三月期银行间同业拆借利率作为两国货币市场的代表性利率，以美国SP500，中国的上证综指作为两国股市的代理性指标，人民币兑美元汇率作为外汇市场的指标。在实证分析中，以次贷危机为分界线，说明危机前后金融市场联动性的变化情况。实证研究表明，次贷危机前，中国金融市场对美国各子市场的影响微乎其微，美国金融市场对中国股市、货币市场的影响较弱。次贷危机后，中国金融市场对美国金融市场影响相较危机前增强，相比之下，美国金融市场对中国的影响更加显著。中美两国金融市场间的联动在危机后增强，且二者间的联动存在非对称性。究其原因，除了受金融传染因素影响，中国金融市场开放步伐加快，中美两国实体经济联系密切，投资者投资理念的变化以及信息传递便捷等因素都使得两国金融市场联动性增强。由此可见，，随着中国和发达国家金融市场融合不断加强，中国监管当局应当加强金融监管，建立有效的监管机制和风险防范体系；投资者要及时跟进市场的变化，选择能有效规避市场风险并获得最大收益的投资决策。
[Abstract]:With the deepening of economic globalization, economic ties between open economies are becoming increasingly close. The linkage between international financial markets is also gradually increasing. China and the United States are respectively the world's largest developing countries and the largest developed countries. The development of the two countries' financial markets plays an important role in the international financial markets. In recent years, the financial markets of the two countries have become increasingly closely linked. The study of the financial market interaction between China and the United States is of great practical significance. This paper will take the subprime mortgage crisis as the dividing line from the perspective of empirical evidence. This paper makes a detailed analysis of the linkage changes between the financial sub-markets of China and the United States before and after the crisis, and puts forward relevant policy recommendations. This paper first explains the evolution of the financial market linkage between China and the United States, that is, the financial market interaction between China and the United States mainly comes from the interaction between the two countries in trade, direct investment, and so on. This paper uses the structural vector autoregressive model (Structual Vector autoregressive SVARA) to analyze the money markets in China and the United States. The paper analyzes the linkage between the stock market and the foreign exchange market. Among them, the interest rate of the Treasury bill of March in the United States and the interbank offered rate of March in China are taken as the representative interest rate in the money market of the two countries. Taking the US SP500, the Shanghai Composite Index of China as the proxy index of the stock markets of the two countries and the RMB / US dollar exchange rate as the index of the foreign exchange market, in the empirical analysis, the sub-prime mortgage crisis is taken as the dividing line. Explain the change of financial market linkage before and after the crisis. Empirical research shows that before the subprime mortgage crisis, the impact of Chinese financial markets on the sub-markets of the United States is minimal, the impact of American financial markets on China's stock market and money market is weak. The impact of Chinese financial markets on U.S. financial markets is stronger than it was before the crisis, compared with the more significant impact of U.S. financial markets on China. The linkage between the financial markets of China and the United States intensified after the crisis. Besides being affected by financial contagion, the pace of opening up of Chinese financial market is quickening, and the real economy of China and the United States are closely linked. The change of investors' investment concept and the convenience of information transmission make the financial markets of the two countries become more and more interactive. It can be seen that the integration of financial markets between China and developed countries has been strengthened. China's regulatory authorities should strengthen financial supervision and establish an effective regulatory mechanism and risk prevention system. Investors should follow market changes in time and choose investment decisions that can effectively avoid market risks and maximize returns.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.6;F832.51;F837.12

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