信用衍生产品价格波动影响因素分析

发布时间：2018-01-12 04:16

本文关键词：信用衍生产品价格波动影响因素分析　出处：《吉林大学》2013年硕士论文　论文类型：学位论文

【摘要】：集中爆发于2007-2009年间的金融危机最终导致全球经济下滑以及股市规模大幅缩水，这次危机与之前相比有一些新特点，美国房地产市场调整引发的次级贷款偿付危机最终引发全球金融海啸，人们普遍认为信用衍生产品是危机产生的罪魁祸首，包括乔治索罗斯在内的许多对冲基金经理表示应该终止关于信用违约互换的大部分甚至是全部交易。金融市场间联动如何影响信用衍生产品价格是文章所要解决的主要问题，对于今后我国进一步发展信用衍生品市场、增强金融市场风险可控性具有重要的现实意义。首先，大多数学者将信用衍生产品定价作为研究重点，主要从产品创立本质角度进行定价，鲜有从实证研究角度考察金融市场间价格联动的相关文献，但从次贷危机以及爱尔兰债务危机来看，危机造成的损失远远超过标的债务本身，信用衍生产品逐步转变为投机工具，对冲风险的功能几乎消失，并且具备了影响宏观经济运行的能力。其次，通过复盘次贷危机期间各金融市场走势分析次贷危机的传导效应，厘清危机在信贷市场、资本市场以及实体经济之间的传导关系，确定可能造成信用衍生产品价格波动的经济变量，为实证分析部分选取变量做准备。再次，从可能对信用衍生产品价格波动产生影响的指标出发，在前人研究成果基础上，选取能代表国内外市场流动性、资金避险情绪以及股票、大宗商品市场波动的四个变量为主要考察对象。通过Granger因果关系检验发现信用衍生产品价格指数可以反向决定债务违约风险，信用衍生产品产生的目的是为贷款人提供风险保护并促进资金融通，但随着市场规模越来越大，市场集中度越来越高，定价能力越来越强，其对债券市场的反向决定作用越来越明显。在进行变量协整关系检验后发现投资级别信用违约互换指数与美元指数以及WTI原油价格之间存在长期正向均衡关系，与标普指数以及TED利差之间存在长期负向关系，投资者避险情绪、市场流动性情况以及实体经济动向成为影响变量长期关系的主要因素。最后，利用结构向量自回归模型对变量间动态联系进行分析，通过脉冲响应函数发现：与正常时期相比，次贷危机期间股市波动对信用衍生品市场造成的影响更大，正向股票冲击带来信用违约互换指数正向变动，且累计冲击响应值为负，，表现为金融危机时期则存在股票价格和CDS价格同时上涨的情况，但经济平稳增长时期，累计影响效果为零；国内外市场流动性受央行货币政策变动干扰，其对信用衍生品市场的影响方向具有随机性，但在正常时期则表现出持久的正向累计影响效果；在资金避险情绪变动影响下，美元指数对信用衍生产品价格波动产生的影响随着市场风险水平变动产生方向性改变，次贷危机期间投资者在市场风险较高环境下追求稳定收益，脉冲响应函数表现为先正后负的累计冲击影响效果；受地缘政治因素影响，次贷危机期间原油期货价格变动对信用衍生品市场的影响具有随机性，而在后次贷危机阶段，原油市场价格变动与宏观经济走势相吻合，短期内则呈现出反向变动关系。综上所述，信用衍生产品价格不仅仅只受到标的债务违约风险变化影响，国内外市场流动性、资金避险情绪以及股票、外汇、大宗商品市场波动均对其产生影响，作为一种对冲债务违约风险的信用衍生品，整体上却没有降低金融事件的风险，反而成为引发金融危机和债务危机的助推剂。随着国内信用衍生品市场的发展，在信用产品设计以及交易机制上应更加注重对其投机属性的控制。
[Abstract]:Focus on the outbreak in 2007-2009 years financial crisis eventually led to the global economic downturn and the stock market has shrunk dramatically, compared with before the crisis has some new characteristics, subprime loans in the U.S. real estate marketcorrection triggered the solvency crisis eventually triggered the global financial tsunami, people generally think that credit derivatives are arch-criminal crisis, including George Soros, many hedge the fund manager said should end of the credit default swaps most or all transactions. The linkage between financial markets affect the credit derivatives prices are the main problems to be solved in the future, for the further development of China's credit derivatives market, strengthen risk control has important practical significance in financial markets.
First of all, most scholars credit derivatives pricing as the research focus, mainly from product pricing founded essence angle, related literature rarely from the perspective of empirical research on the financial market price linkage, but from the subprime mortgage crisis and the Irish debt crisis, the crisis caused by the loss is far more than the underlying debt, credit derivatives gradually change as a tool to hedge the risk of speculation, almost disappeared, and have the ability to affect macroeconomic performance.
Secondly, through checking during the subprime crisis of the financial market trend analysis of subprime crisis conduction effect, clarify the crisis in the credit market, the conduction relationship between capital market and real economy, determine the possible fluctuations in the price of credit derivatives of economic variables, the selected variables for empirical analysis.
Again, starting from may have an impact on the fluctuations in the price of credit derivatives index, based on the previous research results, selected on behalf of the domestic and foreign market liquidity, capital risk aversion and stock, four variables of commodity market volatility as the main study object. It is found that the price index of credit derivatives can reverse decisions through debt default risk the Granger causality test, credit derivatives have to provide risk protection for the lender and promote financial intermediation, but with the increasing market size, market concentration is getting higher and higher, pricing power is more and more strong, the reverse decisionfunction on the bond market is more and more obvious. The variable cointegration test after it is found that the investment level of credit default swaps have positive long-term equilibrium relationship between the dollar index and the WTI index and the price of crude oil, and the S & P index and TED There is a long-term negative relationship between spreads. Investors' risk aversion, market liquidity and real economy trend become the main factors that affect the long-term relationship.
Finally, from the analysis on the dynamic relationship between variables and regression model using structural vector, the impulse response function showed that: compared with the normal period, the stock market fluctuations of credit derivatives market during the subprime crisis caused a greater positive impact, the stock of credit default swap index of positive change, and the cumulative impact response value is negative, performance the financial crisis is the existence of the stock prices and CDS prices rising at the same time, but a period of steady economic growth, the cumulative effect is zero; the domestic and foreign market liquidity by the central bank monetary policy change interference, its impact on the credit derivatives market direction is random, but in normal times showed a lasting positive cumulative effect in effect; financial risk aversion changes under the impact of the dollar index of fluctuations in the price of credit derivatives generated with the market risk level of real estate Life direction change, the pursuit of stable income investors during the subprime crisis in the market with high risk environment, the impulse response function shows the cumulative impact of the first positive negative effect; affected by geopolitical factors during the subprime crisis, crude oil futures price changes on the credit derivatives market is random, and after the subprime crisis stage the crude oil market, price changes and macroeconomic trends coincide, the short term showed the reverse changes in the relationship.
To sum up, credit derivatives prices not only by the underlying debt default risk changes, liquidity in domestic and foreign markets, capital risk aversion and stock, foreign exchange, commodity market fluctuations have an influence on it, as a hedge against the risk of debt default credit derivatives, but did not reduce the risk of overall financial events, but become a booster of financial crisis and debt crisis. With the development of the credit derivatives market in the design of credit products and trading mechanism should pay more attention to the control of the speculative property.

【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】：F831.55;F224

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