基于CoVaR方法的行业间市场风险关联研究
发布时间：2018-12-21 19:04
【摘要】：产业结构调整是当今各国经济发展的重要课题,随着社会主义市场经济体制的不断完善,我国经济迅速发展的同时,现有产业结构中存在的各种不合理状况凸显而出。实体经济比重过小,金融、房地产等虚拟经济膨胀迅速,相关行业产能过剩,存在严重的重复建设等问题,如果不及时有效对产业结构进行调整,不仅会造成资源的严重浪费,而且会为未来整个产业经济的有序发展设置障碍。 2007年的金融危机对我国产生了重大影响。具体表现为,危机迫使美国等西方发达国家提高储蓄率,加强贸易保护的力度,召回部分工业产能并大力发展新能源等新兴产业,这使得我国能获得附加值的国际产业分工变得更为艰难,相关产业发展受到重创。基于以上背景,本文从产业风险关联的角度出发,重点考察次贷危机前后各行业市场风险关联的变化情况,为合理调整我国产业结构提供一定的理论依据。 本文首先根据沪深两市上市公司数据,基于证监会发布的《上市公司行业分类指引》和国家统计局公布的《三次产业划分规定》两个分类标准,对沪深两市上市公司的行业分布、产业结构分布、行业规模及主营产品类型等情况做了简单的统计描述,为本文实证研究中样本的选取及研究对象的确定提供了依据。 然后,根据证监会上市公司行业分类标准,从风险的角度出发,利用CoVaR方法,结合上市公司财务数据及一系列的宏观状态变量,实证考察了次贷危机前后上证A股的各行业上市公司市场风险关联的变化。结果表明,危机前后我国各行业上市公司风险关联变化显著。一方面,危机发生后政府采取的一系列产业结构调整政策对我国市场经济发展起到了积极作用。另一方面,相关行业上市公司风险关联度依然较高。 特别的,选取证监会行业指数和A股市场指数,利用CoVaR方法的基本原理以及“滚动窗口”的思想,构建时变的R-CoVaR模型,实证考察制造业、金融服务业、房地产业及A股市场间的风险关联程度随时间的变化情况。实证结果表明：第一,制造业、金融服务业及房地产业间的风险关联程度密切,危机爆发后,各行业间的风险关联程度均显著增强；第二,行业间以及各行业与市场间的风险溢出效应具有方向性；第三,政府对金融市场的风险水平控制尤为重要,且对相关产业的宏观调控措施存在着一定的滞后效应。 最后,根据本文实证结果,提出相关产业结构调整建议。
[Abstract]:The adjustment of industrial structure is an important subject in the economic development of various countries. With the continuous improvement of the socialist market economic system and the rapid economic development of our country, all kinds of unreasonable conditions existing in the existing industrial structure are highlighted. The proportion of the real economy is too small, the virtual economy such as finance and real estate expands rapidly, the overcapacity of related industries exists, and there are serious problems such as repeated construction. If the industrial structure is not adjusted in time and effectively, it will not only cause serious waste of resources, And it will set up obstacles to the orderly development of the entire industrial economy in the future. The financial crisis in 2007 has had a significant impact on our country. Specifically, the crisis forced the United States and other western developed countries to raise their savings rates, strengthen trade protection, recall some of their industrial capacity and vigorously develop new industries such as new energy sources. This makes it more difficult for China to obtain the additional value of the international industrial division, the development of related industries have been hit hard. Based on the above background, this paper, from the angle of industrial risk correlation, focuses on the changes of market risk in various industries before and after the subprime mortgage crisis, which provides a certain theoretical basis for the rational adjustment of China's industrial structure. Firstly, according to the data of listed companies in Shanghai and Shenzhen stock markets, this paper is based on the two classification standards issued by the Securities Regulatory Commission (CSRC) and the National Bureau of Statistics (NBS). This paper makes a simple statistical description of the industry distribution, industrial structure distribution, industry scale and main product types of listed companies in Shanghai and Shenzhen stock markets, which provides a basis for the selection of samples and the determination of research objects in this paper. Then, according to the industry classification standard of listed companies of CSRC, from the risk point of view, using the CoVaR method, combined with the financial data of listed companies and a series of macro state variables, This paper empirically examines the changes of market risk of listed companies in each industry before and after the subprime mortgage crisis. The results show that the risk correlation of listed companies in different industries changes significantly before and after the crisis. On the one hand, a series of industrial structure adjustment policies adopted by the government after the crisis have played a positive role in the development of China's market economy. On the other hand, the risk correlation of listed companies in related industries is still high. In particular, select the CSRC industry index and A-share market index, use the basic principle of CoVaR method and the idea of "rolling window", construct time-varying R-CoVaR model, and investigate the manufacturing industry and financial services industry empirically. Real estate and A-share market between the degree of risk correlation with the change of time. The empirical results show that: first, the degree of risk correlation among manufacturing industry, financial service industry and real estate industry is close. Second, the risk spillover effect between industries and markets is directional; third, the risk level control of the financial market is particularly important, and there is a lag effect on the macro-control measures of related industries. Finally, according to the empirical results of this paper, some suggestions on industrial structure adjustment are put forward.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
[Abstract]:The adjustment of industrial structure is an important subject in the economic development of various countries. With the continuous improvement of the socialist market economic system and the rapid economic development of our country, all kinds of unreasonable conditions existing in the existing industrial structure are highlighted. The proportion of the real economy is too small, the virtual economy such as finance and real estate expands rapidly, the overcapacity of related industries exists, and there are serious problems such as repeated construction. If the industrial structure is not adjusted in time and effectively, it will not only cause serious waste of resources, And it will set up obstacles to the orderly development of the entire industrial economy in the future. The financial crisis in 2007 has had a significant impact on our country. Specifically, the crisis forced the United States and other western developed countries to raise their savings rates, strengthen trade protection, recall some of their industrial capacity and vigorously develop new industries such as new energy sources. This makes it more difficult for China to obtain the additional value of the international industrial division, the development of related industries have been hit hard. Based on the above background, this paper, from the angle of industrial risk correlation, focuses on the changes of market risk in various industries before and after the subprime mortgage crisis, which provides a certain theoretical basis for the rational adjustment of China's industrial structure. Firstly, according to the data of listed companies in Shanghai and Shenzhen stock markets, this paper is based on the two classification standards issued by the Securities Regulatory Commission (CSRC) and the National Bureau of Statistics (NBS). This paper makes a simple statistical description of the industry distribution, industrial structure distribution, industry scale and main product types of listed companies in Shanghai and Shenzhen stock markets, which provides a basis for the selection of samples and the determination of research objects in this paper. Then, according to the industry classification standard of listed companies of CSRC, from the risk point of view, using the CoVaR method, combined with the financial data of listed companies and a series of macro state variables, This paper empirically examines the changes of market risk of listed companies in each industry before and after the subprime mortgage crisis. The results show that the risk correlation of listed companies in different industries changes significantly before and after the crisis. On the one hand, a series of industrial structure adjustment policies adopted by the government after the crisis have played a positive role in the development of China's market economy. On the other hand, the risk correlation of listed companies in related industries is still high. In particular, select the CSRC industry index and A-share market index, use the basic principle of CoVaR method and the idea of "rolling window", construct time-varying R-CoVaR model, and investigate the manufacturing industry and financial services industry empirically. Real estate and A-share market between the degree of risk correlation with the change of time. The empirical results show that: first, the degree of risk correlation among manufacturing industry, financial service industry and real estate industry is close. Second, the risk spillover effect between industries and markets is directional; third, the risk level control of the financial market is particularly important, and there is a lag effect on the macro-control measures of related industries. Finally, according to the empirical results of this paper, some suggestions on industrial structure adjustment are put forward.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
【参考文献】
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