隐Markov链驱动关联性和波动性的传染分析

发布时间：2018-01-27 16:39

本文关键词： 波动相关 Markov 机制转换危机传染　出处：《中国管理科学》2012年04期 　论文类型：期刊论文

【摘要】：本文将隐Markov链对波动性和相关性的驱动分析引入DCC多元GARCH,对波动和相关分析建立起了直接的联系,进而考察次贷危机、欧洲债务危机在主要证券市场间的传染性。研究发现,高波动高相关机制为联动性提供了一种直接的表述方式,且这一机制在危机期间处于支配地位;次贷危机、欧洲债务危机具有传染性,传染期以区间的形式出现,且危机初期的市场在各机制间有较为频繁的转换,不可根据危机事件对样本进行武断地分割;同时,危机的传染在所考察的市场之间具有系统性,应对危机需要各国政策间的协调配合;另外,有证据显示美国次贷市场在2006年年中已显现出问题,有关国家贻误了深入分析和应对危机的时机。
[Abstract]:In this paper, the driven analysis of volatility and correlation of implicit Markov chain is introduced into DCC multivariate GARCH, which establishes a direct relationship between volatility and correlation analysis, and then examines the subprime mortgage crisis. The contagion of the European debt crisis among the main securities markets. The study found that the high volatility and high correlation mechanism provides a direct expression for the linkage, and this mechanism is dominant during the crisis. The sub-prime crisis, the European debt crisis is contagious, the contagion period appears in the form of interval, and the market in the early stage of the crisis has more frequent conversion among the various mechanisms, the samples can not be arbitrarily divided according to the crisis events; At the same time, the contagion of the crisis is systematic among the markets examined, and the response to the crisis requires the coordination of national policies; In addition, there is evidence that the U.S. subprime mortgage market had problems in the middle of 2006, and countries missed the opportunity for in-depth analysis and response to the crisis.
【作者单位】：华中科技大学经济学院;招商银行博士后科研工作站;
【基金】：国家自然科学基金资助项目(70971051)
【分类号】：F830.91;F224
【正文快照】： 1引言自20世纪90年代以来,世界范围内爆发了多次金融危机,对危机传染性的分析也成为了研究的热点。美国次贷危机在短期内迅速席卷全球,并对世界经济造成了强烈冲击;当下的欧洲债务危机亦愈演愈烈,这使人们再次意识到危机传染范围和程度的难以预料性;在此期间内,诸多应对措施

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