金砖四国金融稳定性研究

发布时间：2018-01-19 21:00

本文关键词： 金融稳定性金砖四国分位数回归变系数分位数回归系统性冲击　出处：《中国科学技术大学》2017年硕士论文　论文类型：学位论文

【摘要】：金融不稳定性累积到一定程度就会引发金融危机,而新兴市场作为世界经济发展的重要增长点,同时也是金融危机爆发的重灾区。因此,新兴市场金融稳定性的研究至关重要。本文以金砖四国为研究主体,基于变系数分位数回归理论,围绕金融稳定性主要是股票市场的稳定性展开研究,研究系统性冲击对金融市场的特别是极端条件下的时变的影响。至今为止,国内外学术界以及实务界都尚未对"金融稳定性"给出一致定义。本文在已有研究的基础上,从收益率的视角通过量化的方法研究了金砖四国的金融稳定性以及在极端条件下,随着时间的变化,系统性冲击对金砖四国金融稳定性的影响。与传统金融稳定性的研究方法不同,本文没有通过构造金融脆弱性指标的方法研究金融市场的不稳定性,而是从量化的角度出发,采用分位数回归模型对金砖四国的金融稳定性进行检验,研究系统性冲击在正常和极端市场下对不同国家金融市场的影响。实证结果表明,金砖国家都具有某种程度上的金融不稳定性,其中中国和巴西表现最为明显。另外,本文首次把变系数分位数回归进入到金融稳定性研究。市场永远都是变化的市场,所以研究金融市场和系统性冲击的动态关系,十分有利于我们从更微观的视角观察系统性冲击对各个金融市场的影响程度。变系数分位数回归不仅能够了解到金融市场的稳定与否,更能深刻的描述系统性冲击对金融市场稳定性的影响随时间变化的趋势。实证结果表明,系统性冲击对各个金砖国家的金融市场的稳定性的影响随着时间是变化的,特别是极端市场条件下。结论表明,系统性冲击的影响在极端市场条件下有被放大的效应,且越是极端的市场放大效应越剧烈。
[Abstract]:The accumulation of financial instability to a certain extent will lead to a financial crisis, and emerging markets as an important growth point of world economic development, but also a financial crisis outbreak of the disaster area. The study of financial stability in emerging markets is very important. Based on the variable coefficient quantile regression theory, this paper focuses on the stability of the stock market. To study the effects of systemic shocks on the time varying of financial markets, especially under extreme conditions. There has not been a consistent definition of "financial stability" in the academic and practical circles at home and abroad. This paper studies the financial stability of BRIC countries and the changes over time under extreme conditions through quantitative methods from the perspective of yield. The impact of systemic shocks on the financial stability of BRIC countries. Different from the traditional research methods of financial stability, this paper does not study the instability of financial markets by constructing financial vulnerability indicators. On the other hand, the quantile regression model is used to test the financial stability of BRIC countries from the point of view of quantification. The empirical results show that the BRICS countries have some degree of financial instability. China and Brazil are the most obvious. In addition, the first variable coefficient quantile regression into the study of financial stability. The market is always a changing market. Therefore, the dynamic relationship between financial markets and systemic shocks is studied. It is very helpful for us to observe the impact of systemic shocks on various financial markets from a more microscopic perspective. Variable coefficient quantile regression can not only understand the stability of financial markets. A more profound description of the impact of systemic shocks on the stability of financial markets over time trends. Empirical results show. The impact of systemic shocks on the stability of BRICS financial markets has changed over time, especially in extreme market conditions. The effects of systemic shocks are amplified under extreme market conditions, and the more extreme the effects are, the more severe the effects are.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F831

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