我国金融市场间均值及波动溢出效应研究

发布时间：2018-03-05 05:22

本文选题：金融危机　切入点：溢出效应　出处：《浙江理工大学》2017年硕士论文　论文类型：学位论文

【摘要】：20世纪90年代以来,伴随着全球经济的高速发展,金融危机也频繁发生。在危机发生期间,受灾区域内金融资产价格波动幅度显著扩大,不同金融市场间的影响明显增强。国外学者在对金融市场间溢出效应的研究中较多是集中于欧美等发达地区以及韩国、非洲等新兴经济地区,研究的时间段多集中于欧债危机期间。相对来说国内对我国金融市场间的溢出效应研究还较为欠缺,同时考虑到国内金融市场虽然与国际金融市场的联动较少,但就国内金融市场整体而言,市场间的关联还是较大的,因此本文对国内金融市场间的溢出效应进行了研究。本文首先总结了过去30年内全球经济的发展格局,随后对几次重大经济危机进行了叙述,进而引出了关注金融市场间溢出效应的重要性,并对用之于研究的方法及其创新性进行了着重介绍。在理论层面上,本文对国内外关于不同国家(或区域)的金融资产间以及同一国家(或区域)内的不同金融市场间溢出效应的研究进行了综述,同时也将国内外关于金融市场间溢出效应的研究手段进行了罗列、归纳,为本文选取基于VAR框架下的广义预测误方差分解的研究方法奠定基础。随后,本文对均值及波动溢出效应进行了界定,同时在对我国金融市场发展现状分析的基础上,就金融市场联动理论、实体经济联系以及极值风险这三个方面,对金融市场间的传导机制进行了探讨。本文将国内金融市场:股票、债券、外汇、货币、黄金市场纳入到了整体框架中,综合运用VAR框架下的广义预测误方差分解法,通过构建溢出指标从静态、动态以及分段三个角度对不同金融市场间的均值以及波动溢出的方向和强度进行了研究,研究发现:其一,股票、货币及黄金市场是主要的均值及波动溢出给出市场,而债券以及外汇市场是主要的均值及波动溢出收到市场。其二,从均值溢出的角度看,危机前外汇及黄金市场的影响占主导地位;次贷危机期间,股票、债券市场的均值溢出显著上升,而黄金市场的影响有所下降;欧债危机期间各个市场的均值溢出效应影响地位基本一致;危机后阶段各个市场的均值溢出效应都显著下降。其三,从波动溢出角度看,危机前货币、债券及外汇市场的波动溢出水平显著;次贷危机期间,股票及黄金市场的溢出水平显著上升,对应货币市场的波动溢出水平显著下降;欧债危机期间,股票市场的波动溢出水平急剧下降,其他市场的溢出水平基本一致;在危机后阶段,股票市场的溢出水平显著上升,黄金市场的波动溢出水平急剧下降。其四,从总溢出水平上看,均值溢出在整个时间段内呈现先升后降的趋势,在危机阶段保持较高的均值溢出水平;相比之下,波动溢出在次贷危机阶段总波动溢出上升,但在欧债危机期间总波动溢出下降,并低于危机前阶段,危机后阶段总波动溢出水平低于危机前。最后结合理论层面分析以及实证结果验证,对我国金融市场的建设提出如下建议:个人及机构投资者需要对资产池中金融资产间的溢出效应予以恰当的考虑,同时也需要考虑不同金融市场在不同阶段的影响地位差异性,进而合理安排资本配置以达到预期的报酬及风险配比;在研究或制定以我国金融市场为渠道或目标的财政及货币政策时,需要充分考虑不同金融市场间的联动及传导,如充分预期金融市场间一致(同向)溢出的效果放大,又如避免出现金融市场间效果相互抵消的情况;对监管者而言,需要从两两市场间、单个市场对于整体以及整体金融市场三个层面进行合理监管。
[Abstract]:Since 1990s, with the rapid development of global economy, the financial crisis has occurred frequently. In the crisis period, in the region affected the financial asset price volatility significantly expanded, the influence of different financial markets significantly enhanced. Foreign scholars on financial market spillover effect research is more concentrated in Europe and other developed regions South Korea, Africa and other emerging economies, the time period of the study focused on the European debt crisis period. Relatively more domestic study on Spillover Effect of China's financial market lack, taking into account the domestic financial market and international financial market linkage although less, but the domestic financial market as a whole, the market association is the big, this paper analyzes the spillover between financial markets. This paper summarizes the global economy over the past 30 years the development of lattice The Bureau, followed by a description of several major economic crisis, and thus leads to the importance of financial market spillover effects, and the methods used in the research and innovation were introduced. At the theoretical level, this paper at home and abroad on the different countries (or regions) of financial assets and a country (or region) of different financial market spillovers within were reviewed, at the same time also means the domestic and foreign research on spillover effect between financial markets were listed, summarized research methods under the framework of VAR generalized predictive error variance decomposition based on lay the foundation for this selection. Then, this paper the definition of the mean and Volatility spillover effect, at the same time, based on the analysis of the current situation of the development of China's financial market, the financial market linkage theory, three aspects of the real economy and extreme risk of gold, The transmission mechanism between financial market are discussed. The domestic financial markets: stocks, bonds, foreign exchange, currency, gold market into the overall framework of the integrated use of VAR under the framework of generalized predictive error variance decomposition method, by constructing index overflow from the static, direction and strength of different means between financial markets and the dynamic volatility spillover and subsection three angles were studied. The study found: first, stock, currency and gold market is mean and volatility spillovers are the main market, bond and foreign exchange market is the main mean and volatility spillover from the market. Secondly, from the perspective of mean spillover effect before the crisis, foreign exchange and the gold market dominant status; stock during the subprime mortgage crisis, and significantly increased the mean spillover of the bond market, and the gold market has declined; the mean debt crisis during the period of each market overflow The effect of position is consistent; after the crisis mean spillover effect of every stage of market decline significantly. Thirdly, from the perspective of volatility spillover, pre crisis currency, bond and currency market volatility spillover effect; during the subprime crisis, the stock market and gold overflow level increased significantly, the level of the corresponding currency market volatility spillover decreased significantly; during the European debt crisis, the volatility spillover level of the stock market fell sharply, spillover in other markets are basically the same; in the post crisis stage, significantly increased the level of stock market volatility spillover, spillover level gold market fell sharply. Fourth, from the total overflow level, mean spillover first increased and then decreased the trend in the entire period of time, keep the mean spillover level is higher in the crisis stage; in contrast, the volatility spillover in the stage of the subprime crisis total fluctuation overflow rise, but in debt A decline in total volatility spillover during the crisis, and is lower than the pre crisis stage, below the crisis stage total volatility spillover level after the crisis. Finally, the theoretical analysis and empirical results, put forward the following suggestions on the construction of China's financial market: personal and institutional investors need to appropriately consider the spillover effects of financial assets in the asset pool. At the same time, also need to consider the difference in different financial markets affect the status of different stages, and reasonable arrangement of capital allocation in order to achieve the expected return and risk ratio; in research or formulate fiscal and monetary policies to China's financial market channels or targets, to fully consider the linkage and transmission among different financial markets, such as fully expected financial market consistent (same direction) to enlarge the spillover effects, as well as to avoid the effect of financial markets to offset each other; the regulators concerned There is a need for reasonable supervision from the 22 markets, with a single market on the overall and overall financial market at three levels.

【学位授予单位】：浙江理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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