金融危机通过资本市场对我国经济扩散研究

发布时间：2018-04-11 01:37

本文选题：金融危机扩散指数 + 资本市场　；参考：《河北大学》2014年硕士论文

【摘要】：2008年美国爆发的金融危机，使我国虚拟经济和实体经济遭受重创。掌握金融危机爆发的主要原因、可能的传染路径以及测算和控制金融危机的影响程度是我国恢复经济的主要课题。本文以2008年的美国金融危机为背景，选取2006-2010年的月度相关数据，以金融危机的传导机制为切入点，，立足于资本市场，通过探究金融危机与我国资本市场间的传导机制，论述金融危机对我国经济发展存在的影响，同时构建相应金融危机评价指标体系，编制金融危机扩散指数，论述金融危机对我国经济扩散路径和扩散程度，把握金融危机对我国经济冲击的大小和方向，以便采取有效措施应对危机的传染。本文通过从汇率渠道、资本流动性渠道、预期渠道、资产价格渠道四种路径分别选取代表性指标，运用单位根检验、协整检验、格兰杰因果检验并建立向量误差修正模型等计量经济学方法从理论和实证角度论证了金融危机会通过四种路径传导到我国的资本市场，刻画了金融危机的传染机制。然后，通过研究比较编制指数的选取方法，从四个方面，运用主成分分析法编制了金融危机对我国经济扩散的汇率市场指数、预期指数、资产价格指数、资本流动指数四个分指数，在对四个分指数综合得分评价的基础上运用层次分析法和B-P神经网络法构建了金融危机扩散总指数，并用临界值的方法确定各指标受金融危机影响的程度。研究表明：金融危机会通过汇率、资本流动、预期、资产价格四种渠道传染到我国；金融危机扩散指数的编制很好的描述了金融危机对我国经济的传染和扩散机制，而且扩散程度的大小也符合我国经济发展状况；本文扩散指数的编制方法可借鉴到其他学科和领域衡量各指标受影响程度，以便更好的了解整体发展状况。最后本文根据对金融危机扩散指数的分析，在四个方面提出促进我国经济发展的措施，并首次提出通过建立股价市值占GDP比重的合理上下限来衡量资本市场发展状况。
[Abstract]:The financial crisis broke out in the United States in 2008 made our virtual economy and real economy suffer a heavy blow.To grasp the main causes of the financial crisis, the possible path of contagion, and to measure and control the impact of the financial crisis are the main issues of economic recovery in China.This paper takes the 2008 American financial crisis as the background, selects the monthly relevant data from 2006 to 2010, takes the financial crisis transmission mechanism as the breakthrough point, bases itself on the capital market, and probes into the transmission mechanism between the financial crisis and China's capital market.This paper discusses the influence of the financial crisis on the economic development of our country, at the same time, constructs the corresponding evaluation index system of the financial crisis, compiles the financial crisis diffusion index, and discusses the path and degree of the financial crisis to the economic diffusion of our country.In order to deal with the contagion of financial crisis, we should grasp the magnitude and direction of financial crisis.This paper selects representative indexes from exchange rate channel, capital liquidity channel, expected channel and asset price channel, and applies unit root test and cointegration test.Based on Granger causality test and vector error correction model, this paper demonstrates that financial crisis will be transmitted to China's capital market through four paths from theory and empirical point of view, and describes the contagion mechanism of financial crisis.Then, by studying the selection method of comparative compilation index, using principal component analysis method to compile the exchange rate market index, expected index, asset price index of the financial crisis on the economic diffusion of our country from four aspects.On the basis of the comprehensive score evaluation of the four sub-indices, the capital flow index is constructed by using the analytic hierarchy process and B-P neural network method to construct the total index of financial crisis diffusion.The critical value method is used to determine the extent of the impact of the financial crisis on the indicators.The study shows that the financial crisis will infect China through four channels: exchange rate, capital flow, expectation and asset price; the compilation of the financial crisis diffusion index describes the contagion and diffusion mechanism of the financial crisis to our economy.And the degree of diffusion is also in line with the economic development of our country. The method of compiling diffusion index in this paper can be used for reference to other disciplines and fields to measure the affected degree of each index in order to better understand the overall development situation.Finally, based on the analysis of the diffusion index of financial crisis, this paper puts forward four measures to promote the economic development of our country, and proposes for the first time to measure the development of capital market by establishing a reasonable upper and lower limit of the proportion of stock price market value in GDP.
【学位授予单位】：河北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.59;F124;F832.51

【参考文献】