基于平滑转换自回归模型的欧洲CDS市场和债券市场研究

发布时间：2018-04-27 00:18

本文选题：欧洲主权债务危机 + 平滑转换自回归模型　；参考：《山西财经大学》2014年硕士论文

【摘要】：受金融危机影响，欧洲主权风险激增，主权债务危机的爆发与蔓延成为困扰全球经济、金融稳定的重要因素。自危机爆发以来，欧盟以及有关政府相继出台救援措施，各国政府也积极参与了救援。尽管各方都积极参与救助，但是欧债危机并没有实质性的好转，反而愈演愈烈并已延至其第二大经济体法国。此次危机的蔓延，引起了世界对债务危机大面积爆发的深深忧虑。在回顾了有关危机中主权CDS市场及主权债券市场分析的理论文献后，本文对主权CDS市场及债券市场的现状进行了总结分析，并对平滑转换自回归模型的理论进行了阐释，以此作为本文的理论基础。采用平滑转换自回归模型，对这两个市场在价格发现过程中的贡献度进行分析，从而判断哪个市场为主导市场，进而研究解决危机应从哪个市场出发来解决。本文从内外部两方面着手分析欧债危机爆发的原因，主要对经济结构、社会结构、欧盟制度设计、金融内部相关性等方面的因素进行了分析，，并在此基础上对历次主权债务危机的解决方案进行了总结和分析。最后结合实证分析结果(债券市场在价格发现中起主导作用，主权CDS市场是被引导市场)，提出解决欧债危机应从债券市场出发的政策建议，并总结我国开展CDS市场中应注意的问题以及对主权危机的防范措施。
[Abstract]:Affected by the financial crisis, the European sovereign risk surge, the outbreak and spread of sovereign debt crisis has become an important factor of global economic and financial stability. Since the outbreak of the crisis, the European Union and the relevant governments have introduced rescue measures, governments have actively participated in the rescue. Despite the active involvement of all parties, the European debt crisis has not really improved, but has intensified and has been extended to its second largest economy, France. The spread of the crisis, caused the world's debt crisis outbreak of deep concern. After reviewing the theoretical literature on sovereign CDS market and sovereign bond market analysis in crisis, this paper summarizes and analyzes the present situation of sovereign CDS market and bond market, and explains the theory of smooth transformation autoregressive model. This is the theoretical basis of this paper. This paper analyzes the contribution of these two markets in the process of price discovery by using the smoothing transformation autoregressive model, so as to judge which market is the dominant market, and then to study which market should be used to solve the crisis. This paper analyzes the causes of the European debt crisis from the internal and external aspects, mainly on the economic structure, social structure, European Union system design, financial internal correlation and other factors. On this basis, it summarizes and analyzes the solutions of previous sovereign debt crises. Finally, combined with the empirical analysis results (the bond market plays a leading role in price discovery, the sovereign CDS market is the guide market, the paper puts forward some policy suggestions on how to solve the European debt crisis from the bond market. It also summarizes the problems that should be paid attention to in the development of CDS market in China and the preventive measures to the sovereignty crisis.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F835

【参考文献】