基于同跳视角的金融系统性风险度量研究

发布时间：2018-01-05 23:04

本文关键词：基于同跳视角的金融系统性风险度量研究　出处：《浙江工商大学》2017年硕士论文　论文类型：学位论文

【摘要】：在全球经济金融一体化的进程中,如何做好金融市场上的风险度量与风险管理,有效地防范金融危机发生已成为关注热点。2008美国次贷危机引发全球性金融危机、欧洲主权债务危机引发金融市场动荡以及2015年中国股灾引发资本市场跌宕起伏,都表明了在高度关联的金融体系内部,金融机构之间的传染效应和溢出效应已成为金融市场的本质特征。目前,全球金融系统遭受到英国脱欧公投、美国总统大选、各国股灾等黑天鹅事件的冲击,大量风险在系统内不断累积升级,一个意外的宏观信息冲击就会造成金融机构资产价格跳跃,进而通过传染、溢出效应扩散至整个金融市场,最终引发金融系统的动荡与衰退。为了较好地度量中国金融市场上的系统性风险,本文基于一个新的视角即金融机构与金融指数之间的同跳来展开研究。本文从金融机构个股与金融指数资产价格的跳跃特征、金融机构个股与金融指数资产价格的同跳特征以及宏观信息冲击对同跳的作用三个维度进行深入的实证探究。本文选取工商银行、中信银行、南京银行与中证800金融指数2013年8月6日至2017年1月26日五分钟高频股价交易数据为样.本,采用Bollerslev,Todorov和Li(2013)的非参数方法提取跳跃,并统计出金融机构个股与金融指数之间的同跳现象,分别对跳跃与同跳进行基本特征分析。本文并采用HAR-RCov-JCov和HAR-RV-JCov模型研究同跳因素对预测RCov和RV等波动率的影响。本文采用Relogit回归模型研究中国市场上宏观经济信息冲击对同跳的影响,测度中国金融市场的系统性风险产生的根本原因。研究结果表明:(1)金融机构个股与金融指数的股价收益率和跳跃存在明显的波动集聚性和时变性。(2)金融机构个股与金融指数存在频繁的跳跃并且两者趋势基本保持一致,表明银行业对金融市场有着重要的影响。(3)股份制商业银行和城市商业银行与金融指数的同跳高于大型国有商业银行与金融指数的同跳,表明前者对金融市场波动冲击较大。(4)金融机构个股与金融指数的同跳对于预测RCov和RV具有显著的解释作用。(5)宏观信息冲击发布会影响金融机构间资产的联合跳跃,意外的消息发布会引发金融市场的系统性风险。(6)CPI、GDP、NL(人民币新增贷款)对同跳影响较大,应加强关注这些宏观经济指标,及时做好相应的风险管理与风险防范。
[Abstract]:In the global economic and financial integration process, how to manage the risk of financial market and risk measurement, effectively prevent the financial crisis has become the focus of.2008 in the U.S. subprime mortgage crisis triggered a global financial crisis, the European sovereign debt crisis triggered by financial market turmoil and the 2015 stock market crash Chinese triggered capital market ups and downs, showed that in the internal height Association of the financial system, the contagion effect and spillover effect between financial institutions has become the essential feature of the financial market. At present, the British suffered off the European referendum on the global financial system, the United States presidential election, the stock market crash and the black swan event impact, a lot of risk in the system in the continuous accumulation of macro information upgrade, the impact will be a surprise the asset price jumps and financial institutions, through contagion, spillover to the financial market, and ultimately lead to gold Financial turmoil and recession. In order to measure systemic risk China financial market better, in this paper a new perspective of financial institutions and financial index of the same jump to carry out the research based on the characteristics of financial institutions. The jump from stocks and financial asset price index, with the jump characteristics of stocks and financial institutions the financial asset price index and macroeconomic impact of information inquiry in-depth on the three dimensions of role with the jump. This paper selects the industrial and Commercial Bank of China, CITIC Bank, Nanjing bank and the financial CSI 800 index from August 6, 2013 to January 26, 2017 five minute high-frequency transaction data. The stock price, using Bollerslev, Todorov and Li (2013) jump non parameter extraction method, and the statistics of the same jump phenomenon between financial institutions and financial stocks index, respectively, analysis of the basic characteristics and the same jump jump. This paper using HAR-RCov Study on effect of -JCov and HAR-RV-JCov model with jump factors for predicting RCov and RV volatility. The regression model of China market macroeconomic impact on the information with the effects of the jump by Relogit, the root cause of systemic risk of Chinese measure of financial market. The results show that: (1) the stock price returns and jump financial institutions and financial stocks index has obvious volatility clustering and time-varying. (2) there is frequent jump and the trend of consistent financial institutions and financial stock index, suggest that the banking industry has an important influence on the financial market. (3) the joint-stock commercial banks and city commercial banks and financial index of the same jump higher than the large state-owned commercial banks and the financial index of the same jump, indicating that the former larger fluctuation of financial market impact. (4) financial stocks and financial index of the same jump for pre measured RCov and RV Can significantly explain. (5) combined with macro information impact effect between financial institutions assets conference jumps, unexpected news conference lead to systemic risk in the financial market. (6) CPI, GDP, NL (new yuan loans) on the same large jump effect, should strengthen the focus on these macroeconomic indicators, timely risk the corresponding management and risk prevention.

【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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