金砖国家金融市场极端风险的净传染机制研究

发布时间：2018-03-12 11:37

本文选题：金砖国家　切入点：极端风险溢出　出处：《广东财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：净传染是金融市场极端风险溢出的重要机制之一，与金融、贸易渠道共同将一国金融市场极端风险溢出至其他国家。在世界贸易一体化、金融自由化、信息不对称、投资主体有限理性、金融体系脆弱性、风险溢出的复杂性与非线性这样的背景之下，极端事件爆发后不同国家金融市场表现出过度协同主要是由于投资主体的心理预期和风险承担意愿变化、恐慌心理的传播、羊群式的金融资产抛售行为形成的金融市场极端风险净传染所导致的。从群体行为角度下可将金融全球体系划分为投资主体集群、金融市场组群以及国家组群三个层级，本文基于此角度系统分析了金融市场极端风险溢出的净传染机理并解释了在美国次贷危机和欧洲主权债务危机时期发达国家极端风险对金砖国家的净传染现象。金砖国家所受到的净传染冲击一方面是源于美国和“欧猪五国”危机爆发的直接冲击，危机的爆发所造成的恐慌心理传播使金砖国家金融市场投资者的心理预期和风险承担意愿变化导致对金融资产的疯狂抛售。另一方面，源于极端风险源国家通过其他发达国家组群对金砖国家的间接冲击。实证分析时，本文首先运用基于GED分布的GARCH模型估计了风险源国家极端风险下跌VaR，并用Granger因果关系、脉冲响应函数检验了极端风险源国家与金砖国家之间存在金融市场极端风险溢出并且风险源国家可以通过其他主要发达国家组群将极端风险溢出至金砖国家。在此基础之上，本文构建了加入空间距离和经济-制度相似性两类空间权重矩阵的空间面板模型，检验了发达国家组群和金砖国家间以及金砖国家间是否存在金融市场极端风险的净传染，实证结果表明：在样本区间各个阶段基于空间距离和经济、制度相似性造成的发达国家组群与金砖国家之间金融市场极端风险的净传染均存在且这种净传染程度在美国金融海啸全球爆发阶段达到最大。在金砖国家间金融市场极端风险净传染的检验之中，第一阶段只表现出基于空间地理关系造成的净传染，在第三阶段基于空间地理关系和经济、制度相似性造成的金砖国家间金融市场极端风险的净传染均存在，，在第二、四阶段基于这些因素造成的净传染不存在。
[Abstract]:Net contagion is one of the important mechanisms of extreme risk spillover in financial markets, which, together with financial and trade channels, spillovers extreme risks from one country's financial markets to other countries. Under the background of limited rationality of investment subject, fragility of financial system, complexity and nonlinearity of risk spillover, After the extreme events broke out, the financial markets of different countries showed excessive synergy mainly because of the change of the investors' psychological expectation and the willingness to take risks, and the spread of panic psychology. Herding selling of financial assets resulted from the net contagion of extreme risks in financial markets. From the perspective of group behavior, the global financial system can be divided into three levels: investment cluster, financial market cluster and country group. Based on this perspective, this paper systematically analyzes the net contagion mechanism of extreme risk spillovers in financial markets and explains the net contagion of extreme risk to BRICS countries in the period of the subprime mortgage crisis in the United States and the sovereign debt crisis in Europe. The net contagion impact on the BRICS countries was, on the one hand, a direct shock from the outbreak of the crisis in the United States and the "European Pig five". The spread of panic caused by the outbreak of the crisis has led to a frenzied sell-off of financial assets as a result of changes in the expectations and willingness of BRICS financial market investors to take risks. Indirect impact of BRICS countries from extreme risk sources through other developed country clusters. In the empirical analysis, this paper first uses the GARCH model based on the GED distribution to estimate the extreme risk decline in the country of risk source, and uses the Granger causality. The impulse response function examines the existence of extreme financial market risk spillovers between the extreme risk source countries and the BRICS countries and the ability of the risk source countries to spill extreme risks to the BRICS countries through other major developed country groups. In this paper, a spatial panel model with spatial weight matrices of spatial distance and economic-institutional similarity is constructed, and the net contagion of extreme risks in financial markets between developed countries and BRICS countries is tested. The empirical results show that: in each stage of the sample interval, based on spatial distance and economy, The net contagion of extreme financial market risk between the developed country group and the BRICS countries caused by institutional similarity was the largest in the global outbreak of the US financial tsunami. In the test of net contagion of market extreme risk, In the first stage, only net contagion based on spatial geographical relationship is shown. In the third stage, based on spatial geographical relationship and economy, the net contagion of extreme risks in BRICS financial markets caused by institutional similarity exists, and in the second stage, The four-stage net infection based on these factors does not exist.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.5

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