股权和房地产溢价与金融中介风险偏好的关系研究

发布时间：2018-01-02 19:17

本文关键词：股权和房地产溢价与金融中介风险偏好的关系研究　出处：《哈尔滨工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：2008年，由美国次贷危机引发的全球金融危机影响深远。与以往的经济危机不同，此次危机中银行、证券公司等金融中介机构发挥了重要作用。危机过后，国外学者对金融中介机构在经济稳定时和危机发生时的风险偏好进行了研究，论证了金融中介风险偏好对债券风险溢价的影响，同时探讨了这种作用机制对整个宏观经济的增长水平的影响。但以往的文献对我国情况的研究较少，且我国金融市场与国外存在很大差异。因此本文在前人研究的基础上深入分析了我国金融中介风险偏好与股权和房地产溢价间的关系，论证了股权和房地产溢价、金融中介风险偏好、经济增长三者间的联系。本文将金融中介资产负债表规模增长率和权益乘数（杠杆率）作为金融中介风险偏好的代表变量，搜集了2001年第一季度至2012年第三季度各大证券公司类金融中介机构的财务数据，运用VAR模型探讨了GDP增长率，股权和房地产溢价，金融中介风险偏好三者之间的关系。研究结果表明，我国金融中介的风险偏好与股权溢价和经济增长三者之间存在着正向影响，这说明当实体经济增长迅速和股权溢价升高时，金融中介倾向于扩大信贷规模和杠杆率，而这种行为将进一步推高股权溢价，，促进经济增长。但研究结果表明金融中介的风险偏好与房地产溢价间存在显著的相互关系。
[Abstract]:In 2008, the global financial crisis triggered by the U.S. subprime mortgage crisis reaching. Unlike previous economic crisis, the crisis in the banking, securities companies and other financial intermediaries play an important role. After the crisis, foreign scholars have conducted the research on financial intermediaries in the economic stability and the crisis occurred when the risk preference is demonstrated effects of risk preference of financial intermediation on bond risk premium, we also study the influence of the macroscopic economic growth level of this mechanism. But the previous literature on China's situation and the study of China's financial market and abroad there is a big difference. Therefore on the basis of the in-depth analysis of the relationship between China's financial intermediary risk preference and premium between equity and real estate, demonstrates the equity and real estate premium, risk preference of financial intermediation, the economic growth between the three linked.
The financial intermediary balance sheet size growth rate and equity multiplier (leverage ratio) as a representative of variable risk preference of financial intermediaries, from the first quarter of 2001 to the third quarter of 2012 the securities companies of financial intermediaries and financial data, using VAR model to discuss the GDP growth rate, equity and real estate premium relationship the financial intermediary between risk preference of the three. The results show that the existence of a positive correlation between China's financial intermediation risk preference and the equity premium and the economic growth of three, which shows that when the real economy is growing rapidly and the equity premium rises, financial intermediaries tend to expand the scale of credit and leverage, and this behavior will further push the high equity premium, promote economic growth. But the research results show that there is significant relationship between financial intermediation and risk preference of real estate premium.

【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F832.59

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