本文關(guān)鍵詞：復(fù)雜性視角下歐洲主權(quán)債務(wù)市場(chǎng)極端風(fēng)險(xiǎn)溢出效應(yīng)實(shí)證研究　出處：《廣東商學(xué)院》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 主權(quán)債務(wù)危機(jī) 極端風(fēng)險(xiǎn) 溢出效應(yīng) 復(fù)雜性

【摘要】：本文基于復(fù)雜性視角系統(tǒng)分析了歐洲主權(quán)債務(wù)市場(chǎng)的極端風(fēng)險(xiǎn)溢出效應(yīng)。在極端風(fēng)險(xiǎn)溢出的動(dòng)力學(xué)機(jī)制方面，從復(fù)雜性視角出發(fā)，主要分析了投資者主體集群、金融市場(chǎng)組群以及國(guó)家組群的動(dòng)力學(xué)機(jī)制。其中投資者主體的動(dòng)力學(xué)機(jī)制主要表現(xiàn)在信息的不對(duì)稱性所導(dǎo)致的投資者非理性行為，并論述了國(guó)家的相似凈傳染其根源正是這種信息不對(duì)稱；金融市場(chǎng)組群的動(dòng)力學(xué)機(jī)制主要表現(xiàn)在金融市場(chǎng)的分形和混沌等非線性性質(zhì)；國(guó)家組群的動(dòng)力學(xué)機(jī)制則主要表現(xiàn)在政府的自適應(yīng)學(xué)習(xí)機(jī)制和相似凈傳染機(jī)制。 在極端風(fēng)險(xiǎn)溢出路徑方面，從爆發(fā)債務(wù)危機(jī)的“歐豬五國(guó)”宏觀經(jīng)濟(jì)基本面、主權(quán)信用評(píng)級(jí)的變化和銀行業(yè)的流動(dòng)性危機(jī)等方面分析了極端風(fēng)險(xiǎn)溢出的資產(chǎn)負(fù)債表渠道，市場(chǎng)信息溢出渠道和國(guó)家相似凈傳染渠道。 在對(duì)歐洲主權(quán)債務(wù)市場(chǎng)極端風(fēng)險(xiǎn)溢出機(jī)理和路徑的實(shí)證分析中，分別使用了風(fēng)險(xiǎn)-Granger因果關(guān)系模型、基于三類空間權(quán)重矩陣的空間面板誤差模型以及基于非線性系統(tǒng)動(dòng)力學(xué)的融合了SVM方法的非線性相互依賴性檢驗(yàn)，并得出了以下主要結(jié)論。 (1)歐洲主權(quán)債務(wù)市場(chǎng)的極端風(fēng)險(xiǎn)溢出導(dǎo)致了投資者拋售劣質(zhì)國(guó)債而選擇購(gòu)買或增持了美德等國(guó)有強(qiáng)勁經(jīng)濟(jì)實(shí)力支撐的國(guó)債，表現(xiàn)出明顯的向優(yōu)質(zhì)資產(chǎn)流動(dòng)的效應(yīng)。 (2)歐債危機(jī)期間，主權(quán)債務(wù)市場(chǎng)對(duì)其他市場(chǎng)的信息溢出主要來(lái)自于意大利、其次是西班牙的10年期國(guó)債市場(chǎng)。 (3)歐洲主權(quán)債務(wù)市場(chǎng)的極端風(fēng)險(xiǎn)溢出存在一定程度的地緣區(qū)域相關(guān)性或經(jīng)濟(jì)政治空間的聚集性，且極端風(fēng)險(xiǎn)并不通過(guò)金融渠道傳遞，而是通過(guò)信息溢出、宏觀經(jīng)濟(jì)基本面、貿(mào)易渠道和凈傳染渠道傳遞，驗(yàn)證了極端風(fēng)險(xiǎn)溢出中凈傳染效應(yīng)的存在性。 (4)極端風(fēng)險(xiǎn)溢出表現(xiàn)出了較強(qiáng)的非線性相互依賴性，“歐豬五國(guó)”的國(guó)債價(jià)格對(duì)美德國(guó)債的非線性預(yù)測(cè)占據(jù)了極端風(fēng)險(xiǎn)溢出的主導(dǎo)地位。 (5)滬市在歐債危機(jī)期間受到的沖擊相對(duì)較小，但滬市對(duì)歐洲主權(quán)債務(wù)市場(chǎng)存在較長(zhǎng)時(shí)期顯著的非線性預(yù)測(cè)性，尤其是在葡萄牙陷入主權(quán)債務(wù)危機(jī)以后。
[Abstract]:This paper systematically analyzes the extreme risk spillover effects of the European sovereign debt market based on the complexity perspective. In the dynamic mechanism of the extreme risk spillover, this paper mainly analyzes the investor clusters from the perspective of complexity. The dynamic mechanism of the financial market group and the group of countries, in which the dynamic mechanism of the investor is mainly reflected in the irrational behavior of the investor caused by the asymmetry of information. It also discusses the source of the similar net contagion of countries is this kind of information asymmetry; The dynamic mechanism of the financial market group is mainly manifested in the nonlinear properties of the financial market such as fractal and chaos. The dynamic mechanism of the country group is mainly manifested in the government's adaptive learning mechanism and the similar net infection mechanism. In the extreme risk spillover path, from the debt crisis of the "European Pig five" macroeconomic fundamentals. This paper analyzes the balance sheet channel of extreme risk spillover, market information spillover channel and national similar net contagion channel from the aspects of the change of sovereign credit rating and the liquidity crisis of banking industry. In the empirical analysis of the mechanism and path of extreme risk spillover in European sovereign debt market, the risk-Granger causality model is used respectively. The spatial panel error model based on three kinds of spatial weight matrices and the nonlinear interdependence test based on nonlinear system dynamics fusion SVM method are presented. The following main conclusions are obtained. Extreme risk spillovers in Europe's sovereign debt markets have led investors to sell inferior Treasuries instead of buying or increasing holdings of bonds backed by strong economic power such as Germany. It shows the effect of flowing to high quality assets. During the European debt crisis, information spillovers from sovereign debt markets to other markets came mainly from Italy, followed by Spain's 10-year bond market. 3) the extreme risk spillover of the European sovereign debt market has a certain degree of geo-regional relevance or economic and political space aggregation, and extreme risk is not transmitted through financial channels, but through information spillover. Macroeconomic fundamentals, trade channels and net contagion channels verify the existence of net contagion effects in extreme risk spillovers. (4) extreme risk spillover shows strong nonlinear interdependence, and the price of "European Pig five" plays a dominant role in the nonlinear prediction of German national debt. 5) the impact on the Shanghai market during the European debt crisis was relatively small, but there was a significant nonlinear predictability for the European sovereign debt market for a long time, especially after Portugal fell into the sovereign debt crisis.
【學(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F815;F835

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本文編號(hào)：1403145