本文選題：全球化 + 均值溢出效應(yīng)��； 參考：《廣東商學(xué)院》2013年碩士論文

【摘要】：全球化條件下，貨幣金融系統(tǒng)是一個開放的復(fù)雜巨系統(tǒng)，，市場間的資本流動及信息傳遞機制不斷加強，金融市場之間廣泛存在空間溢出效應(yīng)。本文在群體行為視角下，探討全球化金融系統(tǒng)中政府、市場、投資者三種集群的群體行為及其相互影響關(guān)系，以研究金融市場空間溢出效應(yīng)的群體動力機制及其溢出渠道。研究表明，溢出機制主要包括政府的適應(yīng)性博弈、市場的局部交互作用以及投資者跨市場羊群行為機制，溢出渠道主要有流動性溢出、信息溢出、預(yù)期溢出和匯率溢出。實證中以中國內(nèi)地、美國、香港三地貨幣供應(yīng)量（M2）為樣本，建立VAR模型，分析三地貨幣沖擊的相互影響關(guān)系；以美國貨幣市場利率和股票市場收益率為樣本建立VAR模型和GARCH-BEKK模型，分別檢驗美國貨幣市場與股票市場間的均值溢出效應(yīng)和波動溢出效應(yīng)；以標(biāo)準(zhǔn)普爾指數(shù)（S_P）、恒生指數(shù)（HSI）、上證指數(shù)（SSE）收益為樣本建立VAR和GARCH-BEKK模型，分別檢驗三地股票市場間的均值溢出效應(yīng)和波動溢出效應(yīng)。實證結(jié)果表明，來自美國的貨幣沖擊會引起其他國家和地區(qū)貨幣當(dāng)局的適應(yīng)性學(xué)習(xí)和博弈，進而影響其貨幣供應(yīng)；美國的貨幣市場與股票市場間以及三地股票市場間在均值和方差層面均存在有空間溢出效應(yīng)。其中，中國內(nèi)地與香港股市有明顯的風(fēng)險共生特性，溢出效應(yīng)的動態(tài)時變性體現(xiàn)出，美國作為貨幣中心國，其貨幣政策寬松-收緊-寬松的過程伴隨著其金融市場泡沫積累-泡沫破裂-風(fēng)險向外蔓延的過程，基于此提出了相應(yīng)的風(fēng)險防范建議。
[Abstract]:Under the condition of globalization, the monetary and financial system is an open and complicated giant system, the capital flow and information transmission mechanism between markets are strengthened constantly, and there are widespread spatial spillover effects between financial markets.From the perspective of group behavior, this paper probes into the group behavior of the three clusters of government, market and investor in the global financial system and their relationship with each other, in order to study the group dynamic mechanism and its spillover channels of spatial spillover effect in financial market.The research shows that the spillover mechanism mainly includes the adaptive game of the government, the local interaction of the market and the mechanism of investors' herd behavior across the market. The overflow channels mainly include liquidity spillover, information spillover, expected spillover and exchange rate spillover.Taking the money supply of the mainland of China, the United States and Hong Kong as samples, VAR model is established to analyze the mutual influence of monetary shocks in the three places.VAR model and GARCH-BEKK model are established with interest rate and stock market yield as samples to test the mean and volatility spillover effects between American money market and stock market respectively.The VAR and GARCH-BEKK models of S & P index, Hang Seng Index and Shanghai Stock Exchange are established to test the average and volatility spillover effects of the three stock markets, respectively.The empirical results show that the currency shock from the United States will cause adaptive learning and game of monetary authorities in other countries and regions, and then affect their money supply.There is a spatial spillover effect between the money market and stock market in the United States and between the three stock markets at the level of mean value and variance.Among them, the stock markets of mainland China and Hong Kong have obvious characteristics of risk symbiosis, and the dynamic temporal variability of spillover effects shows that the United States is the central currency country.The process of monetary policy loosening, tightening and easing is accompanied by the process of bubble accumulation, bubble burst and risk spreading in its financial market. Based on this, the corresponding risk prevention suggestions are put forward.
【學(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F831.5;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 余素紅,張世英;SV與GARCH模型對金融時間序列刻畫能力的比較研究[J];系統(tǒng)工程;2002年05期

2 張瑞鋒;張世英;;基于VS-MSV模型的金融市場波動溢出分析及實證研究[J];系統(tǒng)工程;2007年08期

3 曹廣喜;姚奕;;滬深股市動態(tài)溢出效應(yīng)與動態(tài)相關(guān)性的實證研究——基于長記憶VAR-BEKK(DCC)-MVGARCH(1,1)模型[J];系統(tǒng)工程;2008年05期

4 沈虹;何建敏;胡小平;趙偉雄;;多尺度GARCH模型研究貨幣增長對期貨價格波動的影響[J];管理學(xué)報;2010年02期

5 李雙成,楊桂華;中國股票市場收益和波動溢出效應(yīng)實證分析[J];河北經(jīng)貿(mào)大學(xué)學(xué)報;2005年05期

6 劉湘云;馬尚國;;空間效應(yīng)與空間計量:理論述評及應(yīng)用前景[J];河北經(jīng)貿(mào)大學(xué)學(xué)報(綜合版);2012年01期

7 陳收;李雙飛;李小曉;;中國概念股與國內(nèi)外股市的聯(lián)動效應(yīng)研究[J];管理科學(xué);2008年04期

8 劉湘云;杜金岷;;全球化下金融系統(tǒng)復(fù)雜性、行為非理性與危機演化——一種新的金融危機演化機制的理論解說[J];經(jīng)濟學(xué)動態(tài);2011年07期

9 洪永淼;成思危;劉艷輝;汪壽陽;;中國股市與世界其他股市之間的大風(fēng)險溢出效應(yīng)[J];經(jīng)濟學(xué)(季刊);2004年02期

10 唐毅南;陳平;;群體動力學(xué)和金融危機的預(yù)測[J];經(jīng)濟研究;2010年06期

本文編號：1736172