發(fā)布時(shí)間：2018-07-02 19:31

  本文選題：股價(jià)指數(shù) + CDS　； 參考：《暨南大學(xué)》2013年碩士論文

【摘要】：2007年爆發(fā)的次貸危機(jī)是20世紀(jì)30年代以來(lái)影響最為廣泛的一次金融危機(jī)。無(wú)論在經(jīng)濟(jì)還是金融方面，此次金融危機(jī)無(wú)不對(duì)美國(guó)及世界其他各國(guó)造成了巨大的影響。不少學(xué)者認(rèn)為CDS是此次金融危機(jī)爆發(fā)以及傳導(dǎo)的重要因素之一。 通常認(rèn)為信用衍生品市場(chǎng)的風(fēng)險(xiǎn)要高于傳統(tǒng)的金融市場(chǎng)如股票市場(chǎng)，股票市場(chǎng)和信用衍生品市場(chǎng)之間也可能存在很大的關(guān)聯(lián)性。在理論部分本文首先分別分析了國(guó)內(nèi)生產(chǎn)總值、無(wú)風(fēng)險(xiǎn)利率、通貨膨脹率、貨幣供應(yīng)量、匯率、人均可支配收入以及國(guó)際收支等對(duì)股票價(jià)格指數(shù)以及CDS價(jià)格指數(shù)的影響，接著分析了股票價(jià)格指數(shù)以及CDS價(jià)格指數(shù)的關(guān)聯(lián)性。在實(shí)證部分本文首先利用VAR模型檢驗(yàn)國(guó)內(nèi)生產(chǎn)總值（GDP）、無(wú)風(fēng)險(xiǎn)利率（R）、通貨膨脹率（CPI）、美元指數(shù)（文中簡(jiǎn)稱為DL）、貨幣供應(yīng)量（M2）、人均可支配收入（文中簡(jiǎn)稱為INCOME）以及國(guó)際收支（文中簡(jiǎn)稱為EX）7個(gè)宏觀經(jīng)濟(jì)變量對(duì)道瓊斯指數(shù)的影響；然后利用無(wú)風(fēng)險(xiǎn)利率、通貨膨脹率、美元指數(shù)、貨幣供應(yīng)量以及人均可支配收入5個(gè)變量對(duì)美國(guó)CDS指數(shù)的影響進(jìn)行實(shí)證分析；最后利用描述性統(tǒng)計(jì)、相關(guān)性分析、時(shí)間趨勢(shì)線分析以及格蘭杰檢驗(yàn)對(duì)道瓊斯指數(shù)與CDS指數(shù)的關(guān)聯(lián)性進(jìn)行實(shí)證分析。實(shí)證結(jié)果表明：國(guó)內(nèi)生產(chǎn)總值和美元指數(shù)對(duì)道瓊斯指數(shù)的影響較大；人均可支配收入、美元指數(shù)以及貨幣供應(yīng)量等對(duì)CDS指數(shù)的影響較大；股票市場(chǎng)與CDS市場(chǎng)之間存在較大的關(guān)聯(lián)性，并且兩個(gè)市場(chǎng)之間的風(fēng)險(xiǎn)會(huì)相互傳導(dǎo)。
[Abstract]:The subprime mortgage crisis that broke out in 2007 was the most widespread financial crisis since the 1930s. In both economic and financial terms, the financial crisis has had a huge impact on the United States and the rest of the world. Many scholars believe that CDS is the outbreak of the financial crisis and transmission of one of the important factors. It is generally believed that the risk of credit derivatives market is higher than that of traditional financial markets such as stock market, and there may be a great correlation between stock market and credit derivatives market. In the theoretical part, we first analyze the effects of GDP, risk-free interest rate, inflation rate, money supply, exchange rate, per capita disposable income and balance of payments on stock price index and CDS price index. Then it analyzes the relevance of stock price index and CDS price index. In the empirical part, we first use VAR model to test gross domestic product (GDP), risk-free interest rate (R), inflation rate (CPI), dollar index (DL), money supply (M2), per capita disposable income (INCOME) and international. The influence of seven macroeconomic variables on the Dow Jones index; Then using the risk-free interest rate, inflation rate, dollar index, money supply and per capita disposable income of the five variables to the United States CDS index empirical analysis; finally, using descriptive statistics, correlation analysis, Time trend line analysis and Granger test to the Dow Jones index and the correlation between the CDS index empirical analysis. The empirical results show that GDP and US dollar index have great influence on the Dow Jones Index, while the per capita disposable income, US dollar index and money supply have a great influence on the CDS index. There is a strong correlation between the stock market and the CDS market, and the risk between the two markets will be transmitted.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F831.51;F224

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本文編號(hào)：2090684