本文選題：歐債危機 + 宏觀審慎��； 參考：《長沙理工大學》2014年碩士論文

【摘要】：美國次貸危機的爆發(fā)與歐債危機的不斷發(fā)酵,暴露監(jiān)管空白,凸顯了金融市場系統性風險的問題。加強基于系統性風險的宏觀審慎監(jiān)管是必然選擇,對具有系統重要性的金融機構(或金融市場)的識別更是防范系統性風險、加強監(jiān)管的前提和基礎。本文基于以上背景,對歐債危機中系統重要性金融市場的風險關聯、風險貢獻占比等方面展開研究。從系統重要性金融市場出發(fā),本文分別從系統性風險溢出效應和風險分配兩個視角,使用CoVaR方法和Shapley值法構造出表現系統風險貢獻程度的指標,分析和歸納歐元區(qū)金融市場風險的特征和規(guī)律,從而探索各歐元區(qū)國家在危機期間所扮演的角色。實證發(fā)現,一方面,危機程度較嚴重的國家,其風險關聯程度較強,風險貢獻程度較大,且風險貢獻占比隨著危機的發(fā)展逐漸上升。另一方面,受危機影響較小的國家風險貢獻程度偏低,在危機中扮演了穩(wěn)定市場的角色。實證中還發(fā)現,相對于股票市場而言,歐元區(qū)債券市場的風險分配出現兩極化現象。隨著危機的演變,德國和法國慢慢退去其系統性風險貢獻者的角色,而轉化為整個系統的穩(wěn)定者。因此,對于系統重要性金融市場的監(jiān)管,需要從動態(tài)發(fā)展的角度去進行。此外,各國對系統性風險的貢獻程度與市場規(guī)模的大小和單個市場自身的風險狀況并沒有顯著的線性關系,表明以VaR為核心指標的監(jiān)管政策不能有效防范系統性風險溢價。金融監(jiān)管部門可以根據各金融市場對系統性風險的貢獻度進行差別化管理,確保整個金融體系的穩(wěn)定與安全。本文認為,針對不同國家出現債務危機的具體原因,應采取相對應的援助策略。救助國內經濟出現問題的希臘、葡萄牙等國,根本的措施在于審慎刺激其國內經濟,降低失業(yè)率；而對于因危機傳染而陷入債務危機的意大利、西班牙等國,則需要幫助市場恢復信心,降低其融資成本,使其最終走出危機。綜上所述,本文研究的風險傳導,是一種系統性風險的傳導。文中建立的系統風險貢獻程度指標,為準確判斷單個市場的系統重要性、建立金融宏觀監(jiān)管制度、防范系統性風險提供了一個新的視角。
[Abstract]:The outbreak of the subprime mortgage crisis in the United States and the continuous fermentation of the European debt crisis exposed regulatory gaps and highlighted the problem of systemic risks in financial markets. Strengthening macro-prudential supervision based on systemic risk is an inevitable choice, and the recognition of systemically important financial institutions (or financial markets) is the premise and basis of preventing systemic risks and strengthening supervision. Based on the above background, this paper studies the risk correlation and risk contribution of systemically important financial markets in the European debt crisis. From the view of systemically important financial market, this paper uses CoVaR method and Shapley value method to construct the index of system risk contribution from the perspective of systemic risk spillover effect and risk allocation. This paper analyzes and summarizes the characteristics and rules of financial market risk in the euro zone, so as to explore the role played by various euro zone countries during the crisis. The empirical results show that, on the one hand, the degree of risk correlation and the risk contribution of the countries with more serious crisis degree are stronger, and the proportion of risk contribution increases gradually with the development of the crisis. On the other hand, countries that are less affected by the crisis contribute less to risk and play a stabilizing role in the crisis. It is also found that the risk distribution in the euro zone bond market is polarized compared with the stock market. As the crisis evolves, Germany and France slowly retreat from their role as contributors to systemic risk and become stabilizers of the system. Therefore, the regulation of systemically important financial markets should be carried out from the perspective of dynamic development. In addition, there is no significant linear relationship between the contribution of countries to systemic risk and the size of market size and the risk situation of individual market itself, which indicates that regulatory policies with VaR as the core indicator can not effectively prevent systemic risk premium. According to the contribution of the financial market to the systemic risk, the financial supervision department can manage it differently to ensure the stability and safety of the whole financial system. This paper argues that the corresponding aid strategies should be adopted in view of the specific causes of debt crisis in different countries. For Greece, Portugal and other countries whose domestic economies are in trouble, the fundamental measure is to prudently stimulate their domestic economies and reduce the unemployment rate; and for countries such as Italy and Spain, which have been caught in debt crisis because of the contagion of the crisis, Need to help the market restore confidence, reduce its financing costs, so that it finally out of the crisis. To sum up, the risk transmission studied in this paper is a systemic risk transmission. The index of system risk contribution in this paper provides a new angle of view for accurately judging the system importance of a single market, establishing a financial macro supervision system and preventing systemic risk.
【學位授予單位】：長沙理工大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F831.59;F815
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本文編號：1796675