發(fā)布時(shí)間：2018-01-11 20:22

  本文關(guān)鍵詞：中美兩國(guó)金融市場(chǎng)聯(lián)動(dòng)效應(yīng)研究　出處：《吉林大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 中美兩國(guó) 金融市場(chǎng) 聯(lián)動(dòng) SVAR模型

【摘要】：隨著經(jīng)濟(jì)全球化的不斷深入，開(kāi)放經(jīng)濟(jì)體間的經(jīng)濟(jì)聯(lián)系日益緊密，國(guó)際金融市場(chǎng)間的聯(lián)動(dòng)性也逐漸增強(qiáng)。中美兩國(guó)分別作為世界上最大的發(fā)展中國(guó)家和最大的發(fā)達(dá)國(guó)家，兩國(guó)金融市場(chǎng)的發(fā)展在國(guó)際金融市場(chǎng)地位舉足輕重。近年來(lái)兩國(guó)的金融市場(chǎng)聯(lián)動(dòng)也日益密切。因此，對(duì)中美兩國(guó)金融市場(chǎng)間聯(lián)動(dòng)性的研究具有重要的現(xiàn)實(shí)意義。本文將從實(shí)證角度出發(fā)，以次貸危機(jī)為分界線，對(duì)危機(jī)前后中美兩國(guó)各金融子市場(chǎng)間的聯(lián)動(dòng)性變化進(jìn)行詳細(xì)分析，并提出相關(guān)的政策建議。 本文首先對(duì)中美兩國(guó)金融市場(chǎng)聯(lián)動(dòng)性的演變進(jìn)行說(shuō)明，即中美金融市場(chǎng)的聯(lián)動(dòng)性主要來(lái)源于兩國(guó)在貿(mào)易、直接投資等方面的互動(dòng)。其次，本文使用結(jié)構(gòu)向量自回歸模型(Structual Vector Autoregression,SVAR)對(duì)中美兩國(guó)的貨幣市場(chǎng)，股票市場(chǎng)和外匯市場(chǎng)間的聯(lián)動(dòng)性進(jìn)行實(shí)證分析。其中，分別以美國(guó)三月期國(guó)庫(kù)券利率、中國(guó)的三月期銀行間同業(yè)拆借利率作為兩國(guó)貨幣市場(chǎng)的代表性利率，以美國(guó)SP500，中國(guó)的上證綜指作為兩國(guó)股市的代理性指標(biāo)，人民幣兌美元匯率作為外匯市場(chǎng)的指標(biāo)。在實(shí)證分析中，以次貸危機(jī)為分界線，說(shuō)明危機(jī)前后金融市場(chǎng)聯(lián)動(dòng)性的變化情況。 實(shí)證研究表明，次貸危機(jī)前，中國(guó)金融市場(chǎng)對(duì)美國(guó)各子市場(chǎng)的影響微乎其微，美國(guó)金融市場(chǎng)對(duì)中國(guó)股市、貨幣市場(chǎng)的影響較弱。次貸危機(jī)后，中國(guó)金融市場(chǎng)對(duì)美國(guó)金融市場(chǎng)影響相較危機(jī)前增強(qiáng)，相比之下，美國(guó)金融市場(chǎng)對(duì)中國(guó)的影響更加顯著。中美兩國(guó)金融市場(chǎng)間的聯(lián)動(dòng)在危機(jī)后增強(qiáng)，且二者間的聯(lián)動(dòng)存在非對(duì)稱(chēng)性。究其原因，除了受金融傳染因素影響，中國(guó)金融市場(chǎng)開(kāi)放步伐加快，中美兩國(guó)實(shí)體經(jīng)濟(jì)聯(lián)系密切，投資者投資理念的變化以及信息傳遞便捷等因素都使得兩國(guó)金融市場(chǎng)聯(lián)動(dòng)性增強(qiáng)。由此可見(jiàn)，，隨著中國(guó)和發(fā)達(dá)國(guó)家金融市場(chǎng)融合不斷加強(qiáng)，中國(guó)監(jiān)管當(dāng)局應(yīng)當(dāng)加強(qiáng)金融監(jiān)管，建立有效的監(jiān)管機(jī)制和風(fēng)險(xiǎn)防范體系；投資者要及時(shí)跟進(jìn)市場(chǎng)的變化，選擇能有效規(guī)避市場(chǎng)風(fēng)險(xiǎn)并獲得最大收益的投資決策。
[Abstract]:With the deepening of economic globalization, economic ties between open economies are becoming increasingly close. The linkage between international financial markets is also gradually increasing. China and the United States are respectively the world's largest developing countries and the largest developed countries. The development of the two countries' financial markets plays an important role in the international financial markets. In recent years, the financial markets of the two countries have become increasingly closely linked. The study of the financial market interaction between China and the United States is of great practical significance. This paper will take the subprime mortgage crisis as the dividing line from the perspective of empirical evidence. This paper makes a detailed analysis of the linkage changes between the financial sub-markets of China and the United States before and after the crisis, and puts forward relevant policy recommendations. This paper first explains the evolution of the financial market linkage between China and the United States, that is, the financial market interaction between China and the United States mainly comes from the interaction between the two countries in trade, direct investment, and so on. This paper uses the structural vector autoregressive model (Structual Vector autoregressive SVARA) to analyze the money markets in China and the United States. The paper analyzes the linkage between the stock market and the foreign exchange market. Among them, the interest rate of the Treasury bill of March in the United States and the interbank offered rate of March in China are taken as the representative interest rate in the money market of the two countries. Taking the US SP500, the Shanghai Composite Index of China as the proxy index of the stock markets of the two countries and the RMB / US dollar exchange rate as the index of the foreign exchange market, in the empirical analysis, the sub-prime mortgage crisis is taken as the dividing line. Explain the change of financial market linkage before and after the crisis. Empirical research shows that before the subprime mortgage crisis, the impact of Chinese financial markets on the sub-markets of the United States is minimal, the impact of American financial markets on China's stock market and money market is weak. The impact of Chinese financial markets on U.S. financial markets is stronger than it was before the crisis, compared with the more significant impact of U.S. financial markets on China. The linkage between the financial markets of China and the United States intensified after the crisis. Besides being affected by financial contagion, the pace of opening up of Chinese financial market is quickening, and the real economy of China and the United States are closely linked. The change of investors' investment concept and the convenience of information transmission make the financial markets of the two countries become more and more interactive. It can be seen that the integration of financial markets between China and developed countries has been strengthened. China's regulatory authorities should strengthen financial supervision and establish an effective regulatory mechanism and risk prevention system. Investors should follow market changes in time and choose investment decisions that can effectively avoid market risks and maximize returns.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F831.6;F832.51;F837.12

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