本文關(guān)鍵詞：信用衍生產(chǎn)品價(jià)格波動(dòng)影響因素分析　出處：《吉林大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 信用衍生產(chǎn)品 結(jié)構(gòu)向量自回歸模型 脈沖響應(yīng)函數(shù)分析

【摘要】：集中爆發(fā)于2007-2009年間的金融危機(jī)最終導(dǎo)致全球經(jīng)濟(jì)下滑以及股市規(guī)模大幅縮水，這次危機(jī)與之前相比有一些新特點(diǎn)，美國(guó)房地產(chǎn)市場(chǎng)調(diào)整引發(fā)的次級(jí)貸款償付危機(jī)最終引發(fā)全球金融海嘯，人們普遍認(rèn)為信用衍生產(chǎn)品是危機(jī)產(chǎn)生的罪魁禍?zhǔn)�，包括喬治索羅斯在內(nèi)的許多對(duì)沖基金經(jīng)理表示應(yīng)該終止關(guān)于信用違約互換的大部分甚至是全部交易。金融市場(chǎng)間聯(lián)動(dòng)如何影響信用衍生產(chǎn)品價(jià)格是文章所要解決的主要問題，對(duì)于今后我國(guó)進(jìn)一步發(fā)展信用衍生品市場(chǎng)、增強(qiáng)金融市場(chǎng)風(fēng)險(xiǎn)可控性具有重要的現(xiàn)實(shí)意義。 首先，大多數(shù)學(xué)者將信用衍生產(chǎn)品定價(jià)作為研究重點(diǎn)，主要從產(chǎn)品創(chuàng)立本質(zhì)角度進(jìn)行定價(jià)，鮮有從實(shí)證研究角度考察金融市場(chǎng)間價(jià)格聯(lián)動(dòng)的相關(guān)文獻(xiàn)，但從次貸危機(jī)以及愛爾蘭債務(wù)危機(jī)來看，危機(jī)造成的損失遠(yuǎn)遠(yuǎn)超過標(biāo)的債務(wù)本身，信用衍生產(chǎn)品逐步轉(zhuǎn)變?yōu)橥稒C(jī)工具，對(duì)沖風(fēng)險(xiǎn)的功能幾乎消失，并且具備了影響宏觀經(jīng)濟(jì)運(yùn)行的能力。 其次，通過復(fù)盤次貸危機(jī)期間各金融市場(chǎng)走勢(shì)分析次貸危機(jī)的傳導(dǎo)效應(yīng)，厘清危機(jī)在信貸市場(chǎng)、資本市場(chǎng)以及實(shí)體經(jīng)濟(jì)之間的傳導(dǎo)關(guān)系，確定可能造成信用衍生產(chǎn)品價(jià)格波動(dòng)的經(jīng)濟(jì)變量，為實(shí)證分析部分選取變量做準(zhǔn)備。 再次，從可能對(duì)信用衍生產(chǎn)品價(jià)格波動(dòng)產(chǎn)生影響的指標(biāo)出發(fā)，在前人研究成果基礎(chǔ)上，選取能代表國(guó)內(nèi)外市場(chǎng)流動(dòng)性、資金避險(xiǎn)情緒以及股票、大宗商品市場(chǎng)波動(dòng)的四個(gè)變量為主要考察對(duì)象。通過Granger因果關(guān)系檢驗(yàn)發(fā)現(xiàn)信用衍生產(chǎn)品價(jià)格指數(shù)可以反向決定債務(wù)違約風(fēng)險(xiǎn)，信用衍生產(chǎn)品產(chǎn)生的目的是為貸款人提供風(fēng)險(xiǎn)保護(hù)并促進(jìn)資金融通，但隨著市場(chǎng)規(guī)模越來越大，市場(chǎng)集中度越來越高，定價(jià)能力越來越強(qiáng)，其對(duì)債券市場(chǎng)的反向決定作用越來越明顯。在進(jìn)行變量協(xié)整關(guān)系檢驗(yàn)后發(fā)現(xiàn)投資級(jí)別信用違約互換指數(shù)與美元指數(shù)以及WTI原油價(jià)格之間存在長(zhǎng)期正向均衡關(guān)系，與標(biāo)普指數(shù)以及TED利差之間存在長(zhǎng)期負(fù)向關(guān)系，投資者避險(xiǎn)情緒、市場(chǎng)流動(dòng)性情況以及實(shí)體經(jīng)濟(jì)動(dòng)向成為影響變量長(zhǎng)期關(guān)系的主要因素。 最后，利用結(jié)構(gòu)向量自回歸模型對(duì)變量間動(dòng)態(tài)聯(lián)系進(jìn)行分析，通過脈沖響應(yīng)函數(shù)發(fā)現(xiàn)：與正常時(shí)期相比，次貸危機(jī)期間股市波動(dòng)對(duì)信用衍生品市場(chǎng)造成的影響更大，正向股票沖擊帶來信用違約互換指數(shù)正向變動(dòng)，且累計(jì)沖擊響應(yīng)值為負(fù)，，表現(xiàn)為金融危機(jī)時(shí)期則存在股票價(jià)格和CDS價(jià)格同時(shí)上漲的情況，但經(jīng)濟(jì)平穩(wěn)增長(zhǎng)時(shí)期，累計(jì)影響效果為零；國(guó)內(nèi)外市場(chǎng)流動(dòng)性受央行貨幣政策變動(dòng)干擾，其對(duì)信用衍生品市場(chǎng)的影響方向具有隨機(jī)性，但在正常時(shí)期則表現(xiàn)出持久的正向累計(jì)影響效果；在資金避險(xiǎn)情緒變動(dòng)影響下，美元指數(shù)對(duì)信用衍生產(chǎn)品價(jià)格波動(dòng)產(chǎn)生的影響隨著市場(chǎng)風(fēng)險(xiǎn)水平變動(dòng)產(chǎn)生方向性改變，次貸危機(jī)期間投資者在市場(chǎng)風(fēng)險(xiǎn)較高環(huán)境下追求穩(wěn)定收益，脈沖響應(yīng)函數(shù)表現(xiàn)為先正后負(fù)的累計(jì)沖擊影響效果；受地緣政治因素影響，次貸危機(jī)期間原油期貨價(jià)格變動(dòng)對(duì)信用衍生品市場(chǎng)的影響具有隨機(jī)性，而在后次貸危機(jī)階段，原油市場(chǎng)價(jià)格變動(dòng)與宏觀經(jīng)濟(jì)走勢(shì)相吻合，短期內(nèi)則呈現(xiàn)出反向變動(dòng)關(guān)系。 綜上所述，信用衍生產(chǎn)品價(jià)格不僅僅只受到標(biāo)的債務(wù)違約風(fēng)險(xiǎn)變化影響，國(guó)內(nèi)外市場(chǎng)流動(dòng)性、資金避險(xiǎn)情緒以及股票、外匯、大宗商品市場(chǎng)波動(dòng)均對(duì)其產(chǎn)生影響，作為一種對(duì)沖債務(wù)違約風(fēng)險(xiǎn)的信用衍生品，整體上卻沒有降低金融事件的風(fēng)險(xiǎn)，反而成為引發(fā)金融危機(jī)和債務(wù)危機(jī)的助推劑。隨著國(guó)內(nèi)信用衍生品市場(chǎng)的發(fā)展，在信用產(chǎn)品設(shè)計(jì)以及交易機(jī)制上應(yīng)更加注重對(duì)其投機(jī)屬性的控制。
[Abstract]:Focus on the outbreak in 2007-2009 years financial crisis eventually led to the global economic downturn and the stock market has shrunk dramatically, compared with before the crisis has some new characteristics, subprime loans in the U.S. real estate marketcorrection triggered the solvency crisis eventually triggered the global financial tsunami, people generally think that credit derivatives are arch-criminal crisis, including George Soros, many hedge the fund manager said should end of the credit default swaps most or all transactions. The linkage between financial markets affect the credit derivatives prices are the main problems to be solved in the future, for the further development of China's credit derivatives market, strengthen risk control has important practical significance in financial markets.
First of all, most scholars credit derivatives pricing as the research focus, mainly from product pricing founded essence angle, related literature rarely from the perspective of empirical research on the financial market price linkage, but from the subprime mortgage crisis and the Irish debt crisis, the crisis caused by the loss is far more than the underlying debt, credit derivatives gradually change as a tool to hedge the risk of speculation, almost disappeared, and have the ability to affect macroeconomic performance.
Secondly, through checking during the subprime crisis of the financial market trend analysis of subprime crisis conduction effect, clarify the crisis in the credit market, the conduction relationship between capital market and real economy, determine the possible fluctuations in the price of credit derivatives of economic variables, the selected variables for empirical analysis.
Again, starting from may have an impact on the fluctuations in the price of credit derivatives index, based on the previous research results, selected on behalf of the domestic and foreign market liquidity, capital risk aversion and stock, four variables of commodity market volatility as the main study object. It is found that the price index of credit derivatives can reverse decisions through debt default risk the Granger causality test, credit derivatives have to provide risk protection for the lender and promote financial intermediation, but with the increasing market size, market concentration is getting higher and higher, pricing power is more and more strong, the reverse decisionfunction on the bond market is more and more obvious. The variable cointegration test after it is found that the investment level of credit default swaps have positive long-term equilibrium relationship between the dollar index and the WTI index and the price of crude oil, and the S & P index and TED There is a long-term negative relationship between spreads. Investors' risk aversion, market liquidity and real economy trend become the main factors that affect the long-term relationship.
Finally, from the analysis on the dynamic relationship between variables and regression model using structural vector, the impulse response function showed that: compared with the normal period, the stock market fluctuations of credit derivatives market during the subprime crisis caused a greater positive impact, the stock of credit default swap index of positive change, and the cumulative impact response value is negative, performance the financial crisis is the existence of the stock prices and CDS prices rising at the same time, but a period of steady economic growth, the cumulative effect is zero; the domestic and foreign market liquidity by the central bank monetary policy change interference, its impact on the credit derivatives market direction is random, but in normal times showed a lasting positive cumulative effect in effect; financial risk aversion changes under the impact of the dollar index of fluctuations in the price of credit derivatives generated with the market risk level of real estate Life direction change, the pursuit of stable income investors during the subprime crisis in the market with high risk environment, the impulse response function shows the cumulative impact of the first positive negative effect; affected by geopolitical factors during the subprime crisis, crude oil futures price changes on the credit derivatives market is random, and after the subprime crisis stage the crude oil market, price changes and macroeconomic trends coincide, the short term showed the reverse changes in the relationship.
To sum up, credit derivatives prices not only by the underlying debt default risk changes, liquidity in domestic and foreign markets, capital risk aversion and stock, foreign exchange, commodity market fluctuations have an influence on it, as a hedge against the risk of debt default credit derivatives, but did not reduce the risk of overall financial events, but become a booster of financial crisis and debt crisis. With the development of the credit derivatives market in the design of credit products and trading mechanism should pay more attention to the control of the speculative property.

【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
【分類號(hào)】：F831.55;F224

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