基于CoVaR方法的行業(yè)間市場(chǎng)風(fēng)險(xiǎn)關(guān)聯(lián)研究
發(fā)布時(shí)間：2018-12-21 19:04
【摘要】：產(chǎn)業(yè)結(jié)構(gòu)調(diào)整是當(dāng)今各國(guó)經(jīng)濟(jì)發(fā)展的重要課題,隨著社會(huì)主義市場(chǎng)經(jīng)濟(jì)體制的不斷完善,我國(guó)經(jīng)濟(jì)迅速發(fā)展的同時(shí),現(xiàn)有產(chǎn)業(yè)結(jié)構(gòu)中存在的各種不合理狀況凸顯而出。實(shí)體經(jīng)濟(jì)比重過(guò)小,金融、房地產(chǎn)等虛擬經(jīng)濟(jì)膨脹迅速,相關(guān)行業(yè)產(chǎn)能過(guò)剩,存在嚴(yán)重的重復(fù)建設(shè)等問(wèn)題,如果不及時(shí)有效對(duì)產(chǎn)業(yè)結(jié)構(gòu)進(jìn)行調(diào)整,不僅會(huì)造成資源的嚴(yán)重浪費(fèi),而且會(huì)為未來(lái)整個(gè)產(chǎn)業(yè)經(jīng)濟(jì)的有序發(fā)展設(shè)置障礙。 2007年的金融危機(jī)對(duì)我國(guó)產(chǎn)生了重大影響。具體表現(xiàn)為,危機(jī)迫使美國(guó)等西方發(fā)達(dá)國(guó)家提高儲(chǔ)蓄率,加強(qiáng)貿(mào)易保護(hù)的力度,召回部分工業(yè)產(chǎn)能并大力發(fā)展新能源等新興產(chǎn)業(yè),這使得我國(guó)能獲得附加值的國(guó)際產(chǎn)業(yè)分工變得更為艱難,相關(guān)產(chǎn)業(yè)發(fā)展受到重創(chuàng)�；谝陨媳尘�,本文從產(chǎn)業(yè)風(fēng)險(xiǎn)關(guān)聯(lián)的角度出發(fā),重點(diǎn)考察次貸危機(jī)前后各行業(yè)市場(chǎng)風(fēng)險(xiǎn)關(guān)聯(lián)的變化情況,為合理調(diào)整我國(guó)產(chǎn)業(yè)結(jié)構(gòu)提供一定的理論依據(jù)。 本文首先根據(jù)滬深兩市上市公司數(shù)據(jù),基于證監(jiān)會(huì)發(fā)布的《上市公司行業(yè)分類(lèi)指引》和國(guó)家統(tǒng)計(jì)局公布的《三次產(chǎn)業(yè)劃分規(guī)定》兩個(gè)分類(lèi)標(biāo)準(zhǔn),對(duì)滬深兩市上市公司的行業(yè)分布、產(chǎn)業(yè)結(jié)構(gòu)分布、行業(yè)規(guī)模及主營(yíng)產(chǎn)品類(lèi)型等情況做了簡(jiǎn)單的統(tǒng)計(jì)描述,為本文實(shí)證研究中樣本的選取及研究對(duì)象的確定提供了依據(jù)。 然后,根據(jù)證監(jiān)會(huì)上市公司行業(yè)分類(lèi)標(biāo)準(zhǔn),從風(fēng)險(xiǎn)的角度出發(fā),利用CoVaR方法,結(jié)合上市公司財(cái)務(wù)數(shù)據(jù)及一系列的宏觀狀態(tài)變量,實(shí)證考察了次貸危機(jī)前后上證A股的各行業(yè)上市公司市場(chǎng)風(fēng)險(xiǎn)關(guān)聯(lián)的變化。結(jié)果表明,危機(jī)前后我國(guó)各行業(yè)上市公司風(fēng)險(xiǎn)關(guān)聯(lián)變化顯著。一方面,危機(jī)發(fā)生后政府采取的一系列產(chǎn)業(yè)結(jié)構(gòu)調(diào)整政策對(duì)我國(guó)市場(chǎng)經(jīng)濟(jì)發(fā)展起到了積極作用。另一方面,相關(guān)行業(yè)上市公司風(fēng)險(xiǎn)關(guān)聯(lián)度依然較高。 特別的,選取證監(jiān)會(huì)行業(yè)指數(shù)和A股市場(chǎng)指數(shù),利用CoVaR方法的基本原理以及“滾動(dòng)窗口”的思想,構(gòu)建時(shí)變的R-CoVaR模型,實(shí)證考察制造業(yè)、金融服務(wù)業(yè)、房地產(chǎn)業(yè)及A股市場(chǎng)間的風(fēng)險(xiǎn)關(guān)聯(lián)程度隨時(shí)間的變化情況。實(shí)證結(jié)果表明：第一,制造業(yè)、金融服務(wù)業(yè)及房地產(chǎn)業(yè)間的風(fēng)險(xiǎn)關(guān)聯(lián)程度密切,危機(jī)爆發(fā)后,各行業(yè)間的風(fēng)險(xiǎn)關(guān)聯(lián)程度均顯著增強(qiáng)；第二,行業(yè)間以及各行業(yè)與市場(chǎng)間的風(fēng)險(xiǎn)溢出效應(yīng)具有方向性；第三,政府對(duì)金融市場(chǎng)的風(fēng)險(xiǎn)水平控制尤為重要,且對(duì)相關(guān)產(chǎn)業(yè)的宏觀調(diào)控措施存在著一定的滯后效應(yīng)。 最后,根據(jù)本文實(shí)證結(jié)果,提出相關(guān)產(chǎn)業(yè)結(jié)構(gòu)調(diào)整建議。
[Abstract]:The adjustment of industrial structure is an important subject in the economic development of various countries. With the continuous improvement of the socialist market economic system and the rapid economic development of our country, all kinds of unreasonable conditions existing in the existing industrial structure are highlighted. The proportion of the real economy is too small, the virtual economy such as finance and real estate expands rapidly, the overcapacity of related industries exists, and there are serious problems such as repeated construction. If the industrial structure is not adjusted in time and effectively, it will not only cause serious waste of resources, And it will set up obstacles to the orderly development of the entire industrial economy in the future. The financial crisis in 2007 has had a significant impact on our country. Specifically, the crisis forced the United States and other western developed countries to raise their savings rates, strengthen trade protection, recall some of their industrial capacity and vigorously develop new industries such as new energy sources. This makes it more difficult for China to obtain the additional value of the international industrial division, the development of related industries have been hit hard. Based on the above background, this paper, from the angle of industrial risk correlation, focuses on the changes of market risk in various industries before and after the subprime mortgage crisis, which provides a certain theoretical basis for the rational adjustment of China's industrial structure. Firstly, according to the data of listed companies in Shanghai and Shenzhen stock markets, this paper is based on the two classification standards issued by the Securities Regulatory Commission (CSRC) and the National Bureau of Statistics (NBS). This paper makes a simple statistical description of the industry distribution, industrial structure distribution, industry scale and main product types of listed companies in Shanghai and Shenzhen stock markets, which provides a basis for the selection of samples and the determination of research objects in this paper. Then, according to the industry classification standard of listed companies of CSRC, from the risk point of view, using the CoVaR method, combined with the financial data of listed companies and a series of macro state variables, This paper empirically examines the changes of market risk of listed companies in each industry before and after the subprime mortgage crisis. The results show that the risk correlation of listed companies in different industries changes significantly before and after the crisis. On the one hand, a series of industrial structure adjustment policies adopted by the government after the crisis have played a positive role in the development of China's market economy. On the other hand, the risk correlation of listed companies in related industries is still high. In particular, select the CSRC industry index and A-share market index, use the basic principle of CoVaR method and the idea of "rolling window", construct time-varying R-CoVaR model, and investigate the manufacturing industry and financial services industry empirically. Real estate and A-share market between the degree of risk correlation with the change of time. The empirical results show that: first, the degree of risk correlation among manufacturing industry, financial service industry and real estate industry is close. Second, the risk spillover effect between industries and markets is directional; third, the risk level control of the financial market is particularly important, and there is a lag effect on the macro-control measures of related industries. Finally, according to the empirical results of this paper, some suggestions on industrial structure adjustment are put forward.
【學(xué)位授予單位】：長(zhǎng)沙理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51;F224
[Abstract]:The adjustment of industrial structure is an important subject in the economic development of various countries. With the continuous improvement of the socialist market economic system and the rapid economic development of our country, all kinds of unreasonable conditions existing in the existing industrial structure are highlighted. The proportion of the real economy is too small, the virtual economy such as finance and real estate expands rapidly, the overcapacity of related industries exists, and there are serious problems such as repeated construction. If the industrial structure is not adjusted in time and effectively, it will not only cause serious waste of resources, And it will set up obstacles to the orderly development of the entire industrial economy in the future. The financial crisis in 2007 has had a significant impact on our country. Specifically, the crisis forced the United States and other western developed countries to raise their savings rates, strengthen trade protection, recall some of their industrial capacity and vigorously develop new industries such as new energy sources. This makes it more difficult for China to obtain the additional value of the international industrial division, the development of related industries have been hit hard. Based on the above background, this paper, from the angle of industrial risk correlation, focuses on the changes of market risk in various industries before and after the subprime mortgage crisis, which provides a certain theoretical basis for the rational adjustment of China's industrial structure. Firstly, according to the data of listed companies in Shanghai and Shenzhen stock markets, this paper is based on the two classification standards issued by the Securities Regulatory Commission (CSRC) and the National Bureau of Statistics (NBS). This paper makes a simple statistical description of the industry distribution, industrial structure distribution, industry scale and main product types of listed companies in Shanghai and Shenzhen stock markets, which provides a basis for the selection of samples and the determination of research objects in this paper. Then, according to the industry classification standard of listed companies of CSRC, from the risk point of view, using the CoVaR method, combined with the financial data of listed companies and a series of macro state variables, This paper empirically examines the changes of market risk of listed companies in each industry before and after the subprime mortgage crisis. The results show that the risk correlation of listed companies in different industries changes significantly before and after the crisis. On the one hand, a series of industrial structure adjustment policies adopted by the government after the crisis have played a positive role in the development of China's market economy. On the other hand, the risk correlation of listed companies in related industries is still high. In particular, select the CSRC industry index and A-share market index, use the basic principle of CoVaR method and the idea of "rolling window", construct time-varying R-CoVaR model, and investigate the manufacturing industry and financial services industry empirically. Real estate and A-share market between the degree of risk correlation with the change of time. The empirical results show that: first, the degree of risk correlation among manufacturing industry, financial service industry and real estate industry is close. Second, the risk spillover effect between industries and markets is directional; third, the risk level control of the financial market is particularly important, and there is a lag effect on the macro-control measures of related industries. Finally, according to the empirical results of this paper, some suggestions on industrial structure adjustment are put forward.
【學(xué)位授予單位】：長(zhǎng)沙理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51;F224
【參考文獻(xiàn)】
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