本文關鍵詞： 金融穩(wěn)定性 金磚四國 分位數回歸 變系數分位數回歸 系統(tǒng)性沖擊　出處：《中國科學技術大學》2017年碩士論文　論文類型：學位論文

【摘要】：金融不穩(wěn)定性累積到一定程度就會引發(fā)金融危機,而新興市場作為世界經濟發(fā)展的重要增長點,同時也是金融危機爆發(fā)的重災區(qū)。因此,新興市場金融穩(wěn)定性的研究至關重要。本文以金磚四國為研究主體,基于變系數分位數回歸理論,圍繞金融穩(wěn)定性主要是股票市場的穩(wěn)定性展開研究,研究系統(tǒng)性沖擊對金融市場的特別是極端條件下的時變的影響。至今為止,國內外學術界以及實務界都尚未對"金融穩(wěn)定性"給出一致定義。本文在已有研究的基礎上,從收益率的視角通過量化的方法研究了金磚四國的金融穩(wěn)定性以及在極端條件下,隨著時間的變化,系統(tǒng)性沖擊對金磚四國金融穩(wěn)定性的影響。與傳統(tǒng)金融穩(wěn)定性的研究方法不同,本文沒有通過構造金融脆弱性指標的方法研究金融市場的不穩(wěn)定性,而是從量化的角度出發(fā),采用分位數回歸模型對金磚四國的金融穩(wěn)定性進行檢驗,研究系統(tǒng)性沖擊在正常和極端市場下對不同國家金融市場的影響。實證結果表明,金磚國家都具有某種程度上的金融不穩(wěn)定性,其中中國和巴西表現最為明顯。另外,本文首次把變系數分位數回歸進入到金融穩(wěn)定性研究。市場永遠都是變化的市場,所以研究金融市場和系統(tǒng)性沖擊的動態(tài)關系,十分有利于我們從更微觀的視角觀察系統(tǒng)性沖擊對各個金融市場的影響程度。變系數分位數回歸不僅能夠了解到金融市場的穩(wěn)定與否,更能深刻的描述系統(tǒng)性沖擊對金融市場穩(wěn)定性的影響隨時間變化的趨勢。實證結果表明,系統(tǒng)性沖擊對各個金磚國家的金融市場的穩(wěn)定性的影響隨著時間是變化的,特別是極端市場條件下。結論表明,系統(tǒng)性沖擊的影響在極端市場條件下有被放大的效應,且越是極端的市場放大效應越劇烈。
[Abstract]:The accumulation of financial instability to a certain extent will lead to a financial crisis, and emerging markets as an important growth point of world economic development, but also a financial crisis outbreak of the disaster area. The study of financial stability in emerging markets is very important. Based on the variable coefficient quantile regression theory, this paper focuses on the stability of the stock market. To study the effects of systemic shocks on the time varying of financial markets, especially under extreme conditions. There has not been a consistent definition of "financial stability" in the academic and practical circles at home and abroad. This paper studies the financial stability of BRIC countries and the changes over time under extreme conditions through quantitative methods from the perspective of yield. The impact of systemic shocks on the financial stability of BRIC countries. Different from the traditional research methods of financial stability, this paper does not study the instability of financial markets by constructing financial vulnerability indicators. On the other hand, the quantile regression model is used to test the financial stability of BRIC countries from the point of view of quantification. The empirical results show that the BRICS countries have some degree of financial instability. China and Brazil are the most obvious. In addition, the first variable coefficient quantile regression into the study of financial stability. The market is always a changing market. Therefore, the dynamic relationship between financial markets and systemic shocks is studied. It is very helpful for us to observe the impact of systemic shocks on various financial markets from a more microscopic perspective. Variable coefficient quantile regression can not only understand the stability of financial markets. A more profound description of the impact of systemic shocks on the stability of financial markets over time trends. Empirical results show. The impact of systemic shocks on the stability of BRICS financial markets has changed over time, especially in extreme market conditions. The effects of systemic shocks are amplified under extreme market conditions, and the more extreme the effects are, the more severe the effects are.
【學位授予單位】：中國科學技術大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F831

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