本文關鍵詞： 面板數(shù)據(jù) 貝葉斯分析 隱馬爾科夫模型 變點診斷 時變異質(zhì)性　出處：《湖南大學》2014年碩士論文　論文類型：學位論文

【摘要】：變化是金融市場永恒的主題,政策變化、金融危機、制度變遷等事件性沖擊常對金融市場產(chǎn)生非常大的影響,可能引起金融變量關系發(fā)生結構性變化。在金融經(jīng)濟研究中,如果不考慮這些事件變點的沖擊對金融變量關系的影響,就容易使決策產(chǎn)生偏差,引起對金融變量關系進行錯誤評估。大T面板數(shù)據(jù)背景下,平穩(wěn)數(shù)據(jù)過程并不能保證變量關系不存在結構變化,而且截面?zhèn)�體之間不可觀測異質(zhì)性非時變假設難以成立,利用傳統(tǒng)面板數(shù)據(jù)模型對金融變量關系變點進行研究難以解決上述問題,因此針對面板數(shù)據(jù)截面?zhèn)�體之間不可觀測異質(zhì)性非時變假設引起的刪失變量偏差以及推斷無效問題,本文通過引入隱馬爾科夫方法對固定效應和隨機效應面板數(shù)據(jù)模型進行時變異質(zhì)性以及變量關系結構變化進行建模,利用貝葉斯理論對模型參數(shù)進行統(tǒng)計推斷、設計MCMC抽樣算法、定義貝葉斯因子解決模型選擇(即變點診斷)問題,構建了貝葉斯固定效應和隨機效應面板數(shù)據(jù)隱馬爾科夫模型,在刻畫時變異質(zhì)性的同時,捕捉金融系統(tǒng)環(huán)境中可能存在的變點,考察其對金融變量關系的非系統(tǒng)性及系統(tǒng)性影響,并以油價與股市關系變點為研究對象,選取國際原油價格指數(shù)、13個行業(yè)股指數(shù)據(jù)以及中國利率數(shù)據(jù),考察了金融系統(tǒng)環(huán)境變化對油價與股市關系的非系統(tǒng)性及系統(tǒng)性影響。 研究結果表明：國際原油價格與股市之間存在長期穩(wěn)定關系,但這種長期穩(wěn)定關系會受到金融系統(tǒng)環(huán)境的沖擊,其中,13個行業(yè)受系統(tǒng)環(huán)境影響可分為非系統(tǒng)性以及系統(tǒng)性影響,每個行業(yè)的個體變點均在3-5個,但共同變點只有3個；而且大T面板數(shù)據(jù)背景下,如果考慮行業(yè)間不可觀測異質(zhì)性的時變性,可以發(fā)現(xiàn),系統(tǒng)環(huán)境中的不同事件將使油價與股市關系在不同時間段中表現(xiàn)為不同的相關關系,驗證了貝葉斯固定效應和隨機效應面板數(shù)據(jù)隱馬爾科夫模型的有效性。
[Abstract]:Change is the eternal theme of the financial market policy change, financial crisis, institutional change impact events often have a very big impact on financial markets, financial variables may cause structural changes in the financial economy. In the study, if you do not consider these events change point of the impact on the financial variables, it is easy to make the deviation caused by the wrong decision, evaluation of financial variables. T panel data context, stable data process does not guarantee the variable relationship does not exist between the individual and the change of structure, section of unobservable heterogeneity while the hypothesis is not tenable, using traditional panel data model is studied to solve the problem of the relationship between financial variables change point, so the panel data can not observe heterogeneity between individual non section variable by the assumption of the censored variable bias and invalid inference question In this paper, by introducing the hidden Markov method of qualitative variation and variable relationship between Microstructure Modeling of fixed and random effects panel data model, the statistical inference of the model parameters by using Bayesian theory, the design of MCMC sampling algorithm, the definition of Bayes factor to solve the model selection (i.e. the change point problem, constructs a Bayesian diagnosis) fixed and random effect panel data of hidden Markov model, to describe the variation of nature at the same time, there may be a change point to capture financial system environment, the system and the non systemic effects of financial variables, and the relationship between oil prices and the stock market changes as the research object, selects the international crude oil price index. 13 industry index data and China rate data, investigated and non systemic effects of financial system environment changes on the relationship between oil and stocks.
The results show that there is a long-term stable relationship between international oil price and the stock market, but the long-term stable relationship will be affected by the environmental impact of the financial system, among them, 13 industries affected by the environmental impact system can be divided into systematic and non systemic effects, each individual industry change point in all 3-5, but only the common change point 3; and T panel data context, if not considering the time-varying unobserved heterogeneity can be between industries can be found in different event system environment will make the relationship between oil prices and the stock market performance in different periods for different relationship, verify the validity of Bayesian fixed effect and random effect panel data the hidden Markov model.

【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F764.1;F224

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本文編號：1533519