本文選題：金融危機(jī)擴(kuò)散指數(shù) + 資本市場(chǎng)��； 參考：《河北大學(xué)》2014年碩士論文

【摘要】：2008年美國(guó)爆發(fā)的金融危機(jī)，使我國(guó)虛擬經(jīng)濟(jì)和實(shí)體經(jīng)濟(jì)遭受重創(chuàng)。掌握金融危機(jī)爆發(fā)的主要原因、可能的傳染路徑以及測(cè)算和控制金融危機(jī)的影響程度是我國(guó)恢復(fù)經(jīng)濟(jì)的主要課題。本文以2008年的美國(guó)金融危機(jī)為背景，選取2006-2010年的月度相關(guān)數(shù)據(jù)，以金融危機(jī)的傳導(dǎo)機(jī)制為切入點(diǎn)，，立足于資本市場(chǎng)，通過探究金融危機(jī)與我國(guó)資本市場(chǎng)間的傳導(dǎo)機(jī)制，論述金融危機(jī)對(duì)我國(guó)經(jīng)濟(jì)發(fā)展存在的影響，同時(shí)構(gòu)建相應(yīng)金融危機(jī)評(píng)價(jià)指標(biāo)體系，編制金融危機(jī)擴(kuò)散指數(shù)，論述金融危機(jī)對(duì)我國(guó)經(jīng)濟(jì)擴(kuò)散路徑和擴(kuò)散程度，把握金融危機(jī)對(duì)我國(guó)經(jīng)濟(jì)沖擊的大小和方向，以便采取有效措施應(yīng)對(duì)危機(jī)的傳染。 本文通過從匯率渠道、資本流動(dòng)性渠道、預(yù)期渠道、資產(chǎn)價(jià)格渠道四種路徑分別選取代表性指標(biāo)，運(yùn)用單位根檢驗(yàn)、協(xié)整檢驗(yàn)、格蘭杰因果檢驗(yàn)并建立向量誤差修正模型等計(jì)量經(jīng)濟(jì)學(xué)方法從理論和實(shí)證角度論證了金融危機(jī)會(huì)通過四種路徑傳導(dǎo)到我國(guó)的資本市場(chǎng)，刻畫了金融危機(jī)的傳染機(jī)制。然后，通過研究比較編制指數(shù)的選取方法，從四個(gè)方面，運(yùn)用主成分分析法編制了金融危機(jī)對(duì)我國(guó)經(jīng)濟(jì)擴(kuò)散的匯率市場(chǎng)指數(shù)、預(yù)期指數(shù)、資產(chǎn)價(jià)格指數(shù)、資本流動(dòng)指數(shù)四個(gè)分指數(shù)，在對(duì)四個(gè)分指數(shù)綜合得分評(píng)價(jià)的基礎(chǔ)上運(yùn)用層次分析法和B-P神經(jīng)網(wǎng)絡(luò)法構(gòu)建了金融危機(jī)擴(kuò)散總指數(shù)，并用臨界值的方法確定各指標(biāo)受金融危機(jī)影響的程度。 研究表明：金融危機(jī)會(huì)通過匯率、資本流動(dòng)、預(yù)期、資產(chǎn)價(jià)格四種渠道傳染到我國(guó)；金融危機(jī)擴(kuò)散指數(shù)的編制很好的描述了金融危機(jī)對(duì)我國(guó)經(jīng)濟(jì)的傳染和擴(kuò)散機(jī)制，而且擴(kuò)散程度的大小也符合我國(guó)經(jīng)濟(jì)發(fā)展?fàn)顩r；本文擴(kuò)散指數(shù)的編制方法可借鑒到其他學(xué)科和領(lǐng)域衡量各指標(biāo)受影響程度，以便更好的了解整體發(fā)展?fàn)顩r。最后本文根據(jù)對(duì)金融危機(jī)擴(kuò)散指數(shù)的分析，在四個(gè)方面提出促進(jìn)我國(guó)經(jīng)濟(jì)發(fā)展的措施，并首次提出通過建立股價(jià)市值占GDP比重的合理上下限來衡量資本市場(chǎng)發(fā)展?fàn)顩r。
[Abstract]:The financial crisis broke out in the United States in 2008 made our virtual economy and real economy suffer a heavy blow.To grasp the main causes of the financial crisis, the possible path of contagion, and to measure and control the impact of the financial crisis are the main issues of economic recovery in China.This paper takes the 2008 American financial crisis as the background, selects the monthly relevant data from 2006 to 2010, takes the financial crisis transmission mechanism as the breakthrough point, bases itself on the capital market, and probes into the transmission mechanism between the financial crisis and China's capital market.This paper discusses the influence of the financial crisis on the economic development of our country, at the same time, constructs the corresponding evaluation index system of the financial crisis, compiles the financial crisis diffusion index, and discusses the path and degree of the financial crisis to the economic diffusion of our country.In order to deal with the contagion of financial crisis, we should grasp the magnitude and direction of financial crisis.This paper selects representative indexes from exchange rate channel, capital liquidity channel, expected channel and asset price channel, and applies unit root test and cointegration test.Based on Granger causality test and vector error correction model, this paper demonstrates that financial crisis will be transmitted to China's capital market through four paths from theory and empirical point of view, and describes the contagion mechanism of financial crisis.Then, by studying the selection method of comparative compilation index, using principal component analysis method to compile the exchange rate market index, expected index, asset price index of the financial crisis on the economic diffusion of our country from four aspects.On the basis of the comprehensive score evaluation of the four sub-indices, the capital flow index is constructed by using the analytic hierarchy process and B-P neural network method to construct the total index of financial crisis diffusion.The critical value method is used to determine the extent of the impact of the financial crisis on the indicators.The study shows that the financial crisis will infect China through four channels: exchange rate, capital flow, expectation and asset price; the compilation of the financial crisis diffusion index describes the contagion and diffusion mechanism of the financial crisis to our economy.And the degree of diffusion is also in line with the economic development of our country. The method of compiling diffusion index in this paper can be used for reference to other disciplines and fields to measure the affected degree of each index in order to better understand the overall development situation.Finally, based on the analysis of the diffusion index of financial crisis, this paper puts forward four measures to promote the economic development of our country, and proposes for the first time to measure the development of capital market by establishing a reasonable upper and lower limit of the proportion of stock price market value in GDP.
【學(xué)位授予單位】：河北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F831.59;F124;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 童其慧;主成分分析方法在指標(biāo)綜合評(píng)價(jià)中的應(yīng)用[J];北京理工大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2002年01期

2 范恒森,李連三;論金融危機(jī)傳染路徑及對(duì)我國(guó)的啟示[J];財(cái)經(jīng)研究;2001年11期

3 孫俊峰;;美國(guó)次級(jí)債危機(jī)的成因分析與啟示[J];山西財(cái)政稅務(wù)�？茖W(xué)校學(xué)報(bào);2008年03期

4 盧盛榮;;國(guó)際金融危機(jī)對(duì)中國(guó)經(jīng)濟(jì)的影響及其傳導(dǎo)機(jī)制[J];東南學(xué)術(shù);2009年01期

5 鄭振龍,吳靖樂;金融危機(jī)傳導(dǎo)機(jī)制研究[J];中國(guó)工業(yè)經(jīng)濟(jì);1998年11期

6 張明;;次貸危機(jī)的傳導(dǎo)機(jī)制[J];國(guó)際經(jīng)濟(jì)評(píng)論;2008年04期

7 姜凌;徐楠;;金融危機(jī)中的衍生工具——基于20世紀(jì)80年代以來金融危機(jī)視角的思考[J];經(jīng)濟(jì)學(xué)家;2009年05期

8 陳華;趙俊燕;;美國(guó)金融危機(jī)傳導(dǎo)過程、機(jī)制與路徑研究[J];經(jīng)濟(jì)與管理研究;2009年02期

9 姚枝仲,何帆;外國(guó)直接投資是否會(huì)帶來國(guó)際收支危機(jī)?[J];經(jīng)濟(jì)研究;2004年11期

10 宮小琳;卞江;;中國(guó)宏觀金融中的國(guó)民經(jīng)濟(jì)部門間傳染機(jī)制[J];經(jīng)濟(jì)研究;2010年07期

相關(guān)博士學(xué)位論文 前4條

1 王會(huì)強(qiáng);亞洲金融危機(jī)與美國(guó)次貸危機(jī)對(duì)我國(guó)出口貿(mào)易影響的比較分析[D];河北大學(xué);2010年

2 焦鵬;現(xiàn)代指數(shù)理論與實(shí)踐若干問題的研究[D];廈門大學(xué);2008年

3 武占云;2007-2009國(guó)際金融危機(jī)傳染的時(shí)空機(jī)制研究[D];華東師范大學(xué);2010年

4 鄭小娟;歐洲國(guó)家債務(wù)危機(jī)的風(fēng)險(xiǎn)傳導(dǎo)研究[D];武漢大學(xué);2013年

本文編號(hào)：1733887