本文選題：歐洲主權(quán)債務(wù)危機 + 平滑轉(zhuǎn)換自回歸模型　； 參考：《山西財經(jīng)大學》2014年碩士論文

【摘要】：受金融危機影響，歐洲主權(quán)風險激增，主權(quán)債務(wù)危機的爆發(fā)與蔓延成為困擾全球經(jīng)濟、金融穩(wěn)定的重要因素。自危機爆發(fā)以來，歐盟以及有關(guān)政府相繼出臺救援措施，各國政府也積極參與了救援。盡管各方都積極參與救助，但是歐債危機并沒有實質(zhì)性的好轉(zhuǎn)，反而愈演愈烈并已延至其第二大經(jīng)濟體法國。此次危機的蔓延，引起了世界對債務(wù)危機大面積爆發(fā)的深深憂慮。 在回顧了有關(guān)危機中主權(quán)CDS市場及主權(quán)債券市場分析的理論文獻后，本文對主權(quán)CDS市場及債券市場的現(xiàn)狀進行了總結(jié)分析，并對平滑轉(zhuǎn)換自回歸模型的理論進行了闡釋，以此作為本文的理論基礎(chǔ)。采用平滑轉(zhuǎn)換自回歸模型，對這兩個市場在價格發(fā)現(xiàn)過程中的貢獻度進行分析，從而判斷哪個市場為主導市場，進而研究解決危機應(yīng)從哪個市場出發(fā)來解決。本文從內(nèi)外部兩方面著手分析歐債危機爆發(fā)的原因，主要對經(jīng)濟結(jié)構(gòu)、社會結(jié)構(gòu)、歐盟制度設(shè)計、金融內(nèi)部相關(guān)性等方面的因素進行了分析，，并在此基礎(chǔ)上對歷次主權(quán)債務(wù)危機的解決方案進行了總結(jié)和分析。最后結(jié)合實證分析結(jié)果(債券市場在價格發(fā)現(xiàn)中起主導作用，主權(quán)CDS市場是被引導市場)，提出解決歐債危機應(yīng)從債券市場出發(fā)的政策建議，并總結(jié)我國開展CDS市場中應(yīng)注意的問題以及對主權(quán)危機的防范措施。
[Abstract]:Affected by the financial crisis, the European sovereign risk surge, the outbreak and spread of sovereign debt crisis has become an important factor of global economic and financial stability. Since the outbreak of the crisis, the European Union and the relevant governments have introduced rescue measures, governments have actively participated in the rescue. Despite the active involvement of all parties, the European debt crisis has not really improved, but has intensified and has been extended to its second largest economy, France. The spread of the crisis, caused the world's debt crisis outbreak of deep concern. After reviewing the theoretical literature on sovereign CDS market and sovereign bond market analysis in crisis, this paper summarizes and analyzes the present situation of sovereign CDS market and bond market, and explains the theory of smooth transformation autoregressive model. This is the theoretical basis of this paper. This paper analyzes the contribution of these two markets in the process of price discovery by using the smoothing transformation autoregressive model, so as to judge which market is the dominant market, and then to study which market should be used to solve the crisis. This paper analyzes the causes of the European debt crisis from the internal and external aspects, mainly on the economic structure, social structure, European Union system design, financial internal correlation and other factors. On this basis, it summarizes and analyzes the solutions of previous sovereign debt crises. Finally, combined with the empirical analysis results (the bond market plays a leading role in price discovery, the sovereign CDS market is the guide market, the paper puts forward some policy suggestions on how to solve the European debt crisis from the bond market. It also summarizes the problems that should be paid attention to in the development of CDS market in China and the preventive measures to the sovereignty crisis.
【學位授予單位】：山西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F835

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