本文選題：美國(guó)次貸危機(jī) + 凈傳染�。� 參考：《系統(tǒng)工程理論與實(shí)踐》2017年01期

【摘要】：本文討論金融危機(jī)期間發(fā)達(dá)市場(chǎng)對(duì)亞洲新興市場(chǎng)的危機(jī)凈傳染現(xiàn)象.本文提出一種新的研究框架,包括:噪聲成分提取方法、噪聲成分相關(guān)性檢驗(yàn)方法和資產(chǎn)組合噪聲成分方差分解方法.實(shí)證研究表明,在次貸危機(jī)期間,亞洲新興市場(chǎng)存在明顯凈傳染現(xiàn)象;美國(guó)危機(jī)會(huì)通過亞洲發(fā)達(dá)市場(chǎng)向周邊新興市場(chǎng)傳導(dǎo).其中,中國(guó)香港市場(chǎng)的危機(jī)傳導(dǎo)作用最為顯著,成為亞洲新興市場(chǎng)的"風(fēng)向標(biāo)",新加坡市場(chǎng)的影響具有明顯時(shí)變特征,而日本市場(chǎng)對(duì)周邊市場(chǎng)的主導(dǎo)作用逐步下降.在危機(jī)期,由于凈傳染現(xiàn)象的存在,新興市場(chǎng)投資組合很難發(fā)揮風(fēng)險(xiǎn)分散的功能.
[Abstract]:This paper discusses the net contagion of developed markets to Asian emerging markets during the financial crisis. In this paper, a new research framework is proposed, including: noise component extraction method, noise component correlation test method and portfolio noise component variance decomposition method. Empirical studies show that during the subprime mortgage crisis, there is a net contagion in emerging markets in Asia, and that the crisis in the United States is transmitted to the surrounding emerging markets through developed Asian markets. Among them, the crisis conduction effect of Hong Kong market in China is the most obvious, and it becomes the "wind vane" of emerging markets in Asia. The influence of Singapore market has obvious time-varying characteristics, while the leading role of Japanese market on neighboring markets is gradually declining. During the crisis period, emerging market portfolios are difficult to play the role of risk diversification due to net contagion.
【作者單位】： 北京航空航天大學(xué)經(jīng)濟(jì)管理學(xué)院;
【基金】：國(guó)家自然科學(xué)基金(71303016,71671008)~~
【分類號(hào)】：F831.51

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