本文關(guān)鍵詞：基于同跳視角的金融系統(tǒng)性風(fēng)險度量研究　出處：《浙江工商大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 跳躍 同跳 宏觀信息沖擊 系統(tǒng)性風(fēng)險

【摘要】：在全球經(jīng)濟金融一體化的進程中,如何做好金融市場上的風(fēng)險度量與風(fēng)險管理,有效地防范金融危機發(fā)生已成為關(guān)注熱點。2008美國次貸危機引發(fā)全球性金融危機、歐洲主權(quán)債務(wù)危機引發(fā)金融市場動蕩以及2015年中國股災(zāi)引發(fā)資本市場跌宕起伏,都表明了在高度關(guān)聯(lián)的金融體系內(nèi)部,金融機構(gòu)之間的傳染效應(yīng)和溢出效應(yīng)已成為金融市場的本質(zhì)特征。目前,全球金融系統(tǒng)遭受到英國脫歐公投、美國總統(tǒng)大選、各國股災(zāi)等黑天鵝事件的沖擊,大量風(fēng)險在系統(tǒng)內(nèi)不斷累積升級,一個意外的宏觀信息沖擊就會造成金融機構(gòu)資產(chǎn)價格跳躍,進而通過傳染、溢出效應(yīng)擴散至整個金融市場,最終引發(fā)金融系統(tǒng)的動蕩與衰退。為了較好地度量中國金融市場上的系統(tǒng)性風(fēng)險,本文基于一個新的視角即金融機構(gòu)與金融指數(shù)之間的同跳來展開研究。本文從金融機構(gòu)個股與金融指數(shù)資產(chǎn)價格的跳躍特征、金融機構(gòu)個股與金融指數(shù)資產(chǎn)價格的同跳特征以及宏觀信息沖擊對同跳的作用三個維度進行深入的實證探究。本文選取工商銀行、中信銀行、南京銀行與中證800金融指數(shù)2013年8月6日至2017年1月26日五分鐘高頻股價交易數(shù)據(jù)為樣.本,采用Bollerslev,Todorov和Li(2013)的非參數(shù)方法提取跳躍,并統(tǒng)計出金融機構(gòu)個股與金融指數(shù)之間的同跳現(xiàn)象,分別對跳躍與同跳進行基本特征分析。本文并采用HAR-RCov-JCov和HAR-RV-JCov模型研究同跳因素對預(yù)測RCov和RV等波動率的影響。本文采用Relogit回歸模型研究中國市場上宏觀經(jīng)濟信息沖擊對同跳的影響,測度中國金融市場的系統(tǒng)性風(fēng)險產(chǎn)生的根本原因。研究結(jié)果表明:(1)金融機構(gòu)個股與金融指數(shù)的股價收益率和跳躍存在明顯的波動集聚性和時變性。(2)金融機構(gòu)個股與金融指數(shù)存在頻繁的跳躍并且兩者趨勢基本保持一致,表明銀行業(yè)對金融市場有著重要的影響。(3)股份制商業(yè)銀行和城市商業(yè)銀行與金融指數(shù)的同跳高于大型國有商業(yè)銀行與金融指數(shù)的同跳,表明前者對金融市場波動沖擊較大。(4)金融機構(gòu)個股與金融指數(shù)的同跳對于預(yù)測RCov和RV具有顯著的解釋作用。(5)宏觀信息沖擊發(fā)布會影響金融機構(gòu)間資產(chǎn)的聯(lián)合跳躍,意外的消息發(fā)布會引發(fā)金融市場的系統(tǒng)性風(fēng)險。(6)CPI、GDP、NL(人民幣新增貸款)對同跳影響較大,應(yīng)加強關(guān)注這些宏觀經(jīng)濟指標,及時做好相應(yīng)的風(fēng)險管理與風(fēng)險防范。
[Abstract]:In the global economic and financial integration process, how to manage the risk of financial market and risk measurement, effectively prevent the financial crisis has become the focus of.2008 in the U.S. subprime mortgage crisis triggered a global financial crisis, the European sovereign debt crisis triggered by financial market turmoil and the 2015 stock market crash Chinese triggered capital market ups and downs, showed that in the internal height Association of the financial system, the contagion effect and spillover effect between financial institutions has become the essential feature of the financial market. At present, the British suffered off the European referendum on the global financial system, the United States presidential election, the stock market crash and the black swan event impact, a lot of risk in the system in the continuous accumulation of macro information upgrade, the impact will be a surprise the asset price jumps and financial institutions, through contagion, spillover to the financial market, and ultimately lead to gold Financial turmoil and recession. In order to measure systemic risk China financial market better, in this paper a new perspective of financial institutions and financial index of the same jump to carry out the research based on the characteristics of financial institutions. The jump from stocks and financial asset price index, with the jump characteristics of stocks and financial institutions the financial asset price index and macroeconomic impact of information inquiry in-depth on the three dimensions of role with the jump. This paper selects the industrial and Commercial Bank of China, CITIC Bank, Nanjing bank and the financial CSI 800 index from August 6, 2013 to January 26, 2017 five minute high-frequency transaction data. The stock price, using Bollerslev, Todorov and Li (2013) jump non parameter extraction method, and the statistics of the same jump phenomenon between financial institutions and financial stocks index, respectively, analysis of the basic characteristics and the same jump jump. This paper using HAR-RCov Study on effect of -JCov and HAR-RV-JCov model with jump factors for predicting RCov and RV volatility. The regression model of China market macroeconomic impact on the information with the effects of the jump by Relogit, the root cause of systemic risk of Chinese measure of financial market. The results show that: (1) the stock price returns and jump financial institutions and financial stocks index has obvious volatility clustering and time-varying. (2) there is frequent jump and the trend of consistent financial institutions and financial stock index, suggest that the banking industry has an important influence on the financial market. (3) the joint-stock commercial banks and city commercial banks and financial index of the same jump higher than the large state-owned commercial banks and the financial index of the same jump, indicating that the former larger fluctuation of financial market impact. (4) financial stocks and financial index of the same jump for pre measured RCov and RV Can significantly explain. (5) combined with macro information impact effect between financial institutions assets conference jumps, unexpected news conference lead to systemic risk in the financial market. (6) CPI, GDP, NL (new yuan loans) on the same large jump effect, should strengthen the focus on these macroeconomic indicators, timely risk the corresponding management and risk prevention.

【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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