本文選題：金磚國家　切入點(diǎn)：極端風(fēng)險(xiǎn)溢出　出處：《廣東財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：凈傳染是金融市場(chǎng)極端風(fēng)險(xiǎn)溢出的重要機(jī)制之一，與金融、貿(mào)易渠道共同將一國金融市場(chǎng)極端風(fēng)險(xiǎn)溢出至其他國家。在世界貿(mào)易一體化、金融自由化、信息不對(duì)稱、投資主體有限理性、金融體系脆弱性、風(fēng)險(xiǎn)溢出的復(fù)雜性與非線性這樣的背景之下，極端事件爆發(fā)后不同國家金融市場(chǎng)表現(xiàn)出過度協(xié)同主要是由于投資主體的心理預(yù)期和風(fēng)險(xiǎn)承擔(dān)意愿變化、恐慌心理的傳播、羊群式的金融資產(chǎn)拋售行為形成的金融市場(chǎng)極端風(fēng)險(xiǎn)凈傳染所導(dǎo)致的。 從群體行為角度下可將金融全球體系劃分為投資主體集群、金融市場(chǎng)組群以及國家組群三個(gè)層級(jí)，本文基于此角度系統(tǒng)分析了金融市場(chǎng)極端風(fēng)險(xiǎn)溢出的凈傳染機(jī)理并解釋了在美國次貸危機(jī)和歐洲主權(quán)債務(wù)危機(jī)時(shí)期發(fā)達(dá)國家極端風(fēng)險(xiǎn)對(duì)金磚國家的凈傳染現(xiàn)象。金磚國家所受到的凈傳染沖擊一方面是源于美國和“歐豬五國”危機(jī)爆發(fā)的直接沖擊，危機(jī)的爆發(fā)所造成的恐慌心理傳播使金磚國家金融市場(chǎng)投資者的心理預(yù)期和風(fēng)險(xiǎn)承擔(dān)意愿變化導(dǎo)致對(duì)金融資產(chǎn)的瘋狂拋售。另一方面，源于極端風(fēng)險(xiǎn)源國家通過其他發(fā)達(dá)國家組群對(duì)金磚國家的間接沖擊。 實(shí)證分析時(shí)，本文首先運(yùn)用基于GED分布的GARCH模型估計(jì)了風(fēng)險(xiǎn)源國家極端風(fēng)險(xiǎn)下跌VaR，并用Granger因果關(guān)系、脈沖響應(yīng)函數(shù)檢驗(yàn)了極端風(fēng)險(xiǎn)源國家與金磚國家之間存在金融市場(chǎng)極端風(fēng)險(xiǎn)溢出并且風(fēng)險(xiǎn)源國家可以通過其他主要發(fā)達(dá)國家組群將極端風(fēng)險(xiǎn)溢出至金磚國家。在此基礎(chǔ)之上，本文構(gòu)建了加入空間距離和經(jīng)濟(jì)-制度相似性兩類空間權(quán)重矩陣的空間面板模型，檢驗(yàn)了發(fā)達(dá)國家組群和金磚國家間以及金磚國家間是否存在金融市場(chǎng)極端風(fēng)險(xiǎn)的凈傳染，實(shí)證結(jié)果表明：在樣本區(qū)間各個(gè)階段基于空間距離和經(jīng)濟(jì)、制度相似性造成的發(fā)達(dá)國家組群與金磚國家之間金融市場(chǎng)極端風(fēng)險(xiǎn)的凈傳染均存在且這種凈傳染程度在美國金融海嘯全球爆發(fā)階段達(dá)到最大。在金磚國家間金融市場(chǎng)極端風(fēng)險(xiǎn)凈傳染的檢驗(yàn)之中，第一階段只表現(xiàn)出基于空間地理關(guān)系造成的凈傳染，在第三階段基于空間地理關(guān)系和經(jīng)濟(jì)、制度相似性造成的金磚國家間金融市場(chǎng)極端風(fēng)險(xiǎn)的凈傳染均存在，，在第二、四階段基于這些因素造成的凈傳染不存在。
[Abstract]:Net contagion is one of the important mechanisms of extreme risk spillover in financial markets, which, together with financial and trade channels, spillovers extreme risks from one country's financial markets to other countries. Under the background of limited rationality of investment subject, fragility of financial system, complexity and nonlinearity of risk spillover, After the extreme events broke out, the financial markets of different countries showed excessive synergy mainly because of the change of the investors' psychological expectation and the willingness to take risks, and the spread of panic psychology. Herding selling of financial assets resulted from the net contagion of extreme risks in financial markets. From the perspective of group behavior, the global financial system can be divided into three levels: investment cluster, financial market cluster and country group. Based on this perspective, this paper systematically analyzes the net contagion mechanism of extreme risk spillovers in financial markets and explains the net contagion of extreme risk to BRICS countries in the period of the subprime mortgage crisis in the United States and the sovereign debt crisis in Europe. The net contagion impact on the BRICS countries was, on the one hand, a direct shock from the outbreak of the crisis in the United States and the "European Pig five". The spread of panic caused by the outbreak of the crisis has led to a frenzied sell-off of financial assets as a result of changes in the expectations and willingness of BRICS financial market investors to take risks. Indirect impact of BRICS countries from extreme risk sources through other developed country clusters. In the empirical analysis, this paper first uses the GARCH model based on the GED distribution to estimate the extreme risk decline in the country of risk source, and uses the Granger causality. The impulse response function examines the existence of extreme financial market risk spillovers between the extreme risk source countries and the BRICS countries and the ability of the risk source countries to spill extreme risks to the BRICS countries through other major developed country groups. In this paper, a spatial panel model with spatial weight matrices of spatial distance and economic-institutional similarity is constructed, and the net contagion of extreme risks in financial markets between developed countries and BRICS countries is tested. The empirical results show that: in each stage of the sample interval, based on spatial distance and economy, The net contagion of extreme financial market risk between the developed country group and the BRICS countries caused by institutional similarity was the largest in the global outbreak of the US financial tsunami. In the test of net contagion of market extreme risk, In the first stage, only net contagion based on spatial geographical relationship is shown. In the third stage, based on spatial geographical relationship and economy, the net contagion of extreme risks in BRICS financial markets caused by institutional similarity exists, and in the second stage, The four-stage net infection based on these factors does not exist.
【學(xué)位授予單位】：廣東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F831.5

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