本文關鍵詞： 波動溢出效應 風險傳染機制 杠桿效應 動態(tài)條件相關 多元GARCH模型 空間計量經(jīng)濟學　出處：《華中科技大學》2016年博士論文　論文類型：學位論文

【摘要】：隨著經(jīng)濟全球化進程的加速,全球各金融市場間的空間交互作用和波動溢出變得愈加強烈和顯著。深入分析各金融市場,尤其是各房地產(chǎn)市場間的依賴結構形式和異質(zhì)性特征對金融專家、監(jiān)管層和學者均有重要意義。鑒此,多市場間的依賴結構是什么,影響多市場間聯(lián)動性的因素有哪些,以及如何刻畫跨市場間的波動溢出特征并探究其蘊含的風險傳染機制是當前學術界研究的熱點和難點。本文在較為系統(tǒng)地梳理和歸納經(jīng)典空間計量經(jīng)濟分析技術和多元GARCH模型在金融市場方面應用的文獻的基礎上,以多市場間的聯(lián)動現(xiàn)象為出發(fā)點,提出兩種新的有效融合空間計量模型和多元GARCH模型的途徑,進而詳細探討兩種融合模型的結構特征、參數(shù)平穩(wěn)性條件和模型參數(shù)估計方法,并分別運用所提模型深入分析各房地產(chǎn)市場、各股票市場、各外匯市場以及跨市場間的波動溢出效應形式,進一步探究其蘊含的風險傳染機制。首先,本文基于空間DCC-GARCH模型深入探討了全球房地產(chǎn)市場間、全球股票市場間、全球外匯市場間以及跨市場間的價格聯(lián)動性、波動溢出效應及蘊含的風險傳染機制。研究發(fā)現(xiàn)各個國家的房地產(chǎn)市場間、股票市場間、外匯市場間以及跨市場間的動態(tài)條件相關性結構均具有時變特征。全球房地產(chǎn)市場、股票市場、外匯市場間以及跨市場間存在明顯的波動溢出效應和風險傳染,但各市場間的風險傳染機制略有差異。另外,就研究區(qū)域而言,歐洲地區(qū)國家的金融市場彼此間的聯(lián)動強度要強于亞太地區(qū)和拉美地區(qū)國家的金融市場彼此間的聯(lián)動強度。其次,本文基于ARMA (1,1)-GJR-AGARCH (1,1)模型實證檢驗了2007-2009全球金融危機事件對全球房地產(chǎn)市場、股票市場和外匯市場間的依賴結構的影響。研究發(fā)現(xiàn)在全球金融危機階段無論是房地產(chǎn)市場,股票市場還是外匯市場的波動強度均明顯增大。房地產(chǎn)市場和股票市場中存在顯著的“杠桿效應”,而外匯市場卻不存在“杠桿效應”。再次,本文探討了美元指數(shù)價格的波動對各國的房地產(chǎn)市場、股票市場和外匯市場的影響。實證結果表明,美元指數(shù)走強能夠在一定程度上影響上述三個市場間的動態(tài)條件相關性結構。就房地產(chǎn)市場而言,美元指數(shù)走強會在一定程度上遏制亞太地區(qū)國家的房地產(chǎn)市場的價格的提升,但會在一定程度上拉升歐洲和拉美地區(qū)的國家的房地產(chǎn)市場價格。對股票市場而言,美元指數(shù)走強會促使各國的股票市場指數(shù)價格的走高,而歐洲和拉美地區(qū)國家的股票市場似乎與美元指數(shù)間的聯(lián)動性更強。對外匯市場而言,美元指數(shù)與歐元、日元、英鎊等成分股間的聯(lián)動強度明顯強于其與非成分股如人民幣、港元和澳元間的聯(lián)動強度。此外,本文考慮由兩個資產(chǎn)所構成的最小方差策略和對沖策略,并采用樣本內(nèi)評估框架來評價策略的有效性。研究結果表明,兩種投資組合策略均能夠減小投資組合的策略方差,并且兩種策略在金融危機階段的策略方差要大于非危機時期的策略方差。相比傳統(tǒng)模型而言,空間DCC-GARCH模型與傳統(tǒng)模型的差異性并不明顯。本文還發(fā)現(xiàn)最小方差策略更適用于房地產(chǎn)市場和混合資產(chǎn)的投資組合策略的構建；而對沖策略則更適用于股票市場和外匯市場中的資產(chǎn)最優(yōu)配置。最后,本文將動態(tài)空間面板數(shù)據(jù)模型和多元GARCH模型加以融合,探討了融合模型的平穩(wěn)性條件及參數(shù)極大似然估計方法的實現(xiàn)方式,給出了設定空間權重矩陣的相關準則,實證分析了2005-2014年期間我國各區(qū)域住房市場間的價格聯(lián)動與波動溢出效應問題。研究結果表明,地理位置相鄰或者地理位置較遠但經(jīng)濟發(fā)展狀況相似的區(qū)域住房市場之間存在較強的聯(lián)動性和波動溢出效應�；久嬉蛩厝缛丝凇⑹杖牒蛧液暧^經(jīng)濟環(huán)境是決定區(qū)域住房市場價格的重要因素。在國務院歷年頒布的房地產(chǎn)市場宏觀調(diào)控政策中,僅有2006年5月頒布的“國六條”政策對住房市場回報和波動產(chǎn)生顯著影響,而其他時期的宏觀調(diào)控政策均未發(fā)現(xiàn)有顯著影響。一線城市和二線城市之間的分化現(xiàn)象自2014年開始變得愈發(fā)明顯。此外,我國各區(qū)域住房市場中存在較強的“杠桿效應”,其存在說明投資者對住房市場利空消息的反應程度要大于利好消息的反應程度。
[Abstract]:With the acceleration of economic globalization and world financial markets between spatial interaction and volatility spillover become more intense and significant. The thorough analysis of the financial market, especially the real estate market between the dependent structure and heterogeneity of financial experts, regulators and academics have important significance. In view of this, what is the dependence the structure of multi market, what are the factors that influence the market linkage between the cross and how to describe the characteristics of the market volatility spillover between and explore its risk contagion mechanism is the focus of academic research and difficult point. This paper analysis and multivariate GARCH model in the financial market literature in a system to sort out and summarize the classical spatial econometrics, the linkage between phenomenon in the multi market as the starting point, this paper proposes two new effective integration of spatial econometric models and multivariate GARCH The model approach, and a detailed discussion of two kinds of fusion model structure, parameter estimation method of stationary conditions and model parameters, and then use the model to analyze the real estate market, the stock market, the foreign exchange market and cross market volatility spillover effect, further explore its inherent mechanism of risk contagion. First, this paper discusses the spatial DCC-GARCH model based on the global real estate market, the global stock market, the global foreign exchange market and cross market between the price linkage, the volatility spillover effect and risk contagion mechanism. The study found that each country's real estate market, stock market, foreign exchange market and dynamic conditions cross market correlation between structure of time-varying characteristics. The global real estate market, stock market, volatility spillover exists obviously between foreign exchange market and cross market Effect and risk of infection, but the market risk contagion mechanism is slightly different. In addition, the research area, the strength between the strength of linkage linkage between European countries stronger financial markets in countries in the Asia Pacific region and Latin America financial market. Secondly, based on the ARMA (1,1) -GJR-AGARCH (1,1) model the empirical test of the 2007-2009 global financial crisis events on the global real estate market, affect the dependency structure of the stock market and foreign exchange market. The study found that in the stage of the global financial crisis, whether the real estate market, stock market and foreign exchange market volatility intensity were significantly increased. The real estate market and the stock market there is a significant "leverage effect" but the foreign exchange market does not exist leverage effect. Thirdly, this paper discusses the volatility of the dollar index price of the real estate market, the stock market and The impact of foreign exchange market. The empirical results show that the dollar index can affect the structure of the dynamic conditional correlation between the three markets to a certain extent. On the real estate market, the U.S. dollar index will curb the countries of the Asia Pacific region of the real estate market to a certain extent, the price increase, but will move up in Europe and Latin America the countries of the region's real estate market prices to a certain extent. On the stock market, the dollar index index of stock market prices will lead to the strong rise, and a stronger linkage between countries in Europe and Latin America stock market and the dollar index seems to be between. On the foreign exchange market, the dollar index and the euro, yen the strength of sterling, the linkage between stocks was stronger than its non stocks such as the renminbi, Hong Kong dollar and Australian dollar strength linkage between. In addition, we consider consists of two minimum assets Variance strategy and hedging strategy, and the sample evaluation framework to evaluate the effectiveness of the strategy. The results show that the two strategy variance portfolio strategy can reduce the portfolio strategy, and variance in the phase of the financial crisis two strategies should be greater than the variance of non crisis period strategy. Compared with the traditional model, difference the spatial DCC-GARCH model and traditional model is not obvious. This paper also finds that the construction of the portfolio strategy of minimum variance strategy is more suitable for the real estate market and mixed assets; while the hedging strategy is more suitable for optimal asset allocation in the stock market and foreign exchange market. Finally, the dynamic spatial panel data model and multiple GARCH the model integrates them, discusses the maximum likelihood stationary condition fusion model and parameter estimation methods to achieve, given the spatial weight matrix. Close the criterion, an empirical analysis of the price linkage and the volatility spillover effect between China's regional housing market during the period of 2005-2014. The results show that the geographic location or adjacent geographical distance but between economic development regions similar to the housing market there is a strong combination of liquidity and volatility spillover effect. The fundamental factors such as population. The macro economic environment and national income is an important factor in determining regional housing market prices. The State Council promulgated the macro-control policy in real estate market, only in May 2006 promulgated the "six countries" policies of the housing market returns and volatility have a significant impact, and other periods of macro-control policies were not found to have a significant impact. Differentiation between first-tier cities and second tier city began to become increasingly obvious since 2014. In addition, there is a strong bar regional housing market in China The existence of rod effect indicates that the extent to which investors respond to the niche news of the housing market is greater than the degree of good news.

【學位授予單位】：華中科技大學
【學位級別】：博士
【學位授予年份】：2016
【分類號】：F299.1;F831.51;F224
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本文編號：1447971