复杂性视角下欧洲主权债务市场极端风险溢出效应实证研究

发布时间：2018-01-10 00:26

本文关键词：复杂性视角下欧洲主权债务市场极端风险溢出效应实证研究　出处：《广东商学院》2013年硕士论文　论文类型：学位论文

【摘要】：本文基于复杂性视角系统分析了欧洲主权债务市场的极端风险溢出效应。在极端风险溢出的动力学机制方面，从复杂性视角出发，主要分析了投资者主体集群、金融市场组群以及国家组群的动力学机制。其中投资者主体的动力学机制主要表现在信息的不对称性所导致的投资者非理性行为，并论述了国家的相似净传染其根源正是这种信息不对称；金融市场组群的动力学机制主要表现在金融市场的分形和混沌等非线性性质；国家组群的动力学机制则主要表现在政府的自适应学习机制和相似净传染机制。在极端风险溢出路径方面，从爆发债务危机的“欧猪五国”宏观经济基本面、主权信用评级的变化和银行业的流动性危机等方面分析了极端风险溢出的资产负债表渠道，市场信息溢出渠道和国家相似净传染渠道。在对欧洲主权债务市场极端风险溢出机理和路径的实证分析中，分别使用了风险-Granger因果关系模型、基于三类空间权重矩阵的空间面板误差模型以及基于非线性系统动力学的融合了SVM方法的非线性相互依赖性检验，并得出了以下主要结论。 (1)欧洲主权债务市场的极端风险溢出导致了投资者抛售劣质国债而选择购买或增持了美德等国有强劲经济实力支撑的国债，表现出明显的向优质资产流动的效应。 (2)欧债危机期间，主权债务市场对其他市场的信息溢出主要来自于意大利、其次是西班牙的10年期国债市场。 (3)欧洲主权债务市场的极端风险溢出存在一定程度的地缘区域相关性或经济政治空间的聚集性，且极端风险并不通过金融渠道传递，而是通过信息溢出、宏观经济基本面、贸易渠道和净传染渠道传递，验证了极端风险溢出中净传染效应的存在性。 (4)极端风险溢出表现出了较强的非线性相互依赖性，“欧猪五国”的国债价格对美德国债的非线性预测占据了极端风险溢出的主导地位。 (5)沪市在欧债危机期间受到的冲击相对较小，但沪市对欧洲主权债务市场存在较长时期显著的非线性预测性，尤其是在葡萄牙陷入主权债务危机以后。
[Abstract]:This paper systematically analyzes the extreme risk spillover effects of the European sovereign debt market based on the complexity perspective. In the dynamic mechanism of the extreme risk spillover, this paper mainly analyzes the investor clusters from the perspective of complexity. The dynamic mechanism of the financial market group and the group of countries, in which the dynamic mechanism of the investor is mainly reflected in the irrational behavior of the investor caused by the asymmetry of information. It also discusses the source of the similar net contagion of countries is this kind of information asymmetry; The dynamic mechanism of the financial market group is mainly manifested in the nonlinear properties of the financial market such as fractal and chaos. The dynamic mechanism of the country group is mainly manifested in the government's adaptive learning mechanism and the similar net infection mechanism. In the extreme risk spillover path, from the debt crisis of the "European Pig five" macroeconomic fundamentals. This paper analyzes the balance sheet channel of extreme risk spillover, market information spillover channel and national similar net contagion channel from the aspects of the change of sovereign credit rating and the liquidity crisis of banking industry. In the empirical analysis of the mechanism and path of extreme risk spillover in European sovereign debt market, the risk-Granger causality model is used respectively. The spatial panel error model based on three kinds of spatial weight matrices and the nonlinear interdependence test based on nonlinear system dynamics fusion SVM method are presented. The following main conclusions are obtained. Extreme risk spillovers in Europe's sovereign debt markets have led investors to sell inferior Treasuries instead of buying or increasing holdings of bonds backed by strong economic power such as Germany. It shows the effect of flowing to high quality assets. During the European debt crisis, information spillovers from sovereign debt markets to other markets came mainly from Italy, followed by Spain's 10-year bond market. 3) the extreme risk spillover of the European sovereign debt market has a certain degree of geo-regional relevance or economic and political space aggregation, and extreme risk is not transmitted through financial channels, but through information spillover. Macroeconomic fundamentals, trade channels and net contagion channels verify the existence of net contagion effects in extreme risk spillovers. (4) extreme risk spillover shows strong nonlinear interdependence, and the price of "European Pig five" plays a dominant role in the nonlinear prediction of German national debt. 5) the impact on the Shanghai market during the European debt crisis was relatively small, but there was a significant nonlinear predictability for the European sovereign debt market for a long time, especially after Portugal fell into the sovereign debt crisis.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F815;F835

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