欧债危机中系统重要性金融市场的实证分析

发布时间：2018-04-24 12:47

  本文选题：欧债危机 + 宏观审慎　； 参考：《长沙理工大学》2014年硕士论文

【摘要】：美国次贷危机的爆发与欧债危机的不断发酵,暴露监管空白,凸显了金融市场系统性风险的问题。加强基于系统性风险的宏观审慎监管是必然选择,对具有系统重要性的金融机构(或金融市场)的识别更是防范系统性风险、加强监管的前提和基础。本文基于以上背景,对欧债危机中系统重要性金融市场的风险关联、风险贡献占比等方面展开研究。从系统重要性金融市场出发,本文分别从系统性风险溢出效应和风险分配两个视角,使用CoVaR方法和Shapley值法构造出表现系统风险贡献程度的指标,分析和归纳欧元区金融市场风险的特征和规律,从而探索各欧元区国家在危机期间所扮演的角色。实证发现,一方面,危机程度较严重的国家,其风险关联程度较强,风险贡献程度较大,且风险贡献占比随着危机的发展逐渐上升。另一方面,受危机影响较小的国家风险贡献程度偏低,在危机中扮演了稳定市场的角色。实证中还发现,相对于股票市场而言,欧元区债券市场的风险分配出现两极化现象。随着危机的演变,德国和法国慢慢退去其系统性风险贡献者的角色,而转化为整个系统的稳定者。因此,对于系统重要性金融市场的监管,需要从动态发展的角度去进行。此外,各国对系统性风险的贡献程度与市场规模的大小和单个市场自身的风险状况并没有显著的线性关系,表明以VaR为核心指标的监管政策不能有效防范系统性风险溢价。金融监管部门可以根据各金融市场对系统性风险的贡献度进行差别化管理,确保整个金融体系的稳定与安全。本文认为,针对不同国家出现债务危机的具体原因,应采取相对应的援助策略。救助国内经济出现问题的希腊、葡萄牙等国,根本的措施在于审慎刺激其国内经济,降低失业率；而对于因危机传染而陷入债务危机的意大利、西班牙等国,则需要帮助市场恢复信心,降低其融资成本,使其最终走出危机。综上所述,本文研究的风险传导,是一种系统性风险的传导。文中建立的系统风险贡献程度指标,为准确判断单个市场的系统重要性、建立金融宏观监管制度、防范系统性风险提供了一个新的视角。
[Abstract]:The outbreak of the subprime mortgage crisis in the United States and the continuous fermentation of the European debt crisis exposed regulatory gaps and highlighted the problem of systemic risks in financial markets. Strengthening macro-prudential supervision based on systemic risk is an inevitable choice, and the recognition of systemically important financial institutions (or financial markets) is the premise and basis of preventing systemic risks and strengthening supervision. Based on the above background, this paper studies the risk correlation and risk contribution of systemically important financial markets in the European debt crisis. From the view of systemically important financial market, this paper uses CoVaR method and Shapley value method to construct the index of system risk contribution from the perspective of systemic risk spillover effect and risk allocation. This paper analyzes and summarizes the characteristics and rules of financial market risk in the euro zone, so as to explore the role played by various euro zone countries during the crisis. The empirical results show that, on the one hand, the degree of risk correlation and the risk contribution of the countries with more serious crisis degree are stronger, and the proportion of risk contribution increases gradually with the development of the crisis. On the other hand, countries that are less affected by the crisis contribute less to risk and play a stabilizing role in the crisis. It is also found that the risk distribution in the euro zone bond market is polarized compared with the stock market. As the crisis evolves, Germany and France slowly retreat from their role as contributors to systemic risk and become stabilizers of the system. Therefore, the regulation of systemically important financial markets should be carried out from the perspective of dynamic development. In addition, there is no significant linear relationship between the contribution of countries to systemic risk and the size of market size and the risk situation of individual market itself, which indicates that regulatory policies with VaR as the core indicator can not effectively prevent systemic risk premium. According to the contribution of the financial market to the systemic risk, the financial supervision department can manage it differently to ensure the stability and safety of the whole financial system. This paper argues that the corresponding aid strategies should be adopted in view of the specific causes of debt crisis in different countries. For Greece, Portugal and other countries whose domestic economies are in trouble, the fundamental measure is to prudently stimulate their domestic economies and reduce the unemployment rate; and for countries such as Italy and Spain, which have been caught in debt crisis because of the contagion of the crisis, Need to help the market restore confidence, reduce its financing costs, so that it finally out of the crisis. To sum up, the risk transmission studied in this paper is a systemic risk transmission. The index of system risk contribution in this paper provides a new angle of view for accurately judging the system importance of a single market, establishing a financial macro supervision system and preventing systemic risk.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.59;F815
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本文编号：1796675