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亚洲金融危机传染与因果关系实证研究
时间:2011-03-10 浏览次数:1577次 无忧论文网
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     1997年7月2日爆发的泰国金融危机迅速对东亚各国造成了冲击并对各国经济造成严重的破坏。东南亚金融危机的爆发使亚洲各国与地区都逐渐意识到金融体系的健康稳健运行是国民经济持续稳健发展的前提条件,加强了金融风险的防范监控工作。
     目前经济学家们对“传染性”这一新的课题做了大量的研究。本文的研究目的旨在检验亚洲金融危机传染性统计上的显著性进而提出如何规避和治理金融危机传染效应的建议。本文运用17个国家和地区的股票市场日数据,采用Granger因果关系检验和均值、波动率传染模型来研究亚洲金融危机的传染效应。结果表明亚洲金融危机不仅在亚洲,而且在全球范围内产生了传染效应。
     本文共分成5章:第一章首先介绍金融危机和金融危机传染效应的定义,并对净传染进行理论解释并分类,分析传染效应的传染机制,最后介绍关于金融危机传染效应的研究文献。第二章对本文实证研究数据的获得、选取及处理进行解释并详细介绍本文的实证分析方法。第三章和第四章对亚洲金融危机传染性进行实证研究,采用的研究方法包括Granger因果检验、均值传染模型和波动率传染模型。第三章针对亚洲金融危机在亚洲各国及地区的传染效应进行研究,第四章针对亚洲金融危机对世界其他地区的传染效应进行研究。实证研究结果表明亚洲金融危机具有很强的传染性,不仅影响亚洲的金融安全而且影响了世界其他新兴市场经济国家的金融安全。第五章针对金融危机传染性提出了治理措施,并对中国的防范金融危机传染的爆发及治理提出了建议。
     本文的创新之处有以下几个方面: 1、采用事件研究法,引入EGARCH非线形模型研究亚洲金融危机波动率传染;2、对Dirk Baur提出的均值传染模型和波动率传染模型进行改进,通过设定虚拟变量把数据划分为危机前、危机期间和危机后三个区间,使模型能更好地识别金融危机传染效应;3、针对金融危机传染的危害性及其传染特性,提出预防和治理金融危机传染效应的一些方法,如加强区域货币联系,进行金融合作;增强金融市场信息的透明度,改善公众预期等个人见解
     [英文摘要]:      The Asian financial crisis which began in July 1997 in the East Asian countries and regions, Thailand, Indonesia, Malaysia, Hongkong and Korea, has had devastating effects on their economies. As consequence of the financial crisis, the East Asian countries and regions have gradually realized the fact that the precondition for economic stability and economic growth is to build a robust financial regime. Now every countries and regions have realized the harm of the contagion of financial crisis and have made a point of developing a "financial architecture" that makes countries less crisis prone and susceptible to contagion.
    
     Now economists are producing a growing volume of research on the "new" subject of contagion. The purpose of this dissertation is to examine statistically significance of the contagion in Asian crisis and to make some advice to keep away and deal with the contagion effect of financial crisis. In this paper, we use daily stock market data for 17 countries and regions to analyze the behavior of contagion by directly investigating changes in the existence and the directions of causality, and introduce a test that is based on a regression model that differentiates between mean contagion and volatility contagion in asymmetric way. For the Asian crisis, we find evidence for new and changed causality patterns and mean and volatility contagion on a global level.
    
     This dissertation is organized as follows: In Chapter One we introduce the literature review on the current state of the debate on contagion. In Chapter Two we discusses the ways in detail that have employed in the paper to identify contagion and show the resource of data in detail. In Chapter Three and In Chapter Four we report empirical results for Asian crisis. In particular, we apply a Granger-causality methodology and mean and volatility contagion model. In Chapter Five we introduce some measures to deal with the contagion of financial crisis and make some suggest about how to keep away and deal with the financial crisis in China.
    
     The major contributions of this dissertation are: (1) We introduce the Asymmetric mean and volatility contagion model to identify the contagion of financial crisis. (2) We divide the data into three parts and revise the EGARCH model in order to improve the capacity to identify the contagion. (3) Aiming at the character and the harm of the contagion of financial crisis, we make some suggests about how to keep away and deal with the contagion of financial crisis.
    
    
    Keywords: Financial Crisis, Contagion, Volatility Contagion
        
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