次贷、欧债危机的传染效应检验以及预防分析

The global financial crisis happened frequently, especially the recent subprime mortgage crisis and the debt crisis, and the reasearch of financial crisis contagion testing and prevention became very important. Based on youth project, this project considers the dependent risk as the main line, and from the angle of risk dependence, test he financial contagion phenomenon of sub-prime crisis and Europe debt crisis. Following the idea survival analysis, the change point detection methods of hazard rate model and SCAN statistic are used to analyze the phenomenon that return symbols are same between two countries, and test the financial contagion effect. In order to analyze contagion effect of several countries at the same time affected by the source country, this project puts forward the concept of regional financial crisis contagion, and apply vine Copula and panel quantile regression model to test the financial crisis contagion effect and the measure the contagion degree. Directed acyclic graph method is used to analyze the causal relationships among stock index returns of several main countries, and present suggestions for our country to prevent financial crisis from the country's economic system and policy that were not affected by the crisis. Aimed to achieve high academic value and practical value, this project tries to provide some new testing methods of financial contagion, and puts forward corresponding suggestions considering the actual situation of China.

全球金融危机频繁发生，尤其是近期次贷危机与欧债危机的爆发，金融危机传染的检验及预防成了非常重要的研究课题。本项目在青年项目的研究基础上，继续以相依风险为主线，从风险相依的角度对次贷、欧债危机的金融传染现象进行研究。借鉴生存分析思想，应用危险率变点检测方法、SCAN统计量分析国家之间收益率符号一致的现象，并对金融传染效应进行检验。为了同时分析几个国家受传染源国家的影响，提出区域金融危机传染的概念，并应用藤Copula、面板分位点回归模型等方法进行分析，检验金融危机对世界主要国家的传染效应，并对传染程度进行度量。应用有向无环图分析方法分析几个主要国家股指收益率之间的因果关系，对危机传染的途径和原因进行分析和总结，借鉴未受传染国家的经济体系与政策，为我国预防金融危机传染提出建议。本项目力图提供金融传染领域一些新的研究方法，并结合中国实际情况给出相应的建议，以求达到较高的学术价值以及实际应用价值。

金融危机传染分析是国际金融领域中的重要课题, 本项目对美国次贷危机的金融传染检验、金融市场之间的相依关系等进行了深入的研究。主要研究成果包括如下几个方面：1. 金融危机传染检验的相关研究。具体研究成果包括：构建了时变分位点相协回归模型，并进行了金融危机传染检验；构建了马尔科夫机制转换分位点回归模型，在给出极大似然估计的基础上对次贷危机的传染效应进行了检验；基于复杂社会网络模型对危机传染进行了检验；基于动态Copula类模型刻画了市场之间的相依结构，并进行了金融传染检验。2. 金融市场之间的相依结构分析。具体研究成果包括：基于分位点相协回归模型研究了石油市场和外汇市场之间相依关系，并给出了相应的政策建议；基于动态因子Copula模型研究了行业的系统性风险；基于MV-CAViaR模型描述了石油市场和外汇市场之间的联动关系。3. 金融市场风险度量与相依结构分析。具体研究成果包括：基于高频数据的连涨连跌收益率相依结构的构建以及金融风险度量；基于高频分笔数据计算交易量持续期，并对其自相依结构以及DaR进行了估计；交易量的PIN与日收益率之间相依结构的刻画以及CVaR的估计。上述研究成果分别发表在European Journal of Operational Research、Insurance: Mathematics and Economics、Annals of Operations Research、Discrete Dynamics in Nature and Society、International Journal of Production Research、Applied Economics Letters、管理科学学报、中国管理科学、系统工程学报等国内外重要期刊上。