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本文将隐Markov链对波动性和相关性的驱动分析引入DCC多元GARCH,对波动和相关分析建立起了直接的联系,进而考察次贷危机、欧洲债务危机在主要证券市场间的传染性。研究发现,高波动高相关机制为联动性提供了一种直接的表述方式,且这一机制在危机期间处于支配地位;次贷危机、欧洲债务危机具有传染性,传染期以区间的形式出现,且危机初期的市场在各机制间有较为频繁的转换,不可根据危机事件对样本进行武断地分割;同时,危机的传染在所考察的市场之间具有系统性,应对危机需要各国政策间的协调配合;另外,有证据显示美国次贷市场在2006年年中已显现出问题,有关国家贻误了深入分析和应对危机的时机。
This paper introduces the driving analysis of volatility and correlation of Hidden Markov chain into DCC multivariate GARCH. It establishes a direct relationship between volatility and correlation analysis, and then examines the subprime mortgage crisis and the contagion of European debt crisis among major securities markets. The study found that the high volatility and high correlation mechanism provides a direct way for the linkage, and this mechanism dominates during the crisis; subprime mortgage crisis, the European debt crisis contagious, contagion period in the form of interval, In the early stage of the crisis, there is a more frequent transition between the various mechanisms, and the sample can not be arbitrarily segmented according to the crisis events. At the same time, the contagion of crises is systematic among the markets examined, and the response to crises requires coordination among different countries In addition, there is evidence that the U.S. subprime market has shown problems in mid-2006 and that the countries concerned have been delaying the opportunity of in-depth analysis and response to the crisis.