中美两国汇市、股市和货币市场间溢出效应对比研究

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1、论文题目：中美两国汇市、股市和货币市场间溢出效应对比研究学科专业：金融学（专业硕士）学位申请人：蒙成指导教师：岳荣先摘要随着美国经济逐步回暖，美元逐步开始走强，人民币金融市场因而受到了比以往更多的冲击。同时，随着中美两国领导人的会晤以及中美经济合作和经济往来的日益密切，两国市场间的联动现象也日趋频繁。本文使用中美两国共六个主要金融市场的对数收益率数据，构建VAR-GARCH-BEKK模型以分析不同条件环境下市场间的溢出效应。对比分析VAR均值方程和GARCH-BEKK方差方程的参数估计结果，对于中国金融市场，较之单一国内环境的条件下的市场间溢出效应，处于中美两国环境下时，中国的股票

2、市场是波动溢出效应的重要接收者，人民币美元汇率市场在这一环境下扮演了重要的风险“灯塔”作用，美元货币市场对中国金融市场的波动溢出效应占比大，且美元股票市场也是一个重要的溢出效应源头。因此，相关金融市场的投资参与者以及相关政策法规和风险防范措施的制定者应根据溢出效应关系的特点，针对性进行调整和防范，实施有差别的政策措施，合理调控，降低风险损失，稳定市场。关键词：金融市场；溢出效应关系；VAR-GARCH-BEKK模型论文类型：学术论文IAbstractTheAmericandollarhasgraduallybecomestrongerwiththeeconomicrecoveryh

3、appenedintheUSAandconsequently,CNYfinancialmarketsbecomefluctuatemoreandmorefrequentlywiththistrendofUSdollar.Besides,aftertheleaders'meetingbetweenTrumpandXi,ithasreasonstobelievethateconomiccooperationanddisputeswillalsoturnintoacloserandmorecomplicatedenvironmentinthefuture.Inthepastdecade,

4、itwasobservedthattheinteractionsbetweenChinafinancialmarketsandUSfinancialmarketsincreasedespeciallyaftertheCrisisin2008andalsotheshakeinChineseShanghaiStockMarketwhichwasmainlycausedbyUScapitalshockandflow.ThispaperchoosesdatafromsixmajorfinancialmarketsinUSandPRCtobuildtheVAR-GARCH-BEKKmodel

5、,whichisdesignedtoanalysethespillovereffectrelationshipsamongdifferentmarkets.Bycomparingresultsfromdifferentmodelsettings,thespillovereffectrelationsshowmanyobviousdifferences.Themainresultisthatinabilateraltradesetting,theexchangemarketplaysamorevitalroleasa'lighthouse'topredicttheriskshockf

6、romeachother,mainlyfromUStoPRC.AndUScapitalmarketmakesastrongvolatilityspillovereffectonallChinesefinancialmarketsaswellastheUSstockmarket.Thenwesuggestthatparticipantsandfinancialregulatorsinthosefinancialmarketshouldtakespecificmeasures,lawsandregulationsaccordingtofeaturesofspecificspillove

7、reffectrelationships,improvetheirriskcontrolabilityandfinallyreducethelossandkeepmarketsoperatingstably.Keywords：FinancialMarkets；SpilloverEffectRelationship;VAR-GARCH-BEKKModelII目录摘要.....................................................