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基于变系数分位点回归的金砖四国金融稳定分析
Analysis of financial stability of BRIC countries based on varying coefficientsquantile regression model
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中文关键词  金融稳定性; 金砖四国; 分位数回归; 变系数分位数回归; 系统性冲击
英文关键词  financial stability; BRIC countries; quantile regression; varying coefficients quantile regression; systematic impact
基金项目  国家自然科学基金资助项目( 71671171; 71371007; 71631006)
学科分类代码  
作者单位E-mail
叶五一 中国科学技术大学管理学院,合肥230026 wyye@ustc.edu.cn 
肖丽华 中国科学技术大学管理学院,合肥230026  
缪柏其 中国科学技术大学管理学院,合肥230026  
中文摘要
      金融不稳定性累积到一定程度就会引发金融危机,而新兴市场作为世界经济发展的重要增长点,同时也是金融危机爆发的重灾区.因此,新兴市场金融稳定性的研究至关重要.本文基于新兴市场代表国家——金砖四国(中国,俄罗斯,印度,巴西)的主要综合股指对金融稳定性进行了实证研究.与传统金融稳定性的研究方法不同,本文考虑系统性冲击在正常和极端市场下对不同国家金融市场的影响.首先应用分位数回归模型对金砖四国的金融稳定性进行检验,进而基于变系数分位数模型研究系统性冲击对金融市场稳定性的影响随时间变化的趋势,对金融稳定性进行了时变分析.实证结果表明,金砖四国都具有某种程度的金融不稳定性,近期中国和巴西在5%分位点处的金融不稳定性受系统性冲击的影响相对于印度和俄罗斯更加剧烈.
英文摘要
      A crisis occurs when the financial instability is up to a certain degree. As the important growth point of global economic development,emerging markets suffered from the heavy blow of the financial crisis. Thus,it is imperative to study the financial stability of emerging markets. This paper mainly discusses the financial stability of the major stocks of BRIC countries ( China,Russia,India,Brazil) ,the representatives of the emerging markets. Different from the traditional methods in this field,this paper focuses on the influence of systemic shock on normal and extreme markets respectively. First,aquantile regression model is used to test the financial stability of the BRICs. Then a variable coefficient quantile model is proposed to study the timevarying trend of the impact that systematic shock has imposed on their financial stability. Also,a time-varying analysis is conducted subsequently. The empirical result shows that each of the BRICs has a certain degree of financial instability. China and Brazil suffers more severely from the systematic shock at the 5 percentages compared with India and Russia recently.
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