唧唧堂编辑二朵2014-05-15 6:35 PM

金融危机时期的市场蔓延:政权切换方法 Markets contagion during financial crisis: A regime-switching approach

论文摘要 

利用马尔可夫区制转换VAR模型,我们调查了包含市场遭遇体制转变时最近期金融危机时期内股市,房地产市场,信贷违约市场和能源市场的蔓延效应。结果表明制度的分水岭大约出现在2007年次贷危机初始阶段,在此之后,“冒险”制度掌控了市场混乱的演变。在金融危机期间,除自身冲击外,股市震荡和石油价格冲击分别是信用违约市场和股市变化背后的主要驱动力。比起来自住房和信贷市场的冲击,能源市场也似乎对股市走势更敏感。不过信贷违约市场对房地产市场的影响不如预期中显著。

Abstract 

Within a Markov regime-switching VAR framework, we investigate the contagion effects among the stock market, real estate market, credit default market, and energy market covering the most recent financial crisis period when markets experience regime shifts. The results demonstrate that the watershed of regimes occurs around the start of the subprime crisis in 2007, after which the “risky” regime dominates the evolution of market chaos. During the financial crisis, excluding their own shocks, stock market shock and oil price shock are the main driving forces behind the credit default market and stock market variations, respectively. The energy market also appears to be more responsive to the stock market movements than the shocks originating from housing and credit markets. However, the impacts from the credit default market on the real estate market are not significant as expected.

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