本文選題：非線性動力學(xué) + 金融危機傳染�。� 參考：《哈爾濱工業(yè)大學(xué)》2014年碩士論文

【摘要】：20世紀(jì)90年代以來，頻繁爆發(fā)的金融危機引起研究人員的廣泛關(guān)注。這些危機都是在一個國家首先爆發(fā)，進而通過貿(mào)易、金融和預(yù)期等渠道傳染到其他國家，對被傳染國家和地區(qū)的金融市場和實體經(jīng)濟都造成了不可逆轉(zhuǎn)的危害。歷次金融危機的傳染表現(xiàn)出強烈的系統(tǒng)性、復(fù)雜性和非線性特征，而傳統(tǒng)的金融危機傳染理論無法正確剖析金融危機傳染期間的非線性特征。因此，本文嘗試通過非線性動力學(xué)系統(tǒng)理論對金融危機傳染進行研究，以此來刻畫金融危機傳染的非線性機制，以期在經(jīng)濟一體化、金融自由化的背景下，為我國的金融危機預(yù)警體系的建立提供合理化建議，維持金融體系的穩(wěn)定。 首先，本文從金融危機傳染的理論、實證研究和非線性動力學(xué)在金融方面的應(yīng)用兩個方面綜述該領(lǐng)域的國內(nèi)外研究現(xiàn)狀，然后介紹了基于非線性動力學(xué)時間序列預(yù)測的基礎(chǔ)理論。在此基礎(chǔ)上，，文本建立了基于非線性動力學(xué)的金融危機傳染模型。將最大Lyapunov指數(shù)和非線性相互預(yù)測測度引入Bai和Perron的內(nèi)生結(jié)構(gòu)突變模型，構(gòu)建了基于最大Lyapunov指數(shù)的傳染源內(nèi)生結(jié)構(gòu)突變模型以及基于非線性相互依賴性的金融危機傳染內(nèi)生結(jié)構(gòu)突變模型。 然后，本文采用改進的基于最大Lyapunov指數(shù)的傳染源內(nèi)生結(jié)構(gòu)突變模型對2008年金融危機期間傳染源國家——美國的非線性動力學(xué)狀態(tài)的變化進行實證分析。在仿真實驗的基礎(chǔ)上運用SP500股票指數(shù)數(shù)據(jù)進行實證分析，找到了金融危機每個時期的時間節(jié)點，對金融危機各階段進行了劃分與解釋；比較了本文與采用Bai和Perron的內(nèi)生結(jié)構(gòu)模型的實證結(jié)果；分析了金融危機各階段的非線性動力學(xué)特征的變化。 最后，本文采用改進的基于非線性相互依賴性的金融危機傳染內(nèi)生結(jié)構(gòu)突變模型分析2008年全球金融危機期間美國等10國（或地區(qū)）金融市場之間非線性相互依賴性的變動情況。首先采用Bai和Perron的內(nèi)生結(jié)構(gòu)突變模型對2008年金融危機數(shù)據(jù)進行驗證分析。然后分別采用原始的非線性相互預(yù)測測度和基于非線性相互依賴性的金融危機傳染內(nèi)生結(jié)構(gòu)突變模型對美國向其他9個被傳染國家傳染的方向、時間和強度進行分析。并在此基礎(chǔ)上嘗試為我國對金融市場危機的應(yīng)對提供適用的工具及預(yù)警指標(biāo)。
[Abstract]:Since the 1990 s, frequent financial crises have aroused the attention of researchers. These crises are the first to break out in one country, and then spread to other countries through trade, finance and expectation channels, causing irreversible harm to the financial markets and real economy of the infected countries and regions. The contagion of previous financial crises shows strong systematic, complex and nonlinear characteristics, but the traditional theory of financial crisis contagion can not correctly analyze the nonlinear characteristics of financial crisis contagion. Therefore, this paper attempts to study the contagion of financial crisis through the theory of nonlinear dynamics system, in order to describe the nonlinear mechanism of contagion of financial crisis, in the context of economic integration and financial liberalization. To provide reasonable suggestions for the establishment of financial crisis warning system and to maintain the stability of financial system. First of all, this paper summarizes the domestic and foreign research status of financial crisis contagion theory, empirical research and the application of nonlinear dynamics in finance. Then the basic theory of time series prediction based on nonlinear dynamics is introduced. On this basis, the text establishes the financial crisis contagion model based on nonlinear dynamics. The maximum Lyapunov exponent and nonlinear mutual predictive measure are introduced into the endogenous structural catastrophe model of Bai and Perron. An endogenous structural mutation model based on the maximum Lyapunov index and a nonlinear interdependency model for the endogenous structural mutation of the source of infection were constructed. Then, an improved model based on the largest Lyapunov exponent is used to analyze the change of nonlinear dynamics in the United States, the source country during the financial crisis in 2008. On the basis of the simulation experiment, the paper uses the SP500 stock index data to carry on the empirical analysis, has found the financial crisis each time node, has carried on the division and the explanation to the financial crisis each stage; The empirical results of this paper are compared with the endogenous structural models using Bai and Perron, and the changes of nonlinear dynamics characteristics in various stages of the financial crisis are analyzed. Finally, an improved financial crisis contagion endogenous structural catastrophe model based on nonlinear interdependence is used to analyze the nonlinear interdependence between the financial markets of the United States and other 10 countries (or regions) during the global financial crisis in 2008. Firstly, Bai and Perron's endogenous structural catastrophe model are used to verify and analyze the 2008 financial crisis data. Then we analyze the direction, time and intensity of the contagion from the United States to the other nine countries by using the original nonlinear mutual prediction measure and the endogenous structural catastrophe model of financial crisis contagion based on nonlinear interdependence. On this basis, it tries to provide applicable tools and early warning indicators for China's response to financial market crisis.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F830.9

【參考文獻】

相關(guān)期刊論文 前8條

1 王海燕,盛昭瀚,張進;多變量時間序列復(fù)雜系統(tǒng)的相空間重構(gòu)[J];東南大學(xué)學(xué)報(自然科學(xué)版);2003年01期

2 王佳;馬軍海;;基于復(fù)雜性原理的黃金市場價格分析及其應(yīng)用研究[J];復(fù)雜系統(tǒng)與復(fù)雜性科學(xué);2011年03期

3 楊柳勇;周強;;資產(chǎn)證券化與金融危機的國際傳染——一個理論模型及經(jīng)驗檢驗[J];國際金融研究;2012年12期

4 陳健;賈雋;;基于金融經(jīng)濟學(xué)的股票市場穩(wěn)定研究[J];經(jīng)營管理者;2013年23期

5 盧時光;;混沌意義下的金融風(fēng)險:定義與判斷依據(jù)[J];海南金融;2006年01期

6 寶音朝古拉;蘇木亞;趙洋;;基于VAR模型的東亞主要國家和地區(qū)金融危機傳染實證研究[J];金融理論與實踐;2013年03期

7 董秀良;曹鳳岐;;國內(nèi)外股市波動溢出效應(yīng)——基于多元GARCH模型的實證研究[J];數(shù)理統(tǒng)計與管理;2009年06期

8 黃飛鳴;;金融危機跨國傳染的實證檢驗——以美國金融危機為例[J];投資研究;2012年05期

相關(guān)博士學(xué)位論文 前1條

1 李U

本文編號：1868242