欧洲主权债务危机传染效应探讨 - 基于时变Copula和藤Copula措施Contagion effects of the European sovereign debt crisis -- Based on the time varying Copula and Copula methods 摘要:（摘要内容经过系统自动伪原创处理以避免复制，西班牙语论文，西语论文题目，下载原文正常，内容请直接查看目录。） 2017年10月份,跟着希腊债权成绩浮出水面,欧元区多个国度的财务成绩接踵迸发,个中欧元区的“欧洲四国”(希腊、葡萄牙、西班牙、意年夜利)尤其严重。2017年,在欧债危机稍稍停息年夜半年以后,塞浦路斯一石激起千层浪,再度让欧债危机的神经绷紧。欧元区国度主权债权危机的产生能够是因为本国财务政策等缘由招致,也能够是因为危机沾染而至,所以检测能否存在危机沾染效应对于这些国度制订对策,掌握并加重沾染效应,实行有用的危机治理非常主要。本文针对“欧洲四国”(希腊、葡萄牙、西班牙、意年夜利)间能否存在危机沾染效应停止研究。本文框架重要由四部门组成,第一部门论述论文研究的配景、现状,提出本文研究的相干成绩,并说明了论文研究的实际和现实意义。第二部门概述了金融危机沾染效应与磨练办法。第三部门引见了基于半参数边沿散布模子的时变COpula构建,分离解释了非参数核密度估量、COpula函数和时变COpula函数等相干实际常识,最初给出基于时变COpula函数的实证剖析。第四部门引见了藤Copula模子的实际常识,并基于第三部门的剖析成果,采取藤Copula办法分段估量出了多元变量间的相依构造,摸索欧洲四国的债权危机沾染效应。本文以欧洲四国(希腊、葡萄牙、西班牙、意年夜利)的10年期国债收益率为研究对象,起首采取非参数核密度估量ML办法分离估量了六类静态Copula函数和四类时变Copula函数模子,并经由过程拟合优度磨练得出,采取时变SJC Copula函数描写变量间的相依构造最为精确。其次经由过程时变SJC Copula函数估量的时变相干系数和BP变点构造检测发明,希腊与意年夜利之间存在着债权危机沾染效应；希腊与葡萄牙、西班牙之间不存在明显的危机沾染效应；葡萄牙与西班牙、意年夜利之间存在明显的危机沾染效应。最初在以上的剖析成果上,把国债收益序列分红四段,采取藤Copula模子对欧洲四国国债收益序列分段建模,研究高维的相依构造,并经由过程相依构造的变更对危机沾染效应停止磨练。成果显示在希腊迸发债权危机的条件下,希腊零丁对意年夜利的债权危机沾染作用无限,然则在葡萄牙和西班牙也迸发债权危机的情形下,希腊和意年夜利之间存在明显的危机沾染效应。该结论解释了多元相依的剖析更切近于现实,可以更周全地描绘危机沾染效应。本文的结论对分歧的国度选择公道的救助计划和政策干涉手腕有必定的参考价值。 Abstract: In October 2017, followed by the Greek debt problems surfaced, burst out of the euro zone countries financial results in succession, medium of the euro zone's "four European countries" (Greece, Portugal, Spain, Italy) is particularly serious. 2017, the debt crisis in Europe after a little rest, the first half of the year, Cyprus, a stone to stir up waves, once again let the European debt crisis nervous tension. The sovereign debt crisis in the euro area is due to the national financial policy and other reasons, but also because of the crisis, so the detection of the existence of crisis and the effect of these countries to formulate measures to control and increase the contamination effect, the implementation of useful risk control is very important. This paper is aimed at the existence of the crisis of the European countries (Greece, Portugal, Spain, Italy), the effect of the crisis is not the effect of the study. This paper is composed of four parts. The first part discusses the background and the present situation of the research, and puts forward the relevant results of this thesis, and illustrates the practical and practical significance of the thesis. The second section summarizes the effect of the financial crisis and the test method. In the third section, we introduce the time variant COpula construction based on semi parametric edge distribution model, and explain the relevant practical common sense of non parametric kernel density estimation, COpula function and COpula function. The fourth section introduces the practical knowledge of the Copula model, and based on the analysis results of the third departments, take the Copula method to measure the dependence structure of the multiple variables, and explore the effect of the European countries' debt crisis. This paper in four European countries (Greece, Portugal, Spain, Italy) the 10-year Treasury yield rate as the research object, first of all take non parametric kernel density estimate ml separated to measure the six static copula function and four class variable copula model, and through the process of fitting goodness hone that, when taken variable SJC copula function description variables between the dependence structure is the most accurate. Then by process variable SJC copula function to measure the variable coherence coefficient and BP constructed point detection method, between Greece and Italy there debt crisis contamination effect; there is no obvious crisis contamination effect between Greece and Portugal, Spain; apparent crisis contamination effect exists between Portugal and Spain teeth, Italy. At the beginning of the above analysis results, the bond yield of four segments, to take the Copula model of the European countries of the four European countries bond yields sequence modeling, study the high dimension of the structure, and through the process of change in the structure of the crisis. Results show in Greece burst debt crisis conditions, the influence of Greek individually on Italian debt crisis contamination infinite, however in Portugal and Spain also burst debt crisis situations, there is a obvious crisis contamination effect between Greece and Italy. This conclusion explains that the analysis of the multivariate dependence is closer to the reality, and it can describe the effect of the crisis. The conclusion of this paper has certain reference value for choosing reasonable rescue plan and policy intervention in different countries. 目录: |
