基于局部相关系数的美国次贷危机传染分析  

Analysis of Sub-prime Loan Crisis Contagion of United States Based on Local Correlation

作　　者：叶五一[1] 李飞[1] 缪柏其[1] 

机构地区：[1]中国科学技术大学管理学院统计与金融系,安徽合肥230026

出　　处：《数理统计与管理》2016年第3期525-535,共11页Journal of Applied Statistics and Management

基　　金：国家自然科学基金青年面上连续项目(71371007);国家自然科学基金面上项目(71172214);高等学校博士学科点专项科研基金(20103402120010)

摘　　要：全球经济金融一体化的不断深入使得全球性的金融危机频频爆发。因此,金融危机传染的分析与检验便变得十分重要。本文首先运用非参数回归模型,通过局部多项式方法对股指收益率之间的局部相关系数进行估计,并在不同的置信水平下对局部相关系数的变化进行假设检验,通过定量地判断局部相关系数是否突然增大来检验危机传染的存在性,同时简单地刻画了危机传染的程度,并且指出了危机传染的具体时间段。最后应用上述方法对美国次债危机在各个国家或地区之间的传染效应进行了实证检验,证实了本文给出的检验方法的可行性,并得到了一些有意义的结论。As global economic and financial integration has been increasing, financial crisis occurred more frequently, the testing of financial contagion becomes more and more important and popular. In this paper, Local correlation is used to examine financial contagion, which is estimated by local polynomial method based on nonparametric regression model. Hypothesis tests for financial contagion at different confidence levels are given and the degree of financial contagion is measured. The time when financial contagion starts and ends also is determined. Finally, an empirical analysis of sub-prime loan crisis contagion between the USA and six primary countries are presented by the method above, which verifies the feasibility of our methods, and some meaningful conclusions are also obtained.

关 键 词：金融危机传染 次债危机 局部多项式方法 局部相关系数 

分 类 号：O212[理学—概率论与数理统计]