摘要
金融加速器理论认为,由于存在着摩擦成本,金融市场的波动可能是非对称的,体现为相对于"扩张"金融市场状态,"紧缩"金融市场状态下冲击的波动更加剧烈,由此产生加速效应。本文采用向量自回归模型系列对次贷危机期间S&P500股指期货市场波动状态进行了计量检验,验证了其非对称波动的金融加速器效应,揭示了股指期货市场与股票现货市场之间的风险衍生机制,旨在为我国沪深300指数期货交易的风险防范提供借鉴。
The financial accelerator theory suggests that the volatility of financial market may be asymmetrical because of the friction cost,with the reflection of more dramatic volatility in tight financial market than in expansive financial market under financial shock,thus initiates the financial accelerator effect.In the econometric framework of vector auto-regression model series,this paper analyzes the volatility of the SP 500 stock index futures market during the sub-prime crisis and verifies its asymmetrical financial accelerator effect,which consequently reveals the derivative mechanism of risks between the stock spot market and its index futures market.This paper is to provide reference for risk prevention of China＇s CSI 300 index futures trading.
出处
《上海金融》
CSSCI
北大核心
2010年第4期5-8,共4页
Shanghai Finance
基金
国家社科基金重点项目的阶段性成果(项目批准号:07AJY014)
关键词
股指期货市场
股票现货市场
金融加速器
Stock Index Futures Market
Stock Spot Market
Financial Accelerator
