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文章主要研究欧洲信用衍生产品CDO(Collateralized Debt Obligation,担保债务凭证)的发行对金融市场稳定性的影响。文章对CDO的发行量、市场波动率及欧洲6月期无风险利率与金融市场稳定性的关系采用联合极值的方法,建立泊松计数模型,并做实证分析,结果显示:金融中介之间的联动效应会增加金融市场的系统性风险;CDO发行量仅与负的联合极值显著正相关,表明CDO发行量越大对金融稳定性冲击越大。CDO发行量与正的联合极值不相关,说明CDO对银行进行风险管理的积极作用有限。此外,信息不对称程度及无风险利率也会对金融市场的稳定性产生影响。
Abstract：This paper analyzes the impact of European credit derivatives CDO(Collateralized Debt Obligation) issuance on the financial market stability.This paper studies the relationship between CDO issuance volume,market volatility,Europe 6-months risk-free interest rate and the stability of financial market with the co-exceedances method and the Poisson Count model.We find that the linkage effect of the intermediation between financial institutions increases the systemic risk in the financial market;CDO issuance is only positively related to the negative coexceedances,suggesting that the greater amount of CDO issuance,the greater impact on financial stability.CDO issuance is not related to the positive coexceedances,indicating that the role of banks in CDO risk management is limited.In addition,the asymmetric information and risk-free interest rate also affect the stability of financial market.
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基本信息:
DOI：10.14134/j.cnki.cn33-1336/f.2012.02.006
中图分类号:F831.5;F224
引用信息:
[1]杨星,钟玉琴.信用衍生品CDO对金融市场稳定性的影响研究[J].商业经济与管理,2012,No.244(02):67-75.DOI:10.14134/j.cnki.cn33-1336/f.2012.02.006.
基金信息:
国家社会科学基金项目“国际信用衍生品市场交易对手关联违约、流动性冲击与信用违约互换风险估值研究”(11BGJ013)
2012-02-15
2012-02-15