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Research on the Cross-market Risk from Capital Market Transmit to the Banking System and Supervision of the Banking System under the Sub-prime Mortgage Crisis

Author: WanZuoZuo
Tutor: HeYiQing
School: Nanchang University
Course: Management Science and Engineering
Keywords: Sub-prime mortgage crisis Cross market risk Contagion Early warning system Risk supervision
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 119
Quote: 0
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Abstract


The American sub-prime mortgage crisis has brought the 21st century’s biggest finance Tsunami to the global financial industry, its butterfly effect has affected various countries financial system. This dissertation has studied the infection way of the sub-prime mortgage crisis in USA, the route is loans crisis--inferior debt crisis--credit crisis--financial crisis--economic crisis, from the capital market to the banking system, from hypothesized economy to entity economy. As a emerging economy China also cannot escape by luck, what first affects is the stock market, our country’s negotiable securities market value shrinks seriously in 2008. Through a series of the measurement economical model, the writer used the VAR model, cointergration Test, the Granger causality test, the variance to decomposition, the impulse response function and the VEC model to carry out an empirical analysis in this dissertation. I obtain a conclusion that the finance risk of capital market will conduct to the bank system, and the stock market risk is the most main cross market infection risk. Thus, the variance decomposition analysis and the impulse response function’s result demonstrate that the stock market risk affect the bill market more serious while the stock market risk impact the loan market longer.To guard against the cross market finance risk, commercial bank should attention entire finance economic environment from macro economic first, then monitor the risk accumulation of price fluctuated finance product from the stock market, finally inspect the risk seepage of the self-management cross marketing functions from itself. Meanwhile, we should consummate the risk management system according to the commercial bank own risk supervision coordinate supervision organization and the market restraint.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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