金融傳染與政府刺激方案-以後次貸危機為例

Abstract

本論文以次貸危機的各個不同階段來探討金融傳染效果，過去文獻主要探討次貸危機期間是否存在傳染效果。但本論文認為，應進一步分析傳染效果於哪段期間最為明顯。另外本論文加入美國政府相繼實施的政府政策期間，來探討於政府政策期間金融產業對於其他實體經濟產業具有傳染效果。過去文獻普遍聚焦於國家間的蔓延效果，僅少數論文探討金融產業對其他實體經濟產業是否會產生傳染效果，也未有文章探討政府政策期間金融產業對其他產業之影響。本論文藉由將次貸危機期間的分割及加入政策期間因素探討傳染效果，而發現於次貸危機前與金融市場劇烈衰退期具有顯著的傳染效果，而次貸危機前期與劇烈衰退期後不具有金融傳染效果。在政策期間分析上，唯緊急經濟穩定法案初期、第二次量化寬鬆政策和扭轉操作政策期間具有傳染效果，而緊急經濟穩定法案後期及第一次量化寬鬆政策期間並無傳染效果。

This paper tests the spread of Subprime crisis of 2007-2009 from financial sector to the real economic sectors by examining ten sectors in the US stock market. We also test whether there was contagion effect from financial sector to the real economic sectors in the different government stimulus policies. This study tests different channels of financial contagion across sectors and finds that the crisis led to an increased co-movement of returns between financial sector and ten real economic sectors. The results show that no sector can avoid the effects of the crisis during the sharp financial market deterioration. And the results also demonstrate that no financial contagion to the real economic sector in the period of Emergency Economic Stabilization Act and QE1 policy, but in the period of QE2 policy and Operating twist policy.