金融不稳定假说的危机解释力与随机微观模型

发布时间：2018-01-12 19:19

本文关键词：金融不稳定假说的危机解释力与随机微观模型　出处：《暨南大学》2012年硕士论文　论文类型：学位论文

【摘要】：本论文以分析金融危机爆发原因为导向，以海曼·明斯基的金融不稳定假说为理论基础，主要进行了以下研究工作：首先，在简述金融不稳定假说相关思想来源及其发展基础上，比较详细地分析了金融不稳定假说解释几次典型金融危机的能力及其局限性；其次，利用企业异质资本结构的微观基础模型，建立微观金融变量和总体经济绩效之间的联系，，说明了金融危机产生的原因，并探讨了金融部门冲击影响实体经济的传导机制。本文根据海曼·明斯基的基于融资关系企业分类法，将企业分为对冲型、投机型和庞氏型三类，并通过融资关系将企业和产品市场与投资者和资本市场联系起来，建立随机动态方程对企业状态和资本的演化过程进行了随机动态分析，从金融系统内部和随机微观角度分析了金融危机发生的根本原因，并揭示了金融部门冲击影响实体经济的传导机制。理论模型和分析结果显示：在经济系统中，不同投资者对利润的期望会导致企业在对冲型、投机型和庞氏型三种不同的融资状态中相互转换，而这三种不同类型的企业所占比重直接决定了金融体系稳定与否。当经济系统中对冲型企业比重较大时，金融系统是比较稳定的；当投机型企业和庞氏型企业所占比重逐渐增加时，金融系统会越来越不稳定，当这种不稳定性积累到一定程度时便会爆发金融危机。最后，结合我国经济金融发展情况，提出了可能有效的金融系统稳定政策和建议。
[Abstract]:This thesis is guided by the analysis of the causes of the financial crisis, and based on Heman Minsky's hypothesis of financial instability, the following research work has been carried out: Firstly, on the basis of brief introduction of the origin and development of financial instability hypothesis, this paper analyzes in detail the ability and limitation of financial instability hypothesis to explain several typical financial crises. Secondly, the relationship between micro-financial variables and overall economic performance is established by using the micro-basic model of enterprise heterogeneous capital structure, which explains the causes of the financial crisis. The transmission mechanism of the impact of financial sector impact on the real economy is also discussed. In this paper, according to Hyman Minsky's classification of firms based on financing relationships, firms are classified into three types: hedging, speculative and Ponzi. Through financing relationship, the enterprise and product market are connected with investors and capital market, and the stochastic dynamic equation is established to analyze the evolution process of enterprise state and capital. This paper analyzes the root causes of the financial crisis from the perspective of the internal and random microcosmic of the financial system, and reveals the transmission mechanism of the impact of the financial sector shock on the real economy. The theoretical model and analysis results show that: in the economic system, different investors' expectation of profit will lead to the transformation of enterprises in three different financing states: hedge, speculation and Ponzi. The proportion of these three different types of enterprises directly determines the stability of the financial system. When the proportion of hedge enterprises in the economic system is large, the financial system is relatively stable; When the proportion of speculative enterprises and Ponzi enterprises increases gradually, the financial system will become more and more unstable, and when the instability accumulates to a certain extent, the financial crisis will break out. Finally, according to the economic and financial development of our country, the paper puts forward some possible and effective policies and suggestions for the stability of the financial system.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830;F224

【参考文献】