虚拟经济系统性风险形成机理分析

发布时间：2018-01-18 07:06

本文关键词：虚拟经济系统性风险形成机理分析　出处：《江西财经大学》2012年博士论文　论文类型：学位论文

【摘要】：美国次贷危机引发全球经济危机,使全球经济面临二十世纪30年代经济大萧条以来最严重的大衰退。深入审视1997年的亚洲金融危机和2007年的美国次贷危机等诸多历史案例,我们发现,宏观经济大幅波动的根源不再是实体经济系统,而是资产市场,其最重要的表现是资产价格的大幅波动。全文抓住资产价格波动这一关键,从宏观视角和微观视角两个角度建立模型,把理论分析与历史案例相结合,深入研究虚拟经济系统性风险形成机理。本文首先全面梳理了国内外对虚拟资本、虚拟经济以及系统性风险的研究成果,然后对虚拟经济系统性风险进行了定义。综合现有研究成果可以发现,不管是从宏观视角还是从微观视角,资产价格波动在虚拟经济系统性风险形成机理研究中占据十分重要的位置。本文正是遵循这一思路对已有虚拟经济系统性风险产生原因的文献进行了全面综述。本文基于宏观视角,通过逐步拓展,分别构建了厂商和家庭的二部门模型,厂商、家庭和虚拟经济的三部门模型,厂商、家庭、虚拟经济和政府的四部门模型以及厂商、家庭、虚拟经济、政府和国外部门存在的完备的五部门模型。在模型构建过程中,逐步讨论各部门货币收入和货币支出的流动,从货币量值衡量的剑桥增长公式出发,将虚拟经济与实体经济纳入统一的宏观经济框架,推导厂商、家庭、虚拟经济、政府和国外部门的一般均衡的表达式,提出资产价格波动与虚拟经济系统性风险形成机理理论分析的宏观视角。宏观视角的进一步分析,主要从资产价格和模型外生变量都既定不变、资产价格变动而模型外生变量既定不变,以及资产价格与模型外生变量都发生变动三种情况进行深入讨论。(1)虚拟经济规模远远超过实体经济规模时,只有当实体资本利率与虚拟资本收益率与货币市场利率同时相等才能实现宏观经济均衡与稳态。这是Wicksell现代宏观经济均衡与稳态理论在经济虚拟化条件下的新发展。(2)模型外生变量既定不变情况下,宏观经济利润率处于上升或下降阶段,利润率变化的事实和预期引起资产价格波动,进而资产价格波动影响虚拟经济系统性风险的形成。结论是,厂商资产价格上涨与厂商利润、厂商资产价值和厂商贷款需求之间的正反馈作用机制,使得在经济利润率上升阶段,资产价格上涨具有持续性,并促成虚拟经济系统性风险的持续累积；资产价格下跌不具有持续性,但能够阶段性地使虚拟经济系统性风险得到释放。在经济利润率下降阶段,资产价格上涨难以持久,系统性风险可能随时来临,资产价格下跌超过一定幅度将引起系统性风险爆发。(3)当模型外生变量可变时,外生变量变化对虚拟经济系统性风险形成产生影响。银行资产价值存量、银行利润与银行存款准备金率变动呈反向相关。在资产价格上涨阶段,提高银行存款准备金率有利于抑制资产价格上涨,下调银行存款准备金率将促进资产价格上涨；在资产价格下跌阶段,提高银行存款准备金率将加速银行资产价格下跌,下调银行存款准备金率有利于缓解银行资产价格下跌。理论上贷款利率的变动与资产价格波动存在负相关的关系。贷款利率提高,资产价格下跌,贷款利率降低,资产价格上涨。存款利率变动对虚拟经济系统性风险影响不明显。资产抵押率对虚拟经济系统性风险形成的影响非常明显,上调资产抵押率能够直接有效抑制资产价格的上升,下调资产抵押率则能直接有效的缓解资产价格的下跌。本币汇率上升引起本国资产价格上涨和本币汇率的提高,造成系统性风险逐步累积,本币汇率下降导致该国资产价格下跌,进而加剧该国虚拟经济系统性风险。税收、政府转移支付和政府救助等方式同样会对虚拟经济系统性风险形成产生影响。虽然虚拟经济系统性风险的爆发表现出来的是宏观现象,但是虚拟经济系统性风险的累积却不仅仅是因为宏观层面的原因,虚拟经济系统微观主体的状况、心理和行为特征同样是其根本而重要的因素。作为虚拟经济系统中最为关键的构成要素——投资者,是各资产市场诸要素的核心。本文进一步从行为金融的微观视角入手,阐述虚拟资产价格形成及投资者行为变化导致虚拟资产价格波动从而导致虚拟经济系统性风险的形成机理。本文最后回顾了历史上发生的法国密西西比股市、南海股票泡沫、二十世纪30年代世界经济大萧条、亚洲金融危机以及美国次贷危机引发的全球经济大衰退等重大虚拟经济系统性危机事件,为虚拟经济系统性风险研究作经验检验,力求做到历史与逻辑相统一、理论与实际相结合。
[Abstract]:The U.S. subprime mortgage crisis triggered a global economic crisis, the global economy is facing the most serious since the twentieth Century 30s economic depression of the great recession. The Asian financial crisis in 1997 and 2007, an in-depth look at the subprime mortgage crisis in the United States and many other historical cases, we found that the source of macroeconomic volatility is not the real economy system, but the performance of asset market. The most important is the asset prices fluctuation. The fluctuation of asset prices seize this key model from two angles of macroscopic and microcosmic perspectives, theoretical analysis and case history combining in-depth study of risk formation mechanism of fictitious economy system.
This paper firstly reviews the domestic and foreign research results of fictitious capital, fictitious economy and systemic risk, then define the virtual economic systemic risk. Existing research results can be found, whether it is from the macro perspective or from the micro perspective, asset price fluctuations in the virtual economic system risk formation occupies very important the position of mechanism research. This article is based on this thought summarizes reasons of risk existing virtual economic system of the literature.
Based on the macro perspective, by gradually expanding, the firm and family two sector model, construct three sector manufacturers, family and virtual economy model, vendor, family, the four sector and the government of the virtual economy model and vendor, family, virtual economy, five departments complete existing government and foreign sectors in the model. The model building process, gradually discuss the Department monetary income and the expenditure of money flow, measure the amount of money from the Cambridge growth formula, the virtual economy and real economy into a unified framework of macro economy, derived vendors, family, virtual economy, general equilibrium expression of government and foreign authorities, proposed asset price volatility the virtual economic and systemic risk formation mechanism from a macro perspective of theoretical analysis. Further analysis mainly from the macro perspective, the asset price model and the exogenous variable amount of fixed assets. While the model of exogenous variables fixed price changes, and asset price model and exogenous variables vary in three cases (1) were discussed. The scale of fictitious economy is far more than the size of the real economy, only when the real interest rate and capital return rate of fictitious capital and money market rates at the same time equal to achieve macroeconomic equilibrium and the steady state. Wicksell is a new development of modern macroeconomic equilibrium and steady state theory in fictitious economy conditions. (2) the model of exogenous variables established unchanged, macro economic profit margins rise or decline stage, profit rate change and is expected to cause asset price fluctuations, and thus the influence of asset price volatility to form virtual economy system risk. The conclusion is that firm asset prices and profit, the positive feedback mechanism between firm asset value and loan demand in the firm, Economic profit rate rise, asset price inflation is persistent, sustained accumulation of fictitious economy and contribute to systemic risk; asset prices is not persistent, but be able to periodically make virtual economy systemic risk to be released. In the economic profit margins decline, rising asset prices can not be sustained, systematic risk may at any time come, asset prices fell by more than a certain level will cause the outbreak of systemic risk. (3) when the model of exogenous variable variable, exogenous variable changes influence the formation of the virtual economy system risk. The bank asset value stock, bank profits is negatively related to bank deposit reserve rate changes. In the rising phase of asset prices, improve the bank the deposit reserve ratio to curb rising asset prices, bank lowered the deposit reserve ratio will promote asset prices in asset prices fall stage, Improve the bank deposit reserve rate will accelerate the bank asset prices, bank lowered the deposit reserve rate will help alleviate the bank asset prices. The theory of interest rate changes and asset price volatility has a negative correlation. The loan interest rates, asset prices, lower lending rates, rising asset prices. The deposit interest rate changes on the impact of fictitious economy systemic risk is not obvious. Assets mortgage rate is very obvious impact on the virtual economy systemic risk formation, rising up mortgage rate can directly inhibit asset prices, lower asset mortgage rate could directly reduce asset prices. Cause the national asset prices and currency exchange rate increase in currency, cause systemic risk is gradually accumulated, the currency exchange rate fell to the asset prices, thereby increasing the country's virtual economic system Unified risk, tax, government transfer payment and government assistance will also have an impact on the formation of systemic risk in virtual economies.
Although the virtual economy and the outbreak of systemic risk reflects the macroeconomic phenomenon, but the accumulation of fictitious economy system risk is not only because of the macro level, the fictitious economy system of micro main body status, psychological and behavioral characteristics is also the fundamental and important factors. As the virtual economic system is the key elements of the investors, is the core elements of the asset market. This paper further from the micro perspective of the financial behavior, the formation mechanism of virtual asset price volatility resulting in fictitious economy system risk caused on virtual asset price formation and investor behavior changes.
At the end of this paper, reviews the history of the French Mississippi stock market, South Sea bubble, in twentieth Century 30s the world recession, the Asian financial crisis and the U.S. subprime mortgage crisis triggered a global economic recession and other major economic crisis, virtual system, virtual test experience for research of risk economic system, and strive to achieve the unity of history and logic and the combination of theory and practice.

【学位授予单位】：江西财经大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F831.5;F224

【参考文献】