当代美国金融危机的形成机理研究

发布时间：2018-04-08 08:35

  本文选题：当代美国金融危机　切入点：金融危机形成机理　出处：《南京大学》2012年博士论文

【摘要】：2007年爆发的当代美国金融危机及其引发的当代国际金融危机,对世界各国的经济发展造成了严重的冲击,至今世界各国经济尚未完全摆脱其阴影,更因美国主权信用评级下降和欧洲主权债务问题恶化,发达国家仍有进一步陷入衰退的可能。针对当代美国金融危机的爆发原因,理论界进行了多角度研究,但这些研究大多局限于定性分析,缺乏对当代美国金融危机的影响程度和爆发原因进行定量分析。本文认为在经济全球化背景下,准确刻画当代美国金融危机的影响程度,实证分析其爆发的决定性因素和深层次原因,有助于更好地研究当代美国金融危机的形成机理,并为中国加强金融安全提供有效的政策建议。本文首先界定不确定性、金融风险和金融危机的概念,分析它们的相互关系和演进过程,继而界定当代美国金融危机的相关概念。其次,从美国金融市场的不确定性出发,在分析次级抵押贷款风险的基础上,全景式地展现当代美国金融危机的爆发过程,及其对主要发达国家、主要发展中国家和全球金融格局的冲击。再次,在借鉴投机压力指数和外汇市场压力指数的基础上,本文构建金融危机压力指数以反映当代美国金融危机的影响程度,针对当代美国金融危机的小概率属性,进一步引入基于极值理论的Hill统计量确定金融危机压力指数的临界值,并将该临界值与峰度法和均值标准差法确定的临界值进行比较。基于文献研究法,本文还构建了分析当代美国金融危机爆发原因的指标体系,其中包括宏观经济运行指标、金融系统监测指标和资产价格泡沫指标。运用随机森林模型,本文实证分析指标的重要性,根据指标的重要性排名剖析当代美国金融危机爆发的决定性因素,并从经济制度层面、人文精神层面和技术创新层面分析当代美国金融危机爆发的深层次原因。研究表明:不确定性现象波动造成的损失为金融风险,金融风险的聚集与扩散导致金融危机,具体到当代美国金融危机,其爆发过程也满足以上演进过程;以金融危机压力指数反映当代美国金融危机的影响程度,Hill统计量和峰度法界定的金融危机压力指数均优于均值标准差法界定的临界值,其中Hill统计量界定的临界值最优,也是将当代美国金融危机表示为二元数值的判断依据;随机森林模型的实证结果表明,以房价指数变化率为代表的资产价格泡沫是引发当代美国金融危机的决定性因素,相比之下,宏观经济运行指标和金融系统监测指标的影响程度较小;资产价格泡沫产生的主要原因是美国的虚拟经济过度偏离实体经济,其在交易主体信用违约和金融市场资金流动的共同作用下最终破灭,并在美元经济下迅速蔓延至世界各国。通过对资产价格泡沫的进一步分析,本文指出资本主义制度的基本矛盾、社会道德和信用体系沦丧、金融创新过度是引发当代美国金融危机的深层次原因。基于研究结论所得的重要启示,本文结合现状,提出了相应的政策建议:提高对资产价格泡沫的监控力度、完善社会主义市场经济体制、加强社会主义精神文明建设和继续改进金融防火墙。
[Abstract]:The international financial crisis of contemporary American financial crisis in 2007 and its cause, caused a serious impact on the development of world economy, the world economy has not completely get rid of the shadow, because of the downgrade and the European sovereign debt problems worsen, developed countries still further into recession. The outbreak causes of the financial crisis in the United States today, the theory of the multi angle research, but these studies are mostly limited to qualitative analysis, lack of influence on the financial crisis in the United States and the cause of the outbreak of the quantitative analysis. This paper argues that under the background of economic globalization, the influence degree accurately portray the contemporary financial crisis in the United States, the empirical analysis and the deep reason the decisive factor in the outbreak, the formation mechanism is helpful to study the contemporary financial crisis of the United States, and to strengthen the financial China Provide effective policy recommendations. This paper firstly defines security uncertainty, financial risks and financial crisis, and analyze the relation between the evolution of the concept and definition of contemporary financial crisis in the United States. Secondly, from the perspective of financial market uncertainty, based on the analysis of subprime mortgage risk, panoramic view show the onset process of contemporary American financial crisis, and the major developed countries, major developing countries and the impact of the global financial structure. Again, in reference to the index of speculative pressure and the foreign exchange market pressure index on the basis of the construction of financial crisis pressure index to reflect the degree of influence of contemporary American financial crisis, the financial crisis in the United States for small probability attribute today, further introduced to determine the critical value of financial crisis pressure index Hill statistics based on extreme value theory, and the critical value And the standard deviation of the mean kurtosis method and comparison method to determine the critical value. Based on the literature research method, this paper constructs the index system to analyze the contemporary American financial crisis, including macroeconomic indicators, financial indicators and monitoring system of asset price bubble index. Using the random forest model, the empirical analysis of the importance index according to the analysis of the importance of indicators, ranking the decisive factors of contemporary American financial crisis, and the economic system level, level of humanity and technology innovation level analysis of deep-seated reasons for the contemporary American financial crisis. The study shows that the uncertainty of wave phenomena caused by the loss of financial risk, financial risk aggregation and diffusion caused the financial crisis specific to the outbreak of the financial crisis in the United States today, also meet the above evolution; the financial crisis pressure index reflects when Influence of generation of American financial crisis, the financial crisis pressure index definition Hill statistics and kurtosis method are better than the average standard deviation of the critical value method definition, which defines the optimal critical value of Hill statistics, is also the contemporary financial crisis in the United States said the judgment basis for two yuan value; empirical random forest model shows that, as the representative of the asset price bubbles in housing price index rate of change is the decisive factor, caused the contemporary financial crisis in the United States compared with less influence on macroeconomic indicators and the financial system monitoring index; the main reason of asset price bubbles is the virtual economy excessive deviation of the real economy, the interaction of flow in the main credit default and financial transactions market funds eventually burst, and the dollar economy quickly spread to countries around the world. The asset price bubbles into a Further analysis, this paper points out that the basic contradiction of the capitalist system, social credit system and moral turpitude, excessive financial innovation is the deep cause of the financial crisis in the United States. The conclusion of the study based on the important enlightenment, in combination with the present situation, put forward the corresponding policy recommendations: to improve the supervision of the asset price bubbles, the perfection of the socialist market economy system, strengthen the construction of socialist spiritual civilization and continue to improve the financial firewall.

【学位授予单位】：南京大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F837.12
，

本文编号：1720862