金融市场稳定性的判别与度量

发布时间：2018-03-21 10:57

本文选题：金融市场稳定　切入点：金融市场效率　出处：《山西大学》2012年博士论文　论文类型：学位论文

【摘要】：美国次贷危机演变成全球金融海啸,欧债危机不断蔓延致使欧元区在崩溃的边缘摇摇欲坠,金融危机在波及世界各地金融系统的同时还蔓延到实体经济,导致大规模的中小企业倒闭,进而引发世界经济衰退,凸显了世界金融市场的系统性风险在经济金融发展中的重要作用。随着金融全球化的深化,资本在全球范围内的重新配置,各国金融市场之间的联系更加紧密,一国发生危机极可能传递到其他市场,进而引发多个市场的联动,呈现出高度的传染特征,使得各国联系更加错综复杂而难以独善其身。金融市场风险的防范更加复杂。在关注单个市场、单个行业、单个金融机构风险的同时,还需要从宏观和整体的角度出发防范系统性风险。如何从整体的视角引导金融市场的稳定健康发展、确保经济的平稳快速增长事关全球,引起了实务界与学界对金融危机的深层次反思,得到了世界金融组织、各国政府等的高度重视。二十国集团财长和央行行长联合声明努力采取一切必要措施共同维护金融市场稳定,国际货币基金组织副总裁约翰提出有必要进行国家间大规模且相互连接的金融稳定性评估,我国政府在“十二五规划”明确提出“构建逆周期的金融宏观审慎管理制度框架”,都是为建立一个系统的、纵观全球的、更加有效的监管系统而做出的努力。可见,全球经济金融的繁荣不可分割,实现金融市场稳定健康的责任必须由全球各国共同承担,在国内推行强有力的监管系统的同时,有必要建立更加具有一致性和系统性的跨国合作,创立全球金融系统所需的、通过国际社会一致认可的高标准监管框架,立足于防范全球系统性风险来确保金融市场的稳定健康发展更具意义。因而,金融市场稳定的探索彰显了理论价值与实践价值并重。站在金融危机频发的时期,金融市场的稳定健康发展更加值得关注。然而,金融市场运行情况到底如何?如何确保金融市场的稳定运行?为什么局部受损会引起整体坍塌?为什么小规模(相对美国金融市场的规模)的次级贷款问题会引发如此严重的后果?金融系统哪些节点的破损会导致整个金融系统的坍塌?冲击是如何在金融系统中传染的,如何扩散到其它领域的?都成为亟待解决的重大问题。受此启发,本文基于系统的视角探索金融市场稳定与否,立足于金融市场的信息效率与金融机构的效率收敛特征探究金融市场的质量,着眼于系统性冲击是否被放大提出金融市场稳定的新定义,建立判断金融市场稳定的准则,构建监控金融市场运行的稳定指数,设计寻找金融市场中最不稳定与最能够对市场稳定造成极大破坏的关键部分的技术,为有效监管金融市场填充新的技术方法,为金融市场稳定健康发展的宏观政策的制定提供理论依据。本文首先基于宏观和微观两个层面探究金融市场效率度量标准,合理测度我国金融市场的效率水平,着眼于市场信息效率水平与产出效率是否收敛,来检验金融市场自身的质量,实证发现我国金融市场不存在利用历史价格信息获得超额收益的套利机会,基本达到了弱式有效,市场向着更加有效和稳定的趋势发展,而我国金融机构的产出效率存在收敛特征,且一致向着高效率的趋势发展,表明我国金融市场质量在不断提高,为金融市场稳定性的增强提供了有利的环境；聚焦于全球大环境下的系统性冲击,我们设计了判断金融市场稳定的检验方法,实证分析了我国金融市场的稳定性,再次支持了我国金融市场迈向更加稳定状态的结论；构建了金融市场稳定指数,基于我国市场实证检验该指数的有效性与稳健性,并对比具有代表性的十三个国家的稳定指数,发现了金融危机对各国市场影响的差异性；立足于金融稳定指数与金融复杂网络,探究了金融网络中各个参与者的稳定度及其对整个金融系统稳定的重要度,提出了着力防范和化解重点领域以及关键部分潜在风险的措施,全面提升了金融市场抵御风险冲击的能力,为探索建立金融宏观监管制度,防范系统性风险,切实维护金融稳定供了一个新的思路。
[Abstract]:The U.S. subprime mortgage crisis evolved into a global financial tsunami, resulting in the spread of the euro zone teetering on the brink of collapse of European debt crisis, the financial crisis in the financial system spread all over the world also spread to the real economy, leading to large-scale closure of small and medium enterprises, which caused the world economic recession, highlighting the important role of systemic risk in the financial market of the world in the economic financial development. With the deepening of the financial globalization, the reallocation of the worldwide capital between countries, financial markets more closely linked, a crisis occurs in one country may transfer to other markets, triggering a market linkage, showing the characteristics of highly infectious, the more perplexing and difficult to contact alone. To prevent financial market risk more complex. In a single industry, focusing on a single market, the risk of individual financial institutions at the same time, also The need of preventing systemic risk from the macro perspective. How to guide the healthy and stable development of the financial market from the overall perspective, to ensure stable and rapid economic growth is global, caused the practice and academic deep reflection on the financial crisis, the world financial organizations and governments attach great importance to the twenty. The G20 finance ministers and central bank governors joint statement to take all necessary measures to safeguard the stability of the financial market, vice president of the International Monetary Fund, John put forward the necessary national large and interconnected financial stability assessment, the Chinese government in the "12th Five-Year plan" clearly put forward "a counter cyclical financial macro prudent management system framework". Is to establish a system of supervision system, throughout the world, more effective efforts. Thus, the global economic and financial Prosperity can not be separated, to achieve financial market stability and healthy responsibility must be shared by all countries in the world, the implementation of the supervision system of strong in China at the same time, it is necessary to establish cross-border cooperation is more systematic and consistent, the creation of the global financial system requires high standards, through the regulatory framework of internationally agreed, based on to prevent the global systemic risk to ensure the stable and healthy development of the financial market is more significant. Therefore, to explore the stability of the financial market highlights the theoretical value and practical value of both.
Stand in the financial crisis period, stable and healthy development of the financial market should pay more attention to the operation of financial market. However, in the end how? How to ensure the stable operation of the financial market? Why local damage will cause the overall collapse? Why small size (relative to the scale of the financial markets in the United States) subprime loans will lead to such a serious problem what are the consequences? Financial system node breakage can result in the entire financial system collapse? How is the impact of infection in the financial system, how to spread to other areas? Have become a major problem to be solved. Inspired by this, this paper based on the perspective of financial market stability, the quality and efficiency of information efficiency and convergence characteristics financial institutions based on the financial market of financial market, focusing on the systemic impact is magnified propose new definitions of financial market stability, construction Make judgment of financial stability criterion, to build a stable financial market operation monitoring index, the key part of the financial market in the most unstable and can cause great damage to the stability of the market for technical design, filling a new method for the effective supervision of the financial market, to provide a theoretical basis for the formulation of macroeconomic policy stable and healthy development of financial markets.
In this paper, based on the two macro and micro level of the financial market efficiency metrics, efficiency level of reasonable measure of financial market in our country, focus on market information efficiency level and output efficiency of convergence, quality to test the financial markets, China's financial market empirical research found that there is no arbitrage opportunity to obtain excess returns using historical price information the basic to weakly effective market toward a more efficient and stable development trend, and China's financial institutions, the output efficiency of the convergence characteristics, and consistent trend toward high efficiency development, indicates that China's financial market in the continuous improvement of quality, provide a favorable environment for improving financial market stability; systemic shocks focus on the global environment, we design a method to test the stability of financial markets, the empirical analysis of the stability of the financial market in china, Once again support the financial market of our country towards a more stable conclusion; construct financial market stability index, effectiveness and robustness of the empirical test of market of our country based on the index of stability index, and comparison of thirteen representative countries, found differences in the impact of financial crisis on the world market; based on financial stability the financial index and the complex network, explore the stability of the various participants in the financial network and its influence on the stability of the financial system is put forward, to prevent and resolve the key areas and key part of the potential risk measures, enhance the ability to resist risks of financial market impact, the establishment of financial supervision system in order to explore the macro, to prevent systemic the risk, and earnestly safeguard the financial stability for a new way of thinking.

【学位授予单位】：山西大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F831.5;F224

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