外部金融危机对我国的传染性测度及免疫策略研究

发布时间：2018-01-01 03:30

  本文关键词：外部金融危机对我国的传染性测度及免疫策略研究　出处：《吉林大学》2016年博士论文　论文类型：学位论文

  更多相关文章： 金融危机 传染 免疫 SEIR模型 复杂网络

【摘要】：半个世纪以来,金融危机从一个国家向别国的蔓延已常态化、复杂化,犹如传染病—样让入措手不及。这种金融危机的蔓延依旧潜伏在当今的金融环境之中,就像集聚在亚健康体内的病毒,随时又会以新的金融危机种类使全球金融市场陷入病态。我国作为目前世界第二大经济体,在近些年的金融危机传染中已注定成为易感对象：次贷危机后,我国汇率风险和资本市场风险不断积聚,随着美元贬值,我国紧急出台了四万亿刺激计划,导致了楼市疯长和通货膨胀；欧债危机后,欧洲整体消费力疲软,我国当月出口额环比增速不断出现负增长,随着欧元的贬值,输入型通胀压力增大,主要依靠出口拉动的经济增长步入新常态的放缓趋势。因此,在全球经济一体化和金融一体化的背景下,伴随我国利率市场化和人民币国际化的进一步推进,从全局视角出发,基于全球贸易网络和全球金融网络,深入剖析金融危机的传染性特征及中国的易感性变化,建立适应性免疫机制无疑变得越来越迫切,对于未来中国遭受传染性风险的预警和化解,具有重要的理论及现实意义。本文正是基于以上现实背景,借鉴流行病学理论,将复杂网络理论与经济计量方法进行结合,沿着“潜在传染源识别—对我国的传染性测度—适应性免疫”研究路线,进行了外部金融危机对我国的传染性测度以及免疫策略的深入系统研究。第2章从金融危机传染的界定、传染释义、传染环节和免疫研究四个角度,对相关文献研究进展进行了梳理,试图搭建了金融危机传染的理论研究框架。从传染源、传染途径和易感群体三个基本环节,固有免疫、适应性免疫和政府救助三道防线对金融危机的爆发原因、传染渠道、影响程度、防范措施等相关研究进展进行了归纳；对D-D、A-G和G-K等网络传染模型文献的发展和运用,进一步搭建了随机冲击对金融网络的传染机制的理论平台；从复杂网络传播动力学理论的出现及其在金融危机传染应用中的研究总结,对金融危机传染理论研究进行了更为系统和深入的梳理。第3章从事前分析角度对全球网络的潜在传染源进行了识别。依据各经济体间贸易和金融两大联系渠道,构建了全球贸易网络和全球金融网络,发现全球贸易网络具有幂律分布特征和小世界特征,全球金融网络具有无偏分布特征和小世界特征。通过复杂网络静态特征理论,利用k-shell、加权度中心性、接近中心性、介数中心性和特征向量中心性等网络中心性指标,对全球贸易网络和全球金融网络的潜在传染源进行识别,发现不仅美国、中国、英国、德国、法国等经济大国对全球经济具有潜在传染性,类似比利时、马来西亚、卢森堡等经济小国同样在全球网络中具有中心性地位,一旦爆发金融危机,将对全球经济和金融稳定构成威胁。另外,还应时刻关注全球网络的演变和潜在传染源的动态变化特征。第4章在网络传染源的识别基础上,以欧债危机为例,分别观察了单个传染源和多个传染源对我国的直接传染特征。通过构建贸易收入效应指标度量贸易传染渠道,通过构建外汇市场压力指标、金融市场压力指标和投资指标度量金融渠道传染,利用Granger因果检验分析和VAR模型分析了欧盟作为传染源对我国产出增长的直接传染效应,发现贸易渠道传染性相对较弱,但反应速度较快,这与此期间我国对欧盟贸易依存度总体变化较小有关。同时,利用时变参数向量自回归模型,进一步观察了“欧猪五国”联合作为传染源对我国产出增长的直接传染效应,并将经济增长指标作为产出增长指标的替代变量,验证了模型的稳健性,结果发现随着欧债危机的持续发酵,贸易渠道和金融渠道的传染效应逐渐增强,五国通过贸易渠道对我国的影响较金融渠道更为强烈且稳定持久。第5章利用复杂网络理论方法和传染病SEIR模型观察了传染源对我国的间接传染特征,弥补了以往使用经济计量方法忽视间接传染的不足。在实证模拟中同样以欧债危机为例,结果发现：在复杂网络模型的模拟中,小世界网络模型与全球贸易网络结构更匹配,点度条件统一随机网络模型与全球金融网络结构更匹配；欧债危机在全球贸易网络和全球金融网络中的传染均具有扩散阈值和崩溃阈值,实际网络结构中关系网络的易感性均低于加权网络的易感性,且金融加权网络中的传染速度和传染范围均低于贸易加权网络；较希腊单独作为传染源,“欧猪五国”的联合违约加大了对金融网络的冲击范围,但对贸易网络的冲击范围较小；中国在金融网络中的易感性低于在贸易网络中的易感性,且潜伏期越久,此种现象越明显。第6章通过对巴塞尔协议、货币政策、宏观审慎政策、金融预警体系和金融稳健性体系等策略研究进展的分析,试图搭建了应对金融危机的适应性免疫策略理论框架。货币政策为目前各经济体应对金融危机传染的主要手段,因此,使用时变参数向量自回归模型对次贷危机和欧债危机期间我国货币政策干预的适应性调节进行了检验,发现我国数量型货币政策较价格型货币政策有效性更弱。对经济增长的刺激作用中,利率通过货币渠道的传导机制较为显著且持续期更久,存款准备金率通过信贷渠道的传导机制较微弱；对预防通缩的刺激作用中,存款准备金率通过信贷渠道的传导机制较明显,存款准备金率通过货币渠道的传导机制失效。同时,为了借鉴发达经济体应对金融危机的适应性免疫策略经验,使用向量自回归模型,对欧美日在金融危机期间的非常规货币政策进行了实证检验,发现欧元区货币政策有效性表现最为欠佳。另外,通过复杂网络中的随机免疫、目标免疫和熟人免疫策略的分析,对全球网络中危机传染进行了免疫策略比较。通过以上实证分析和模拟评估,对于深入推进金融危机传染理论和方法研究,系统化金融危机免疫策略分析,维持我国经济和金融稳定提供了方法和理论支撑。
[Abstract]:For half a century, the financial crisis from one country to another spread has been normalized and complex, is like an infectious disease like this. Let be taken by surprise into the spread of the financial crisis is still lurking in the current financial environment, like gathering in the sub-health of the virus in the body, at any time and with a new financial crisis. The global financial market in China as the sick. The world's second largest economy, is destined to become a susceptible object in the contagion of financial crisis in recent years: after the subprime crisis, the exchange rate risk and capital market risk in China continue to accumulate, with the depreciation of the dollar, China issued an emergency four trillion stimulus plan, and led to soaring property market inflation; the European debt crisis, the overall weak European consumption, China's growth in the month exports continue to appear negative growth, with the depreciation of the euro, imported inflation pressure increases, mainly rely on Slowing export led economic growth into the new normal. Therefore, in the global economic and financial integration in the background, to further promote with China's interest rate marketization and internationalization of the RMB, starting from the global perspective, financial network of Global trade network and global gold based on the in-depth analysis of the financial crisis and the characteristics of infectious susceptibility change Chinese the establishment of adaptive immune mechanism is becoming more and more urgent, and to resolve the future China suffered infectious risk warning, has important theoretical and practical significance. This paper is based on the above background, using epidemiological theory, theory and econometric methods of complex networks are combined, along the "potential infection source identification -- to me our measure of adaptive immunity" - infectious route of research, the external financial crisis measure and free on China infectious Thorough research on disease strategy. In the second chapter, the definition and interpretation of contagion from the financial crisis contagion, infectious and immune aspects of research in four aspects, the progress of related research carried out and tried to build a theoretical framework of financial crisis. From the source of infection, infection and susceptibility of three basic parts, natural population immunity, adaptive immunity and government assistance three defense of the outbreak of the financial crisis, contagion, impact, prevention measures and other related research progress were summarized; on the development and application of D-D, A-G and G-K network model literature, theory platform was built up to the contagion mechanism of random impact on financial network; from the propagation dynamics of complex network theory and its application in the research of infectious financial crisis summary of financial crisis contagion theory research were more systematic and deep comb The third chapter analysis. In the perspective of the global network of potential sources of infection were identified. On the basis of the economy and trade finance two major channels of communication, to build a global trade network and global financial network, found that global trade network has a power-law distribution and small world characteristics, global financial networks with unbiased distribution and the small world characteristics. Through the static characteristics of complex network theory, using K-shell weighted degree centrality, closeness centrality, betweenness centrality index and eigenvector centrality of network center, to identify the global trade network and global financial network potential source of infection, found that not only the United States, Britain, Germany, Chinese. France and other countries with potentially infectious, on the global economy like Belgium, Malaysia, Luxemburg and other small countries also has a central role in the global network, once the outbreak of gold The financial crisis, will pose a threat to the global economic and financial stability. In addition, should also pay close attention to the dynamic characteristics of the global network evolution and potential source of infection. In the fourth chapter, based on the network identification of source of infection, to the European debt crisis as an example, observed the direct infection characteristics of a single source of infection and multiple infection of our country. Through constructing trade transmission channels measure trade income effect index, through the construction of the foreign exchange market pressure index, index of financial market pressure index to measure the financial and investment channels of contagion, using Granger causality test analysis and VAR model analysis of the EU as a source of infection for the direct contagion effect the growth of China's output, trade channels found infectious the relatively weak, but the reaction speed, and that during this period our country to the EU trade dependence overall changes smaller. At the same time, the use of time-varying parameter vector autoregressive model, into the One step to observe the PIIGS united as a source of infection to direct contagion effect the growth of China's output, and will replace the variable of economic growth index as output growth index, verify the robustness of the model, the results found that with the continuous fermentation of the European debt crisis, the contagion effect of trade channels and financial channels gradually increased, five through the channels of trade impact on China's financial channel is more intense and lasting stability. In the fifth chapter, using complex network theory and SEIR epidemic model of infectious source of our indirect transmission characteristics was observed, to compensate for the lack of previous use of econometric methods ignore the indirect infection. In the empirical simulation similar to the European debt crisis for example, the results showed that: in the simulation of complex network model, small world network model and Global trade network structure, degree, uniform conditions for stochastic network model and global Financial network structure matching; infectious debt crisis in the global trade network and global financial networks have spread threshold and breakdown threshold, susceptibility to actual network structure in the network are lower than the susceptibility weighted network and weighted network, financial transmission speed and transmission range are lower than the trade weighted network; than Greece alone as the source of infection, "joint default PIIGS" to increase the scope of the financial impact of the network, but the impact of trade network in the financial network is smaller; Chinese susceptibility in trade in the network is lower than the susceptibility, and the longer latency, this phenomenon is more obvious. The sixth chapter of the Basel agreement through monetary policy. Macro Prudential policy, analysis of the development strategy study on financial early warning system and financial system stability, trying to build a strategy of adaptive immune response to the financial crisis A little theoretical framework. As the main means of monetary policy, the economy in response to the financial crisis contagion therefore, using time-varying parameter vector autoregressive model of the subprime mortgage crisis and the European debt crisis of China's monetary policy intervention adaptation was examined. It is found that the effectiveness of monetary policy in China is the number of type of price based monetary policy more weak. To stimulate economic growth, the interest rate transmission mechanism through the monetary channel is more significant and longer duration, the deposit reserve rate through the transmission mechanism of credit channel is weak; to prevent deflation by stimulation, the deposit reserve rate through the transmission mechanism of credit channel is more obvious, the failure of the deposit reserve ratio by money the channel transmission mechanism. At the same time, in order to experience the adaptive immune strategy from the developed economies to deal with the financial crisis, using the vector auto regression model, to the United States and in Europe Unconventional monetary policy during the financial crisis, the empirical test found that the effectiveness of monetary policy in the euro area was the most poor. In addition, through random immune complex networks, analysis of target immunization and immunization strategy, the crisis of global network of infectious immune strategy. Through the above empirical analysis and simulation evaluation. To further promote the research on the theories and methods of financial crisis contagion, systematic analysis of the financial crisis immunization strategy, provide methods and theoretical support for China's economic and financial stability.

【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F831.59;F224
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本文编号：1362761