金融摩擦、国际金融危机传染与宏观政策

发布时间：2018-01-10 15:25

  本文关键词：金融摩擦、国际金融危机传染与宏观政策　出处：《中央财经大学》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 金融摩擦 量化宽松政策 财政政策

【摘要】：2007年底爆发的美国金融危机不仅给其发源国造成严重的破坏,还给其他国家的宏观经济和金融市场造成了很大的冲击,体现出显著的跨国传染特征。本文以金融危机期间的中美两国作为研究对象,紧紧围绕着国际金融危机传染这个研究主题,通过构建全局性的实证和理论模型,对金融危机传染的特征事实、理论机制以及应对的宏观政策实施效果三方面问题进行了详细的分析。这三方面的研究环环紧扣,其具体分析过程和重要发现可以归纳如下:首先,为了考察中国受到金融危机传染的特征事实,本文建立了一个包含国家间贸易关联的全局向量自回归(GVAR)模型,从静态、动态两个层面对美国负面冲击下中美两国的经济周期联动情况进行了实证分析。对GVAR模型广义脉冲响应函数的分析表明:其一,美国真实GDP的负面冲击使其国内和中国的私人信贷量和资产价格开始时有显著的下滑,但没有持续性;其二,美国私人信贷量的负面冲击使中国通货膨胀率和私人信贷量下滑,同时令到中国真实GDP和资产价格出现上升,但脉冲响应不显著;其三,美国资产价格的突然下降使其国内真实GDP、通货膨胀率和私人信贷量出现下降,伴随着中国真实GDP、私人信贷量和资产价格下降,体现出较强的周期联动性,且脉冲动态有持续的显著性。其中,美国私人信贷量、资产价格负面冲击下的中国脉冲响应可以反映中国所受到的金融危机传染。其次,为了探讨金融危机传染的理论机制,本文先在一个新凯恩斯两国动态随机一般均衡(Two-Country DSGE)模型中考虑两国信贷市场存在异质性的金融摩擦,引入了BGG金融加速器和GK金融加速器,建立了四类带有金融加速器的DSGE模型,然后,本文以外国的债务人净财富、资本质量两方面负向冲击模拟金融危机,并对模型中两国的脉冲响应函数进行了分析,结果主要有两点:第一,外国金融冲击引发了其信贷部门的恶化,通过金融加速器的放大效应形成金融危机,并藉由贸易渠道使本国出口受到负向冲击,从而导致本国金融加速器起作用,引发其经济金融负面的放大效应,由此金融危机实现了跨国传染;第二,基于匹配GVAR模型中美经济周期联动特征事实的标准对四类DSGE模型进行了对比,发现较贴近现实经济的金融危机传染理论机制是两国都带有GK金融加速器的模型。以上结果能够解释美国金融危机对中国的传染。最后,为了分析宏观政策应对金融危机传染的效果,本文基于上述甄选得到的两国都带有GK金融加速器的新凯恩斯DSGE模型,引入了量化宽松政策规则和财政政策规则,对金融危机传染与外国不同强度量化宽松政策下本国财政政策的实施效果进行了数值模拟。结果显示,本国实施财政政策,其效果会受到外国量化宽松政策强度的影响。当外国量化宽松政策较弱时,本国财政政策能较好地缓和金融危机传染,但当外国量化宽松政策不断加码时,本国财政政策就容易会以挤出效应占主导,使其国内的投资和金融市场的波动更加剧烈,从而达不到预期效果。这个结果可以解释“四万亿”财政计划的双面效果和评价“新常态”战略的政策微调要求。
[Abstract]:The outbreak of the financial crisis in the United States by the end of 2007 caused serious damage not only to their country of origin, to other countries, macroeconomic and financial market caused great impact, reflecting the significant features of transnational infectious. During the financial crisis of the United States as the research object, closely around the international financial crisis contagion in this research topic, through the empirical and theoretical model of global, stylized facts of financial contagion, the theory of mechanism and deal with the macro policy implementation effect of three aspects of the problem are analyzed in detail. The three aspects of interlocking, the specific analysis process and important findings can be summarized as follows: firstly, in order to investigate the characteristics of the financial crisis by the fact Chinese infectious, this paper establishes an association between Global trade state vector autoregressive (GVAR) model, from the static, dynamic layer two In the face of the United States under the negative impact of the economic cycle between two countries. This article analyzes the GVAR model of generalized impulse response function analysis shows that: first, the negative impact of the U.S. real GDP the amount of domestic private credit and China and asset prices began when a significant decline, but there is no continuity; second, negative the impact of American private credit amount to Chinese inflation and private credit volume decline, also to Chinese real GDP and asset prices rose, but the impulse response is not significant; third, a sudden drop in US asset prices to the domestic real GDP, inflation rate and the amount of private credit declined, with China real GDP, private the amount of credit and asset prices, reflecting the strong linkage between the cycle, and the pulse dynamic significant sustained. Among them, the private credit and asset price negative impact The China impulse response can reflect the contagion of financial crisis by Chinese. Secondly, in order to explore the mechanism of financial contagion theory, this paper first in a new Keynes two dynamic stochastic general equilibrium (Two-Country DSGE) bilateral credit market financial frictions heterogeneity in this model, the introduction of the BGG GK financial accelerator and the financial accelerator. The establishment of four kinds of DSGE model with the financial accelerator. Then, based on the foreign capital two debtor net wealth, the financial crisis to the negative impact the quality of simulation, and the impulse response function of the model is analyzed, the main results are: first, foreign financial shock triggered the deterioration of the credit department, form the financial crisis by amplifying the financial accelerator effect, and through trade channels make their exports have negative impact, resulting in the domestic financial accelerator effect With the economic and financial, caused the negative amplification effect, thus realizes the financial crisis contagion; second, the GVAR model of Sino US economic cycle linkage fact criteria are compared to four kinds of DSGE model based on the theory of financial crisis mechanism, that are closer to the reality of economy is both GK with the financial accelerator model. The results can explain the financial crisis in the United States on infectious China. Finally, in order to analyze the macroeconomic policy response to the financial crisis contagion effect, the new Keynes DSGE model in this paper based on the above two selection with GK financial accelerator, introduced the quantitative easing policy rules and fiscal policy rules, the implementation effect of their fiscal policy and foreign financial crisis contagion the different intensity of quantitative easing was simulated. The results show that the implementation of national fiscal policy, its effect will be Influence of the foreign policy of quantitative easing strength. When the foreign policy of quantitative easing is weak, their fiscal policy can mitigate the financial crisis contagion, but when foreign quantitative easing policies continue to overweight, their fiscal policy will easily to the crowding out effect dominates, the domestic investment and financial markets more volatile, so as don't get the expected effect. This result can be explained by the "four trillion" plan to double the efficiency and evaluation of the financial strategy of the "new normal" policy fine-tuning.

【学位授予单位】：中央财经大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F831
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本文编号：1405791