基于随机网络的持有共同资产条件下的金融危机传染分析

发布时间：2018-01-14 18:34

本文关键词：基于随机网络的持有共同资产条件下的金融危机传染分析　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：伴随着全球经济和金融的不断深化发展,世界各国之间的联系日益紧密,而金融危机也表现出越来越强的传染性;同时,金融危机所波及的范围和造成的损失也越来越大。2007年美国次级贷款危机爆发之后,以出乎意料的速度由金融系统向实体经济传染,并逐渐扩散至其他国家和地区;2013年我国银行钱荒事件在金融市场之间的快速传导更是引发人们对系统风险及金融危机传染的思考。为有效防范金融危机,不少学者从不同的角度深入探究了金融危机的形成原因及其传染机制,为预防金融危机的发生和传染、降低金融危机造成的损失做出了巨大贡献。然而,2007年美国次贷危机引发全球金融危机之后,传统经济学再次受到了质疑。有学者开始质疑传统经济学在风险分析和监管上的正确性,并提出从系统风险的角度来分析金融危机。连接性作为金融系统中各个元素之间连接关系,被认为与金融系统稳定性存在密切关系。本文考察了金融机构由于持有的共同资产受意外冲击价格下跌而导致连锁破产的金融危机传染问题,以此研究金融危机的传染机理。在介绍金融危机及其传染定义的基础上,着力于探讨金融危机传染的原因,并着重研究机构共同持有资产的情况下,某机构持有的某一资产受到外界冲击而降价、导致该机构破产清算进而使得其他机构持有的同类资产价格下降时,是否会引发其他机构的连锁破产清算,即是否会导致金融危机的传染。本文以随机网络表示金融机构对风险资产的投资状况并由此进行数值模拟,以分析不同的金融机构数量、风险资产数量、机构平均持有风险资产数量、机构的资产结构及杠杆率等因素对金融危机传染的影响。结果表明:1)其他参数给定的情况下,金融机构数量越多,即机构间联系越紧密,越易发生金融危机传染;2)资产数量越多的时候,金融机构投资分散化,可以在一定程度上减少金融危机传染;3)机构平均持有资产数量对系统性风险呈现非线性影响;4)资产结构代表无风险资产与风险资产的比例,风险资产越多,发生金融危机传染的可能性越大;而杠杆率越高则越易引发金融危机传染。
[Abstract]:With the deepening development of the global economy and finance, the relationship between the countries in the world is becoming closer and closer, and the financial crisis is showing more and more strong contagion. At the same time, the scope and losses caused by the financial crisis are also increasing. After the outbreak of the subprime mortgage crisis in 2007, the financial system spread to the real economy at an unexpected speed. And gradually spread to other countries and regions; In 2013, the rapid transmission of the bank money shortage in our country in the financial market caused people to think about the systemic risk and the contagion of the financial crisis, in order to prevent the financial crisis effectively. Many scholars from different angles to explore the formation of the financial crisis and its contagion mechanism, for the prevention of financial crises and contagion, to reduce the losses caused by the financial crisis has made a great contribution. In 2007, following the global financial crisis triggered by the subprime mortgage crisis in the United States, the traditional economics was questioned again. Some scholars began to question the correctness of the traditional economics in risk analysis and regulation. It also puts forward to analyze the financial crisis from the point of view of system risk. Connectivity is regarded as the connection relationship among the elements in the financial system. It is believed that there is a close relationship with the stability of the financial system. This paper examines the contagion of financial crisis caused by chain bankruptcy caused by the unexpected impact on the common assets held by financial institutions. On the basis of introducing the definition of financial crisis and contagion, we focus on the causes of financial crisis contagion, and focus on the case where institutions hold assets together. If the price of an asset held by an institution is reduced as a result of an external shock, which results in the bankruptcy liquidation of the institution, which in turn reduces the price of similar assets held by other institutions, whether or not it will lead to the chain liquidation of other institutions. In order to analyze the number of different financial institutions and the number of risky assets, this paper describes the investment status of financial institutions on risky assets by stochastic network and carries on the numerical simulation from the view of whether it will lead to the contagion of financial crisis. The average number of risky assets held by institutions, the influence of the assets structure and leverage ratio of institutions on the contagion of financial crisis. The result shows that the number of financial institutions is more when given other parameters. That is, the closer the institutional ties, the more prone to financial crisis contagion; 2) when the number of assets is more, the diversification of investment of financial institutions can reduce the contagion of financial crisis to a certain extent; 3) the average amount of assets held by institutions has a nonlinear effect on systemic risk; 4) the structure of assets represents the ratio of risk-free assets to riskless assets, and the more risky assets, the greater the possibility of contagion of financial crisis; The higher the leverage ratio, the more prone to financial crisis contagion.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.59

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