决策模型在金融危机分析中的运用——基于金融创新的视角

发布时间：2018-11-06 07:03

【摘要】：历史上发生过多次因金融创新而产生的投资者决策突变,逃离市场的现象。当冲击事件出现时,投资者决策突变、以应付最坏的情况的方案来设计新的投资模式进而演化为金融危机的事件。本文基于一个纳入奈特不确定性的决策模型,从金融创新及其产生的投资者不确定性出发讨论金融危机中投资者决策突变,并通过对投资者决策突变的分析探讨央行危机救助的时点与方式。本文认为,金融创新的复杂性增加投资者的不确定性,在不了解金融创新工具真实风险的情况下只好选择以应付最坏情况的方案来应对冲击,央行危机救助的时点应放在投资者对未来的不确定性突然增加并开始调整原有策略的时刻,救助的主要措施是承诺在一定条件下购买资产或注入流动性,从而降低投资者不确定性,避免投资者决策突变成为群体行为。
[Abstract]:There have been many times in the history of investors because of financial innovation sudden changes in decision-making, escape from the market phenomenon. When shock events occur, investors make abrupt decisions to design new investment models for the worst-case scenario and then evolve into financial crisis events. Based on a decision model incorporating Knight uncertainty, this paper discusses the sudden change of investor decision in the financial crisis from the perspective of financial innovation and investor uncertainty. By analyzing the sudden change of investor's decision, the paper discusses the time and method of central bank's crisis rescue. This paper argues that the complexity of financial innovation increases the uncertainty of investors, and without understanding the real risks of financial innovation instruments, we have to choose a solution to deal with the impact in the worst-case scenario. The time for a central bank bailout should be when investors suddenly increase uncertainty about the future and begin to adjust their original strategy, the main measure of which is a commitment to buy assets or inject liquidity under certain conditions. In order to reduce the uncertainty of investors and avoid the sudden change of investor decision into group behavior.
【作者单位】：江南大学商学院;复旦大学经济学院博士后流动站(中国华融资产管理公司);
【分类号】：F830;F224

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