宏观经济波动对我国金融安全的冲击效应研究

发布时间：2018-10-10 07:30

【摘要】：金融作为我国现代市场经济的核心,其金融活动与金融行为已经渗透到各个领域,防范金融风险,维护金融安全就成为我国经济发展道路上所必须面临的问题,如何防范金融风险,减小经济波动对金融安全的冲击效应就具有重要的研究意义。本文从经济波动对金融安全的影响关系的角度主要探讨了一下几个问题：1)宏观层面,何种经济冲击对我国金融安全的冲击效应最大；2)如何衡量我国宏观层面金融安全的波动性；3)在国内经济体联系日益密切的时代,怎么样才能更全面的衡量经济波动对金融安全的冲击效应。针对以上问题,本文主要做了一下几方面的工作：首先,本文从宏观层面着手研究经济波动对金融安全的冲击效应,而从宏观经济层面研究金融安全所面临的首要问题是如何整体衡量一个国家金融安全的波动性,目前针对此问题,国内外学者研究思路就是建立一个能全面衡量一个国家的指标体系,进而构造出一个安全指数用于衡量金融安全的波动性；本文在前人的基础上,重新建立了一套指标体系,并利用主成分分析方法建立了衡量一个我国金融安全的波动的指标——金融安全指数；并从四个子系统分别研究了我国金融安全的变动形势,得出一个基本的结论是我国95年之后宏观经济形势明显好转；金融机构安全形势也逐年变好,涉外金融安全形势逐年变差,我国金融业软环境呈现良好局面。其次,本文基于已经建立的金融安全指数,研究了经济波动对金融安全的冲击效应,论文利用1995年到2012年的样本数据建立了无结构VAR模型,分别研究了利率、汇率、通货膨胀率等经济指标的波动对金融安全指数的冲击影响,根据研究结果得出一个基本结论：利率和GDP增长率对金融安全指数冲击效应较小,在金融安全指数的方差分解中两个变量仅占4%的贡献,对金融安全冲击较大的是汇率波动率以及通货膨胀率；通过VAR做出的脉冲响应图形看出,经济波动的冲击效果在经过15个时期之后,冲击效果会趋于0；最后,鉴于VAR模型缺乏严密的理论基础,更为了更精确的展现各种外部冲击对各个金融市场的冲击效果,本文另从微观角度结合经济体中行为人的理性预期及其资源约束,建立起具有微观基础的宏观经济一般均衡DSGE模型,将效用函数及其约束条件下的最大化融入到理论分析中,并将跨时分析融入到模型均衡分析中。在此简化模型中,引进了企业用房面积冲击、企业生产率冲击以及货币供给冲击等变量对中国金融安全的影响,通过模拟分析得出的基本结论：房面积冲击、企业生产率冲击以及货币供给冲击对我国金融市场冲击效应十分显著,而利率对金融市场却无明显的冲击效果,这与文章利用VAR模型得出的结论基本一致。
[Abstract]:As the core of our country's modern market economy, the financial activities and behaviors of finance have penetrated into various fields, preventing financial risks and maintaining financial security have become the problems that our country must face on the road of economic development. How to prevent financial risks and reduce the impact of economic fluctuations on financial security is of great significance. From the angle of the influence of economic fluctuation on financial security, this paper mainly discusses the following questions: 1) macroscopical level, which kind of economic shock has the biggest impact effect on financial security of our country; 2) how to measure the volatility of financial security at the macro level in China 3) how to measure the impact of economic fluctuation on financial security more comprehensively in the era when the domestic economy is increasingly closely connected? In view of the above problems, this paper mainly does a few aspects of work: first, this paper studies the impact of economic fluctuations on financial security from the macro level. The most important problem in the study of financial security at the macroeconomic level is how to measure the volatility of a country's financial security as a whole. The research idea of domestic and foreign scholars is to establish an index system that can comprehensively measure a country, and then construct a security index to measure the volatility of financial security. Using principal component analysis (PCA), the index of financial security is established to measure the fluctuation of financial security in China, and the changing situation of financial security in China is studied from four subsystems. A basic conclusion is that the macroeconomic situation in China has improved obviously after 95 years, the security situation of financial institutions has also become better year by year, the financial security situation involving foreign countries has become worse year by year, and the soft environment of our financial industry has presented a good situation. Secondly, based on the established financial security index, this paper studies the impact of economic volatility on financial security. Using the sample data from 1995 to 2012, this paper establishes an unstructured VAR model, and studies interest rate and exchange rate, respectively. The impact of the fluctuation of inflation and other economic indicators on the financial security index is analyzed. According to the results of the study, a basic conclusion is drawn: the impact of interest rate and GDP growth rate on the financial security index is relatively small. In the variance decomposition of the financial security index, the two variables account for only 4% of the contribution, the impact on financial security is the exchange rate volatility and inflation rate. After 15 periods, the impact effect of economic fluctuation tends to be zero. Finally, given the lack of rigorous theoretical basis for the VAR model, In order to more accurately show the impact of various external shocks on various financial markets, this paper also combines the rational expectations of the actors in the economy and their resource constraints from a micro perspective. A macro-economy general equilibrium DSGE model with microcosmic foundation is established. The utility function and its maximization under constraint conditions are integrated into the theoretical analysis and the cross-time analysis into the model equilibrium analysis. In this simplified model, the impact of variables such as the impact of enterprise housing area, the impact of enterprise productivity and the impact of money supply on China's financial security is introduced. The basic conclusion of the simulation analysis is: the impact of housing area. The impact of enterprise productivity and money supply on Chinese financial market is very significant, but interest rate has no obvious impact on financial market, which is basically consistent with the conclusion of this paper based on VAR model.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F124.8;F832

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