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當代美國金融危機的形成機理研究

發(fā)布時間:2018-04-08 08:35

  本文選題:當代美國金融危機 切入點:金融危機形成機理 出處:《南京大學》2012年博士論文


【摘要】:2007年爆發(fā)的當代美國金融危機及其引發(fā)的當代國際金融危機,對世界各國的經(jīng)濟發(fā)展造成了嚴重的沖擊,至今世界各國經(jīng)濟尚未完全擺脫其陰影,更因美國主權信用評級下降和歐洲主權債務問題惡化,發(fā)達國家仍有進一步陷入衰退的可能。針對當代美國金融危機的爆發(fā)原因,理論界進行了多角度研究,但這些研究大多局限于定性分析,缺乏對當代美國金融危機的影響程度和爆發(fā)原因進行定量分析。本文認為在經(jīng)濟全球化背景下,準確刻畫當代美國金融危機的影響程度,實證分析其爆發(fā)的決定性因素和深層次原因,有助于更好地研究當代美國金融危機的形成機理,并為中國加強金融安全提供有效的政策建議。本文首先界定不確定性、金融風險和金融危機的概念,分析它們的相互關系和演進過程,繼而界定當代美國金融危機的相關概念。其次,從美國金融市場的不確定性出發(fā),在分析次級抵押貸款風險的基礎上,全景式地展現(xiàn)當代美國金融危機的爆發(fā)過程,及其對主要發(fā)達國家、主要發(fā)展中國家和全球金融格局的沖擊。再次,在借鑒投機壓力指數(shù)和外匯市場壓力指數(shù)的基礎上,本文構建金融危機壓力指數(shù)以反映當代美國金融危機的影響程度,針對當代美國金融危機的小概率屬性,進一步引入基于極值理論的Hill統(tǒng)計量確定金融危機壓力指數(shù)的臨界值,并將該臨界值與峰度法和均值標準差法確定的臨界值進行比較;谖墨I研究法,本文還構建了分析當代美國金融危機爆發(fā)原因的指標體系,其中包括宏觀經(jīng)濟運行指標、金融系統(tǒng)監(jiān)測指標和資產價格泡沫指標。運用隨機森林模型,本文實證分析指標的重要性,根據(jù)指標的重要性排名剖析當代美國金融危機爆發(fā)的決定性因素,并從經(jīng)濟制度層面、人文精神層面和技術創(chuàng)新層面分析當代美國金融危機爆發(fā)的深層次原因。研究表明:不確定性現(xiàn)象波動造成的損失為金融風險,金融風險的聚集與擴散導致金融危機,具體到當代美國金融危機,其爆發(fā)過程也滿足以上演進過程;以金融危機壓力指數(shù)反映當代美國金融危機的影響程度,Hill統(tǒng)計量和峰度法界定的金融危機壓力指數(shù)均優(yōu)于均值標準差法界定的臨界值,其中Hill統(tǒng)計量界定的臨界值最優(yōu),也是將當代美國金融危機表示為二元數(shù)值的判斷依據(jù);隨機森林模型的實證結果表明,以房價指數(shù)變化率為代表的資產價格泡沫是引發(fā)當代美國金融危機的決定性因素,相比之下,宏觀經(jīng)濟運行指標和金融系統(tǒng)監(jiān)測指標的影響程度較小;資產價格泡沫產生的主要原因是美國的虛擬經(jīng)濟過度偏離實體經(jīng)濟,其在交易主體信用違約和金融市場資金流動的共同作用下最終破滅,并在美元經(jīng)濟下迅速蔓延至世界各國。通過對資產價格泡沫的進一步分析,本文指出資本主義制度的基本矛盾、社會道德和信用體系淪喪、金融創(chuàng)新過度是引發(fā)當代美國金融危機的深層次原因;谘芯拷Y論所得的重要啟示,本文結合現(xiàn)狀,提出了相應的政策建議:提高對資產價格泡沫的監(jiān)控力度、完善社會主義市場經(jīng)濟體制、加強社會主義精神文明建設和繼續(xù)改進金融防火墻。
[Abstract]:The international financial crisis of contemporary American financial crisis in 2007 and its cause, caused a serious impact on the development of world economy, the world economy has not completely get rid of the shadow, because of the downgrade and the European sovereign debt problems worsen, developed countries still further into recession. The outbreak causes of the financial crisis in the United States today, the theory of the multi angle research, but these studies are mostly limited to qualitative analysis, lack of influence on the financial crisis in the United States and the cause of the outbreak of the quantitative analysis. This paper argues that under the background of economic globalization, the influence degree accurately portray the contemporary financial crisis in the United States, the empirical analysis and the deep reason the decisive factor in the outbreak, the formation mechanism is helpful to study the contemporary financial crisis of the United States, and to strengthen the financial China Provide effective policy recommendations. This paper firstly defines security uncertainty, financial risks and financial crisis, and analyze the relation between the evolution of the concept and definition of contemporary financial crisis in the United States. Secondly, from the perspective of financial market uncertainty, based on the analysis of subprime mortgage risk, panoramic view show the onset process of contemporary American financial crisis, and the major developed countries, major developing countries and the impact of the global financial structure. Again, in reference to the index of speculative pressure and the foreign exchange market pressure index on the basis of the construction of financial crisis pressure index to reflect the degree of influence of contemporary American financial crisis, the financial crisis in the United States for small probability attribute today, further introduced to determine the critical value of financial crisis pressure index Hill statistics based on extreme value theory, and the critical value And the standard deviation of the mean kurtosis method and comparison method to determine the critical value. Based on the literature research method, this paper constructs the index system to analyze the contemporary American financial crisis, including macroeconomic indicators, financial indicators and monitoring system of asset price bubble index. Using the random forest model, the empirical analysis of the importance index according to the analysis of the importance of indicators, ranking the decisive factors of contemporary American financial crisis, and the economic system level, level of humanity and technology innovation level analysis of deep-seated reasons for the contemporary American financial crisis. The study shows that the uncertainty of wave phenomena caused by the loss of financial risk, financial risk aggregation and diffusion caused the financial crisis specific to the outbreak of the financial crisis in the United States today, also meet the above evolution; the financial crisis pressure index reflects when Influence of generation of American financial crisis, the financial crisis pressure index definition Hill statistics and kurtosis method are better than the average standard deviation of the critical value method definition, which defines the optimal critical value of Hill statistics, is also the contemporary financial crisis in the United States said the judgment basis for two yuan value; empirical random forest model shows that, as the representative of the asset price bubbles in housing price index rate of change is the decisive factor, caused the contemporary financial crisis in the United States compared with less influence on macroeconomic indicators and the financial system monitoring index; the main reason of asset price bubbles is the virtual economy excessive deviation of the real economy, the interaction of flow in the main credit default and financial transactions market funds eventually burst, and the dollar economy quickly spread to countries around the world. The asset price bubbles into a Further analysis, this paper points out that the basic contradiction of the capitalist system, social credit system and moral turpitude, excessive financial innovation is the deep cause of the financial crisis in the United States. The conclusion of the study based on the important enlightenment, in combination with the present situation, put forward the corresponding policy recommendations: to improve the supervision of the asset price bubbles, the perfection of the socialist market economy system, strengthen the construction of socialist spiritual civilization and continue to improve the financial firewall.

【學位授予單位】:南京大學
【學位級別】:博士
【學位授予年份】:2012
【分類號】:F837.12
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本文編號:1720862

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