本文關鍵詞：外部金融危機對我國的傳染性測度及免疫策略研究　出處：《吉林大學》2016年博士論文　論文類型：學位論文

  更多相關文章： 金融危機 傳染 免疫 SEIR模型 復雜網(wǎng)絡

【摘要】：半個世紀以來,金融危機從一個國家向別國的蔓延已常態(tài)化、復雜化,猶如傳染病—樣讓入措手不及。這種金融危機的蔓延依舊潛伏在當今的金融環(huán)境之中,就像集聚在亞健康體內(nèi)的病毒,隨時又會以新的金融危機種類使全球金融市場陷入病態(tài)。我國作為目前世界第二大經(jīng)濟體,在近些年的金融危機傳染中已注定成為易感對象：次貸危機后,我國匯率風險和資本市場風險不斷積聚,隨著美元貶值,我國緊急出臺了四萬億刺激計劃,導致了樓市瘋長和通貨膨脹；歐債危機后,歐洲整體消費力疲軟,我國當月出口額環(huán)比增速不斷出現(xiàn)負增長,隨著歐元的貶值,輸入型通脹壓力增大,主要依靠出口拉動的經(jīng)濟增長步入新常態(tài)的放緩趨勢。因此,在全球經(jīng)濟一體化和金融一體化的背景下,伴隨我國利率市場化和人民幣國際化的進一步推進,從全局視角出發(fā),基于全球貿(mào)易網(wǎng)絡和全球金融網(wǎng)絡,深入剖析金融危機的傳染性特征及中國的易感性變化,建立適應性免疫機制無疑變得越來越迫切,對于未來中國遭受傳染性風險的預警和化解,具有重要的理論及現(xiàn)實意義。本文正是基于以上現(xiàn)實背景,借鑒流行病學理論,將復雜網(wǎng)絡理論與經(jīng)濟計量方法進行結(jié)合,沿著“潛在傳染源識別—對我國的傳染性測度—適應性免疫”研究路線,進行了外部金融危機對我國的傳染性測度以及免疫策略的深入系統(tǒng)研究。第2章從金融危機傳染的界定、傳染釋義、傳染環(huán)節(jié)和免疫研究四個角度,對相關文獻研究進展進行了梳理,試圖搭建了金融危機傳染的理論研究框架。從傳染源、傳染途徑和易感群體三個基本環(huán)節(jié),固有免疫、適應性免疫和政府救助三道防線對金融危機的爆發(fā)原因、傳染渠道、影響程度、防范措施等相關研究進展進行了歸納；對D-D、A-G和G-K等網(wǎng)絡傳染模型文獻的發(fā)展和運用,進一步搭建了隨機沖擊對金融網(wǎng)絡的傳染機制的理論平臺；從復雜網(wǎng)絡傳播動力學理論的出現(xiàn)及其在金融危機傳染應用中的研究總結(jié),對金融危機傳染理論研究進行了更為系統(tǒng)和深入的梳理。第3章從事前分析角度對全球網(wǎng)絡的潛在傳染源進行了識別。依據(jù)各經(jīng)濟體間貿(mào)易和金融兩大聯(lián)系渠道,構建了全球貿(mào)易網(wǎng)絡和全球金融網(wǎng)絡,發(fā)現(xiàn)全球貿(mào)易網(wǎng)絡具有冪律分布特征和小世界特征,全球金融網(wǎng)絡具有無偏分布特征和小世界特征。通過復雜網(wǎng)絡靜態(tài)特征理論,利用k-shell、加權度中心性、接近中心性、介數(shù)中心性和特征向量中心性等網(wǎng)絡中心性指標,對全球貿(mào)易網(wǎng)絡和全球金融網(wǎng)絡的潛在傳染源進行識別,發(fā)現(xiàn)不僅美國、中國、英國、德國、法國等經(jīng)濟大國對全球經(jīng)濟具有潛在傳染性,類似比利時、馬來西亞、盧森堡等經(jīng)濟小國同樣在全球網(wǎng)絡中具有中心性地位,一旦爆發(fā)金融危機,將對全球經(jīng)濟和金融穩(wěn)定構成威脅。另外,還應時刻關注全球網(wǎng)絡的演變和潛在傳染源的動態(tài)變化特征。第4章在網(wǎng)絡傳染源的識別基礎上,以歐債危機為例,分別觀察了單個傳染源和多個傳染源對我國的直接傳染特征。通過構建貿(mào)易收入效應指標度量貿(mào)易傳染渠道,通過構建外匯市場壓力指標、金融市場壓力指標和投資指標度量金融渠道傳染,利用Granger因果檢驗分析和VAR模型分析了歐盟作為傳染源對我國產(chǎn)出增長的直接傳染效應,發(fā)現(xiàn)貿(mào)易渠道傳染性相對較弱,但反應速度較快,這與此期間我國對歐盟貿(mào)易依存度總體變化較小有關。同時,利用時變參數(shù)向量自回歸模型,進一步觀察了“歐豬五國”聯(lián)合作為傳染源對我國產(chǎn)出增長的直接傳染效應,并將經(jīng)濟增長指標作為產(chǎn)出增長指標的替代變量,驗證了模型的穩(wěn)健性,結(jié)果發(fā)現(xiàn)隨著歐債危機的持續(xù)發(fā)酵,貿(mào)易渠道和金融渠道的傳染效應逐漸增強,五國通過貿(mào)易渠道對我國的影響較金融渠道更為強烈且穩(wěn)定持久。第5章利用復雜網(wǎng)絡理論方法和傳染病SEIR模型觀察了傳染源對我國的間接傳染特征,彌補了以往使用經(jīng)濟計量方法忽視間接傳染的不足。在實證模擬中同樣以歐債危機為例,結(jié)果發(fā)現(xiàn)：在復雜網(wǎng)絡模型的模擬中,小世界網(wǎng)絡模型與全球貿(mào)易網(wǎng)絡結(jié)構更匹配,點度條件統(tǒng)一隨機網(wǎng)絡模型與全球金融網(wǎng)絡結(jié)構更匹配；歐債危機在全球貿(mào)易網(wǎng)絡和全球金融網(wǎng)絡中的傳染均具有擴散閾值和崩潰閾值,實際網(wǎng)絡結(jié)構中關系網(wǎng)絡的易感性均低于加權網(wǎng)絡的易感性,且金融加權網(wǎng)絡中的傳染速度和傳染范圍均低于貿(mào)易加權網(wǎng)絡；較希臘單獨作為傳染源,“歐豬五國”的聯(lián)合違約加大了對金融網(wǎng)絡的沖擊范圍,但對貿(mào)易網(wǎng)絡的沖擊范圍較�。恢袊诮鹑诰W(wǎng)絡中的易感性低于在貿(mào)易網(wǎng)絡中的易感性,且潛伏期越久,此種現(xiàn)象越明顯。第6章通過對巴塞爾協(xié)議、貨幣政策、宏觀審慎政策、金融預警體系和金融穩(wěn)健性體系等策略研究進展的分析,試圖搭建了應對金融危機的適應性免疫策略理論框架。貨幣政策為目前各經(jīng)濟體應對金融危機傳染的主要手段,因此,使用時變參數(shù)向量自回歸模型對次貸危機和歐債危機期間我國貨幣政策干預的適應性調(diào)節(jié)進行了檢驗,發(fā)現(xiàn)我國數(shù)量型貨幣政策較價格型貨幣政策有效性更弱。對經(jīng)濟增長的刺激作用中,利率通過貨幣渠道的傳導機制較為顯著且持續(xù)期更久,存款準備金率通過信貸渠道的傳導機制較微弱；對預防通縮的刺激作用中,存款準備金率通過信貸渠道的傳導機制較明顯,存款準備金率通過貨幣渠道的傳導機制失效。同時,為了借鑒發(fā)達經(jīng)濟體應對金融危機的適應性免疫策略經(jīng)驗,使用向量自回歸模型,對歐美日在金融危機期間的非常規(guī)貨幣政策進行了實證檢驗,發(fā)現(xiàn)歐元區(qū)貨幣政策有效性表現(xiàn)最為欠佳。另外,通過復雜網(wǎng)絡中的隨機免疫、目標免疫和熟人免疫策略的分析,對全球網(wǎng)絡中危機傳染進行了免疫策略比較。通過以上實證分析和模擬評估,對于深入推進金融危機傳染理論和方法研究,系統(tǒng)化金融危機免疫策略分析,維持我國經(jīng)濟和金融穩(wěn)定提供了方法和理論支撐。
[Abstract]:For half a century, the financial crisis from one country to another spread has been normalized and complex, is like an infectious disease like this. Let be taken by surprise into the spread of the financial crisis is still lurking in the current financial environment, like gathering in the sub-health of the virus in the body, at any time and with a new financial crisis. The global financial market in China as the sick. The world's second largest economy, is destined to become a susceptible object in the contagion of financial crisis in recent years: after the subprime crisis, the exchange rate risk and capital market risk in China continue to accumulate, with the depreciation of the dollar, China issued an emergency four trillion stimulus plan, and led to soaring property market inflation; the European debt crisis, the overall weak European consumption, China's growth in the month exports continue to appear negative growth, with the depreciation of the euro, imported inflation pressure increases, mainly rely on Slowing export led economic growth into the new normal. Therefore, in the global economic and financial integration in the background, to further promote with China's interest rate marketization and internationalization of the RMB, starting from the global perspective, financial network of Global trade network and global gold based on the in-depth analysis of the financial crisis and the characteristics of infectious susceptibility change Chinese the establishment of adaptive immune mechanism is becoming more and more urgent, and to resolve the future China suffered infectious risk warning, has important theoretical and practical significance. This paper is based on the above background, using epidemiological theory, theory and econometric methods of complex networks are combined, along the "potential infection source identification -- to me our measure of adaptive immunity" - infectious route of research, the external financial crisis measure and free on China infectious Thorough research on disease strategy. In the second chapter, the definition and interpretation of contagion from the financial crisis contagion, infectious and immune aspects of research in four aspects, the progress of related research carried out and tried to build a theoretical framework of financial crisis. From the source of infection, infection and susceptibility of three basic parts, natural population immunity, adaptive immunity and government assistance three defense of the outbreak of the financial crisis, contagion, impact, prevention measures and other related research progress were summarized; on the development and application of D-D, A-G and G-K network model literature, theory platform was built up to the contagion mechanism of random impact on financial network; from the propagation dynamics of complex network theory and its application in the research of infectious financial crisis summary of financial crisis contagion theory research were more systematic and deep comb The third chapter analysis. In the perspective of the global network of potential sources of infection were identified. On the basis of the economy and trade finance two major channels of communication, to build a global trade network and global financial network, found that global trade network has a power-law distribution and small world characteristics, global financial networks with unbiased distribution and the small world characteristics. Through the static characteristics of complex network theory, using K-shell weighted degree centrality, closeness centrality, betweenness centrality index and eigenvector centrality of network center, to identify the global trade network and global financial network potential source of infection, found that not only the United States, Britain, Germany, Chinese. France and other countries with potentially infectious, on the global economy like Belgium, Malaysia, Luxemburg and other small countries also has a central role in the global network, once the outbreak of gold The financial crisis, will pose a threat to the global economic and financial stability. In addition, should also pay close attention to the dynamic characteristics of the global network evolution and potential source of infection. In the fourth chapter, based on the network identification of source of infection, to the European debt crisis as an example, observed the direct infection characteristics of a single source of infection and multiple infection of our country. Through constructing trade transmission channels measure trade income effect index, through the construction of the foreign exchange market pressure index, index of financial market pressure index to measure the financial and investment channels of contagion, using Granger causality test analysis and VAR model analysis of the EU as a source of infection for the direct contagion effect the growth of China's output, trade channels found infectious the relatively weak, but the reaction speed, and that during this period our country to the EU trade dependence overall changes smaller. At the same time, the use of time-varying parameter vector autoregressive model, into the One step to observe the PIIGS united as a source of infection to direct contagion effect the growth of China's output, and will replace the variable of economic growth index as output growth index, verify the robustness of the model, the results found that with the continuous fermentation of the European debt crisis, the contagion effect of trade channels and financial channels gradually increased, five through the channels of trade impact on China's financial channel is more intense and lasting stability. In the fifth chapter, using complex network theory and SEIR epidemic model of infectious source of our indirect transmission characteristics was observed, to compensate for the lack of previous use of econometric methods ignore the indirect infection. In the empirical simulation similar to the European debt crisis for example, the results showed that: in the simulation of complex network model, small world network model and Global trade network structure, degree, uniform conditions for stochastic network model and global Financial network structure matching; infectious debt crisis in the global trade network and global financial networks have spread threshold and breakdown threshold, susceptibility to actual network structure in the network are lower than the susceptibility weighted network and weighted network, financial transmission speed and transmission range are lower than the trade weighted network; than Greece alone as the source of infection, "joint default PIIGS" to increase the scope of the financial impact of the network, but the impact of trade network in the financial network is smaller; Chinese susceptibility in trade in the network is lower than the susceptibility, and the longer latency, this phenomenon is more obvious. The sixth chapter of the Basel agreement through monetary policy. Macro Prudential policy, analysis of the development strategy study on financial early warning system and financial system stability, trying to build a strategy of adaptive immune response to the financial crisis A little theoretical framework. As the main means of monetary policy, the economy in response to the financial crisis contagion therefore, using time-varying parameter vector autoregressive model of the subprime mortgage crisis and the European debt crisis of China's monetary policy intervention adaptation was examined. It is found that the effectiveness of monetary policy in China is the number of type of price based monetary policy more weak. To stimulate economic growth, the interest rate transmission mechanism through the monetary channel is more significant and longer duration, the deposit reserve rate through the transmission mechanism of credit channel is weak; to prevent deflation by stimulation, the deposit reserve rate through the transmission mechanism of credit channel is more obvious, the failure of the deposit reserve ratio by money the channel transmission mechanism. At the same time, in order to experience the adaptive immune strategy from the developed economies to deal with the financial crisis, using the vector auto regression model, to the United States and in Europe Unconventional monetary policy during the financial crisis, the empirical test found that the effectiveness of monetary policy in the euro area was the most poor. In addition, through random immune complex networks, analysis of target immunization and immunization strategy, the crisis of global network of infectious immune strategy. Through the above empirical analysis and simulation evaluation. To further promote the research on the theories and methods of financial crisis contagion, systematic analysis of the financial crisis immunization strategy, provide methods and theoretical support for China's economic and financial stability.

【學位授予單位】：吉林大學
【學位級別】：博士
【學位授予年份】：2016
【分類號】：F831.59;F224
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本文編號：1362761