本文關(guān)鍵詞：金融摩擦、國際金融危機(jī)傳染與宏觀政策　出處：《中央財經(jīng)大學(xué)》2016年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 金融危機(jī)傳染 金融摩擦 量化寬松政策 財政政策

【摘要】：2007年底爆發(fā)的美國金融危機(jī)不僅給其發(fā)源國造成嚴(yán)重的破壞,還給其他國家的宏觀經(jīng)濟(jì)和金融市場造成了很大的沖擊,體現(xiàn)出顯著的跨國傳染特征。本文以金融危機(jī)期間的中美兩國作為研究對象,緊緊圍繞著國際金融危機(jī)傳染這個研究主題,通過構(gòu)建全局性的實(shí)證和理論模型,對金融危機(jī)傳染的特征事實(shí)、理論機(jī)制以及應(yīng)對的宏觀政策實(shí)施效果三方面問題進(jìn)行了詳細(xì)的分析。這三方面的研究環(huán)環(huán)緊扣,其具體分析過程和重要發(fā)現(xiàn)可以歸納如下:首先,為了考察中國受到金融危機(jī)傳染的特征事實(shí),本文建立了一個包含國家間貿(mào)易關(guān)聯(lián)的全局向量自回歸(GVAR)模型,從靜態(tài)、動態(tài)兩個層面對美國負(fù)面沖擊下中美兩國的經(jīng)濟(jì)周期聯(lián)動情況進(jìn)行了實(shí)證分析。對GVAR模型廣義脈沖響應(yīng)函數(shù)的分析表明:其一,美國真實(shí)GDP的負(fù)面沖擊使其國內(nèi)和中國的私人信貸量和資產(chǎn)價格開始時有顯著的下滑,但沒有持續(xù)性;其二,美國私人信貸量的負(fù)面沖擊使中國通貨膨脹率和私人信貸量下滑,同時令到中國真實(shí)GDP和資產(chǎn)價格出現(xiàn)上升,但脈沖響應(yīng)不顯著;其三,美國資產(chǎn)價格的突然下降使其國內(nèi)真實(shí)GDP、通貨膨脹率和私人信貸量出現(xiàn)下降,伴隨著中國真實(shí)GDP、私人信貸量和資產(chǎn)價格下降,體現(xiàn)出較強(qiáng)的周期聯(lián)動性,且脈沖動態(tài)有持續(xù)的顯著性。其中,美國私人信貸量、資產(chǎn)價格負(fù)面沖擊下的中國脈沖響應(yīng)可以反映中國所受到的金融危機(jī)傳染。其次,為了探討金融危機(jī)傳染的理論機(jī)制,本文先在一個新凱恩斯兩國動態(tài)隨機(jī)一般均衡(Two-Country DSGE)模型中考慮兩國信貸市場存在異質(zhì)性的金融摩擦,引入了BGG金融加速器和GK金融加速器,建立了四類帶有金融加速器的DSGE模型,然后,本文以外國的債務(wù)人凈財富、資本質(zhì)量兩方面負(fù)向沖擊模擬金融危機(jī),并對模型中兩國的脈沖響應(yīng)函數(shù)進(jìn)行了分析,結(jié)果主要有兩點(diǎn):第一,外國金融沖擊引發(fā)了其信貸部門的惡化,通過金融加速器的放大效應(yīng)形成金融危機(jī),并藉由貿(mào)易渠道使本國出口受到負(fù)向沖擊,從而導(dǎo)致本國金融加速器起作用,引發(fā)其經(jīng)濟(jì)金融負(fù)面的放大效應(yīng),由此金融危機(jī)實(shí)現(xiàn)了跨國傳染;第二,基于匹配GVAR模型中美經(jīng)濟(jì)周期聯(lián)動特征事實(shí)的標(biāo)準(zhǔn)對四類DSGE模型進(jìn)行了對比,發(fā)現(xiàn)較貼近現(xiàn)實(shí)經(jīng)濟(jì)的金融危機(jī)傳染理論機(jī)制是兩國都帶有GK金融加速器的模型。以上結(jié)果能夠解釋美國金融危機(jī)對中國的傳染。最后,為了分析宏觀政策應(yīng)對金融危機(jī)傳染的效果,本文基于上述甄選得到的兩國都帶有GK金融加速器的新凱恩斯DSGE模型,引入了量化寬松政策規(guī)則和財政政策規(guī)則,對金融危機(jī)傳染與外國不同強(qiáng)度量化寬松政策下本國財政政策的實(shí)施效果進(jìn)行了數(shù)值模擬。結(jié)果顯示,本國實(shí)施財政政策,其效果會受到外國量化寬松政策強(qiáng)度的影響。當(dāng)外國量化寬松政策較弱時,本國財政政策能較好地緩和金融危機(jī)傳染,但當(dāng)外國量化寬松政策不斷加碼時,本國財政政策就容易會以擠出效應(yīng)占主導(dǎo),使其國內(nèi)的投資和金融市場的波動更加劇烈,從而達(dá)不到預(yù)期效果。這個結(jié)果可以解釋“四萬億”財政計劃的雙面效果和評價“新常態(tài)”戰(zhàn)略的政策微調(diào)要求。
[Abstract]:The outbreak of the financial crisis in the United States by the end of 2007 caused serious damage not only to their country of origin, to other countries, macroeconomic and financial market caused great impact, reflecting the significant features of transnational infectious. During the financial crisis of the United States as the research object, closely around the international financial crisis contagion in this research topic, through the empirical and theoretical model of global, stylized facts of financial contagion, the theory of mechanism and deal with the macro policy implementation effect of three aspects of the problem are analyzed in detail. The three aspects of interlocking, the specific analysis process and important findings can be summarized as follows: firstly, in order to investigate the characteristics of the financial crisis by the fact Chinese infectious, this paper establishes an association between Global trade state vector autoregressive (GVAR) model, from the static, dynamic layer two In the face of the United States under the negative impact of the economic cycle between two countries. This article analyzes the GVAR model of generalized impulse response function analysis shows that: first, the negative impact of the U.S. real GDP the amount of domestic private credit and China and asset prices began when a significant decline, but there is no continuity; second, negative the impact of American private credit amount to Chinese inflation and private credit volume decline, also to Chinese real GDP and asset prices rose, but the impulse response is not significant; third, a sudden drop in US asset prices to the domestic real GDP, inflation rate and the amount of private credit declined, with China real GDP, private the amount of credit and asset prices, reflecting the strong linkage between the cycle, and the pulse dynamic significant sustained. Among them, the private credit and asset price negative impact The China impulse response can reflect the contagion of financial crisis by Chinese. Secondly, in order to explore the mechanism of financial contagion theory, this paper first in a new Keynes two dynamic stochastic general equilibrium (Two-Country DSGE) bilateral credit market financial frictions heterogeneity in this model, the introduction of the BGG GK financial accelerator and the financial accelerator. The establishment of four kinds of DSGE model with the financial accelerator. Then, based on the foreign capital two debtor net wealth, the financial crisis to the negative impact the quality of simulation, and the impulse response function of the model is analyzed, the main results are: first, foreign financial shock triggered the deterioration of the credit department, form the financial crisis by amplifying the financial accelerator effect, and through trade channels make their exports have negative impact, resulting in the domestic financial accelerator effect With the economic and financial, caused the negative amplification effect, thus realizes the financial crisis contagion; second, the GVAR model of Sino US economic cycle linkage fact criteria are compared to four kinds of DSGE model based on the theory of financial crisis mechanism, that are closer to the reality of economy is both GK with the financial accelerator model. The results can explain the financial crisis in the United States on infectious China. Finally, in order to analyze the macroeconomic policy response to the financial crisis contagion effect, the new Keynes DSGE model in this paper based on the above two selection with GK financial accelerator, introduced the quantitative easing policy rules and fiscal policy rules, the implementation effect of their fiscal policy and foreign financial crisis contagion the different intensity of quantitative easing was simulated. The results show that the implementation of national fiscal policy, its effect will be Influence of the foreign policy of quantitative easing strength. When the foreign policy of quantitative easing is weak, their fiscal policy can mitigate the financial crisis contagion, but when foreign quantitative easing policies continue to overweight, their fiscal policy will easily to the crowding out effect dominates, the domestic investment and financial markets more volatile, so as don't get the expected effect. This result can be explained by the "four trillion" plan to double the efficiency and evaluation of the financial strategy of the "new normal" policy fine-tuning.

【學(xué)位授予單位】：中央財經(jīng)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2016
【分類號】：F831
，

本文編號：1405791