本文關(guān)鍵詞：虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)形成機(jī)理分析　出處：《江西財(cái)經(jīng)大學(xué)》2012年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn) 資產(chǎn)價(jià)格波動(dòng) 資本貨幣流動(dòng) 投資者行為 形成機(jī)理

【摘要】：美國(guó)次貸危機(jī)引發(fā)全球經(jīng)濟(jì)危機(jī),使全球經(jīng)濟(jì)面臨二十世紀(jì)30年代經(jīng)濟(jì)大蕭條以來最嚴(yán)重的大衰退。深入審視1997年的亞洲金融危機(jī)和2007年的美國(guó)次貸危機(jī)等諸多歷史案例,我們發(fā)現(xiàn),宏觀經(jīng)濟(jì)大幅波動(dòng)的根源不再是實(shí)體經(jīng)濟(jì)系統(tǒng),而是資產(chǎn)市場(chǎng),其最重要的表現(xiàn)是資產(chǎn)價(jià)格的大幅波動(dòng)。全文抓住資產(chǎn)價(jià)格波動(dòng)這一關(guān)鍵,從宏觀視角和微觀視角兩個(gè)角度建立模型,把理論分析與歷史案例相結(jié)合,深入研究虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)形成機(jī)理。 本文首先全面梳理了國(guó)內(nèi)外對(duì)虛擬資本、虛擬經(jīng)濟(jì)以及系統(tǒng)性風(fēng)險(xiǎn)的研究成果,然后對(duì)虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行了定義。綜合現(xiàn)有研究成果可以發(fā)現(xiàn),不管是從宏觀視角還是從微觀視角,資產(chǎn)價(jià)格波動(dòng)在虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)形成機(jī)理研究中占據(jù)十分重要的位置。本文正是遵循這一思路對(duì)已有虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)產(chǎn)生原因的文獻(xiàn)進(jìn)行了全面綜述。 本文基于宏觀視角,通過逐步拓展,分別構(gòu)建了廠商和家庭的二部門模型,廠商、家庭和虛擬經(jīng)濟(jì)的三部門模型,廠商、家庭、虛擬經(jīng)濟(jì)和政府的四部門模型以及廠商、家庭、虛擬經(jīng)濟(jì)、政府和國(guó)外部門存在的完備的五部門模型。在模型構(gòu)建過程中,逐步討論各部門貨幣收入和貨幣支出的流動(dòng),從貨幣量值衡量的劍橋增長(zhǎng)公式出發(fā),將虛擬經(jīng)濟(jì)與實(shí)體經(jīng)濟(jì)納入統(tǒng)一的宏觀經(jīng)濟(jì)框架,推導(dǎo)廠商、家庭、虛擬經(jīng)濟(jì)、政府和國(guó)外部門的一般均衡的表達(dá)式,提出資產(chǎn)價(jià)格波動(dòng)與虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)形成機(jī)理理論分析的宏觀視角。宏觀視角的進(jìn)一步分析,主要從資產(chǎn)價(jià)格和模型外生變量都既定不變、資產(chǎn)價(jià)格變動(dòng)而模型外生變量既定不變,以及資產(chǎn)價(jià)格與模型外生變量都發(fā)生變動(dòng)三種情況進(jìn)行深入討論。(1)虛擬經(jīng)濟(jì)規(guī)模遠(yuǎn)遠(yuǎn)超過實(shí)體經(jīng)濟(jì)規(guī)模時(shí),只有當(dāng)實(shí)體資本利率與虛擬資本收益率與貨幣市場(chǎng)利率同時(shí)相等才能實(shí)現(xiàn)宏觀經(jīng)濟(jì)均衡與穩(wěn)態(tài)。這是Wicksell現(xiàn)代宏觀經(jīng)濟(jì)均衡與穩(wěn)態(tài)理論在經(jīng)濟(jì)虛擬化條件下的新發(fā)展。(2)模型外生變量既定不變情況下,宏觀經(jīng)濟(jì)利潤(rùn)率處于上升或下降階段,利潤(rùn)率變化的事實(shí)和預(yù)期引起資產(chǎn)價(jià)格波動(dòng),進(jìn)而資產(chǎn)價(jià)格波動(dòng)影響虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)的形成。結(jié)論是,廠商資產(chǎn)價(jià)格上漲與廠商利潤(rùn)、廠商資產(chǎn)價(jià)值和廠商貸款需求之間的正反饋?zhàn)饔脵C(jī)制,使得在經(jīng)濟(jì)利潤(rùn)率上升階段,資產(chǎn)價(jià)格上漲具有持續(xù)性,并促成虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)的持續(xù)累積；資產(chǎn)價(jià)格下跌不具有持續(xù)性,但能夠階段性地使虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)得到釋放。在經(jīng)濟(jì)利潤(rùn)率下降階段,資產(chǎn)價(jià)格上漲難以持久,系統(tǒng)性風(fēng)險(xiǎn)可能隨時(shí)來臨,資產(chǎn)價(jià)格下跌超過一定幅度將引起系統(tǒng)性風(fēng)險(xiǎn)爆發(fā)。(3)當(dāng)模型外生變量可變時(shí),外生變量變化對(duì)虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)形成產(chǎn)生影響。銀行資產(chǎn)價(jià)值存量、銀行利潤(rùn)與銀行存款準(zhǔn)備金率變動(dòng)呈反向相關(guān)。在資產(chǎn)價(jià)格上漲階段,提高銀行存款準(zhǔn)備金率有利于抑制資產(chǎn)價(jià)格上漲,下調(diào)銀行存款準(zhǔn)備金率將促進(jìn)資產(chǎn)價(jià)格上漲；在資產(chǎn)價(jià)格下跌階段,提高銀行存款準(zhǔn)備金率將加速銀行資產(chǎn)價(jià)格下跌,下調(diào)銀行存款準(zhǔn)備金率有利于緩解銀行資產(chǎn)價(jià)格下跌。理論上貸款利率的變動(dòng)與資產(chǎn)價(jià)格波動(dòng)存在負(fù)相關(guān)的關(guān)系。貸款利率提高,資產(chǎn)價(jià)格下跌,貸款利率降低,資產(chǎn)價(jià)格上漲。存款利率變動(dòng)對(duì)虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)影響不明顯。資產(chǎn)抵押率對(duì)虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)形成的影響非常明顯,上調(diào)資產(chǎn)抵押率能夠直接有效抑制資產(chǎn)價(jià)格的上升,下調(diào)資產(chǎn)抵押率則能直接有效的緩解資產(chǎn)價(jià)格的下跌。本幣匯率上升引起本國(guó)資產(chǎn)價(jià)格上漲和本幣匯率的提高,造成系統(tǒng)性風(fēng)險(xiǎn)逐步累積,本幣匯率下降導(dǎo)致該國(guó)資產(chǎn)價(jià)格下跌,進(jìn)而加劇該國(guó)虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)。稅收、政府轉(zhuǎn)移支付和政府救助等方式同樣會(huì)對(duì)虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)形成產(chǎn)生影響。 雖然虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)的爆發(fā)表現(xiàn)出來的是宏觀現(xiàn)象,但是虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)的累積卻不僅僅是因?yàn)楹暧^層面的原因,虛擬經(jīng)濟(jì)系統(tǒng)微觀主體的狀況、心理和行為特征同樣是其根本而重要的因素。作為虛擬經(jīng)濟(jì)系統(tǒng)中最為關(guān)鍵的構(gòu)成要素——投資者,是各資產(chǎn)市場(chǎng)諸要素的核心。本文進(jìn)一步從行為金融的微觀視角入手,闡述虛擬資產(chǎn)價(jià)格形成及投資者行為變化導(dǎo)致虛擬資產(chǎn)價(jià)格波動(dòng)從而導(dǎo)致虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)的形成機(jī)理。 本文最后回顧了歷史上發(fā)生的法國(guó)密西西比股市、南海股票泡沫、二十世紀(jì)30年代世界經(jīng)濟(jì)大蕭條、亞洲金融危機(jī)以及美國(guó)次貸危機(jī)引發(fā)的全球經(jīng)濟(jì)大衰退等重大虛擬經(jīng)濟(jì)系統(tǒng)性危機(jī)事件,為虛擬經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)研究作經(jīng)驗(yàn)檢驗(yàn),力求做到歷史與邏輯相統(tǒng)一、理論與實(shí)際相結(jié)合。
[Abstract]:The U.S. subprime mortgage crisis triggered a global economic crisis, the global economy is facing the most serious since the twentieth Century 30s economic depression of the great recession. The Asian financial crisis in 1997 and 2007, an in-depth look at the subprime mortgage crisis in the United States and many other historical cases, we found that the source of macroeconomic volatility is not the real economy system, but the performance of asset market. The most important is the asset prices fluctuation. The fluctuation of asset prices seize this key model from two angles of macroscopic and microcosmic perspectives, theoretical analysis and case history combining in-depth study of risk formation mechanism of fictitious economy system.
This paper firstly reviews the domestic and foreign research results of fictitious capital, fictitious economy and systemic risk, then define the virtual economic systemic risk. Existing research results can be found, whether it is from the macro perspective or from the micro perspective, asset price fluctuations in the virtual economic system risk formation occupies very important the position of mechanism research. This article is based on this thought summarizes reasons of risk existing virtual economic system of the literature.
Based on the macro perspective, by gradually expanding, the firm and family two sector model, construct three sector manufacturers, family and virtual economy model, vendor, family, the four sector and the government of the virtual economy model and vendor, family, virtual economy, five departments complete existing government and foreign sectors in the model. The model building process, gradually discuss the Department monetary income and the expenditure of money flow, measure the amount of money from the Cambridge growth formula, the virtual economy and real economy into a unified framework of macro economy, derived vendors, family, virtual economy, general equilibrium expression of government and foreign authorities, proposed asset price volatility the virtual economic and systemic risk formation mechanism from a macro perspective of theoretical analysis. Further analysis mainly from the macro perspective, the asset price model and the exogenous variable amount of fixed assets. While the model of exogenous variables fixed price changes, and asset price model and exogenous variables vary in three cases (1) were discussed. The scale of fictitious economy is far more than the size of the real economy, only when the real interest rate and capital return rate of fictitious capital and money market rates at the same time equal to achieve macroeconomic equilibrium and the steady state. Wicksell is a new development of modern macroeconomic equilibrium and steady state theory in fictitious economy conditions. (2) the model of exogenous variables established unchanged, macro economic profit margins rise or decline stage, profit rate change and is expected to cause asset price fluctuations, and thus the influence of asset price volatility to form virtual economy system risk. The conclusion is that firm asset prices and profit, the positive feedback mechanism between firm asset value and loan demand in the firm, Economic profit rate rise, asset price inflation is persistent, sustained accumulation of fictitious economy and contribute to systemic risk; asset prices is not persistent, but be able to periodically make virtual economy systemic risk to be released. In the economic profit margins decline, rising asset prices can not be sustained, systematic risk may at any time come, asset prices fell by more than a certain level will cause the outbreak of systemic risk. (3) when the model of exogenous variable variable, exogenous variable changes influence the formation of the virtual economy system risk. The bank asset value stock, bank profits is negatively related to bank deposit reserve rate changes. In the rising phase of asset prices, improve the bank the deposit reserve ratio to curb rising asset prices, bank lowered the deposit reserve ratio will promote asset prices in asset prices fall stage, Improve the bank deposit reserve rate will accelerate the bank asset prices, bank lowered the deposit reserve rate will help alleviate the bank asset prices. The theory of interest rate changes and asset price volatility has a negative correlation. The loan interest rates, asset prices, lower lending rates, rising asset prices. The deposit interest rate changes on the impact of fictitious economy systemic risk is not obvious. Assets mortgage rate is very obvious impact on the virtual economy systemic risk formation, rising up mortgage rate can directly inhibit asset prices, lower asset mortgage rate could directly reduce asset prices. Cause the national asset prices and currency exchange rate increase in currency, cause systemic risk is gradually accumulated, the currency exchange rate fell to the asset prices, thereby increasing the country's virtual economic system Unified risk, tax, government transfer payment and government assistance will also have an impact on the formation of systemic risk in virtual economies.
Although the virtual economy and the outbreak of systemic risk reflects the macroeconomic phenomenon, but the accumulation of fictitious economy system risk is not only because of the macro level, the fictitious economy system of micro main body status, psychological and behavioral characteristics is also the fundamental and important factors. As the virtual economic system is the key elements of the investors, is the core elements of the asset market. This paper further from the micro perspective of the financial behavior, the formation mechanism of virtual asset price volatility resulting in fictitious economy system risk caused on virtual asset price formation and investor behavior changes.
At the end of this paper, reviews the history of the French Mississippi stock market, South Sea bubble, in twentieth Century 30s the world recession, the Asian financial crisis and the U.S. subprime mortgage crisis triggered a global economic recession and other major economic crisis, virtual system, virtual test experience for research of risk economic system, and strive to achieve the unity of history and logic and the combination of theory and practice.

【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F831.5;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 李，

本文編號(hào)：1439944