本文選題：當(dāng)代美國金融危機(jī)　切入點(diǎn)：金融危機(jī)形成機(jī)理　出處：《南京大學(xué)》2012年博士論文

【摘要】：2007年爆發(fā)的當(dāng)代美國金融危機(jī)及其引發(fā)的當(dāng)代國際金融危機(jī),對世界各國的經(jīng)濟(jì)發(fā)展造成了嚴(yán)重的沖擊,至今世界各國經(jīng)濟(jì)尚未完全擺脫其陰影,更因美國主權(quán)信用評級下降和歐洲主權(quán)債務(wù)問題惡化,發(fā)達(dá)國家仍有進(jìn)一步陷入衰退的可能。針對當(dāng)代美國金融危機(jī)的爆發(fā)原因,理論界進(jìn)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(dāng)代美國金融危機(jī)的影響程度和爆發(fā)原因進(jìn)行定量分析。本文認(rèn)為在經(jīng)濟(jì)全球化背景下,準(zhǔn)確刻畫當(dāng)代美國金融危機(jī)的影響程度,實(shí)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(dāng)代美國金融危機(jī)的形成機(jī)理,并為中國加強(qiáng)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(fēng)險和金融危機(jī)的概念,分析它們的相互關(guān)系和演進(jìn)過程,繼而界定當(dāng)代美國金融危機(jī)的相關(guān)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(fēng)險的基礎(chǔ)上,全景式地展現(xiàn)當(dāng)代美國金融危機(jī)的爆發(fā)過程,及其對主要發(fā)達(dá)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(jī)壓力指數(shù)和外匯市場壓力指數(shù)的基礎(chǔ)上,本文構(gòu)建金融危機(jī)壓力指數(shù)以反映當(dāng)代美國金融危機(jī)的影響程度,針對當(dāng)代美國金融危機(jī)的小概率屬性,進(jìn)一步引入基于極值理論的Hill統(tǒng)計(jì)量確定金融危機(jī)壓力指數(shù)的臨界值,并將該臨界值與峰度法和均值標(biāo)準(zhǔn)差法確定的臨界值進(jìn)行比較。基于文獻(xiàn)研究法,本文還構(gòu)建了分析當(dāng)代美國金融危機(jī)爆發(fā)原因的指標(biāo)體系,其中包括宏觀經(jīng)濟(jì)運(yùn)行指標(biāo)、金融系統(tǒng)監(jiān)測指標(biāo)和資產(chǎn)價格泡沫指標(biāo)。運(yùn)用隨機(jī)森林模型,本文實(shí)證分析指標(biāo)的重要性,根據(jù)指標(biāo)的重要性排名剖析當(dāng)代美國金融危機(jī)爆發(fā)的決定性因素,并從經(jīng)濟(jì)制度層面、人文精神層面和技術(shù)創(chuàng)新層面分析當(dāng)代美國金融危機(jī)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(fēng)險,金融風(fēng)險的聚集與擴(kuò)散導(dǎo)致金融危機(jī),具體到當(dāng)代美國金融危機(jī),其爆發(fā)過程也滿足以上演進(jìn)過程;以金融危機(jī)壓力指數(shù)反映當(dāng)代美國金融危機(jī)的影響程度,Hill統(tǒng)計(jì)量和峰度法界定的金融危機(jī)壓力指數(shù)均優(yōu)于均值標(biāo)準(zhǔn)差法界定的臨界值,其中Hill統(tǒng)計(jì)量界定的臨界值最優(yōu),也是將當(dāng)代美國金融危機(jī)表示為二元數(shù)值的判斷依據(jù);隨機(jī)森林模型的實(shí)證結(jié)果表明,以房價指數(shù)變化率為代表的資產(chǎn)價格泡沫是引發(fā)當(dāng)代美國金融危機(jī)的決定性因素,相比之下,宏觀經(jīng)濟(jì)運(yùn)行指標(biāo)和金融系統(tǒng)監(jiān)測指標(biāo)的影響程度較小;資產(chǎn)價格泡沫產(chǎn)生的主要原因是美國的虛擬經(jīng)濟(jì)過度偏離實(shí)體經(jīng)濟(jì),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(jì)下迅速蔓延至世界各國。通過對資產(chǎn)價格泡沫的進(jìn)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(dāng)代美國金融危機(jī)的深層次原因�；谘芯拷Y(jié)論所得的重要啟示,本文結(jié)合現(xiàn)狀,提出了相應(yīng)的政策建議:提高對資產(chǎn)價格泡沫的監(jiān)控力度、完善社會主義市場經(jīng)濟(jì)體制、加強(qiáng)社會主義精神文明建設(shè)和繼續(xù)改進(jìn)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(xué)位授予單位】：南京大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F837.12
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本文編號：1720862