本文關(guān)鍵詞：外部金融危機(jī)對(duì)我國(guó)的傳染性測(cè)度及免疫策略研究　出處：《吉林大學(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 免疫 SEIR模型 復(fù)雜網(wǎng)絡(luò)

【摘要】：半個(gè)世紀(jì)以來(lái),金融危機(jī)從一個(gè)國(guó)家向別國(guó)的蔓延已常態(tài)化、復(fù)雜化,猶如傳染病—樣讓入措手不及。這種金融危機(jī)的蔓延依舊潛伏在當(dāng)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(shí)又會(huì)以新的金融危機(jī)種類使全球金融市場(chǎng)陷入病態(tài)。我國(guó)作為目前世界第二大經(jīng)濟(jì)體,在近些年的金融危機(jī)傳染中已注定成為易感對(duì)象：次貸危機(jī)后,我國(guó)匯率風(fēng)險(xiǎn)和資本市場(chǎng)風(fēng)險(xiǎn)不斷積聚,隨著美元貶值,我國(guó)緊急出臺(tái)了四萬(wàn)億刺激計(jì)劃,導(dǎo)致了樓市瘋長(zhǎng)和通貨膨脹；歐債危機(jī)后,歐洲整體消費(fèi)力疲軟,我國(guó)當(dāng)月出口額環(huán)比增速不斷出現(xiàn)負(fù)增長(zhǎng),隨著歐元的貶值,輸入型通脹壓力增大,主要依靠出口拉動(dòng)的經(jīng)濟(jì)增長(zhǎng)步入新常態(tài)的放緩趨勢(shì)。因此,在全球經(jīng)濟(jì)一體化和金融一體化的背景下,伴隨我國(guó)利率市場(chǎng)化和人民幣國(guó)際化的進(jìn)一步推進(jìn),從全局視角出發(fā),基于全球貿(mào)易網(wǎng)絡(luò)和全球金融網(wǎng)絡(luò),深入剖析金融危機(jī)的傳染性特征及中國(guó)的易感性變化,建立適應(yīng)性免疫機(jī)制無(wú)疑變得越來(lái)越迫切,對(duì)于未來(lái)中國(guó)遭受傳染性風(fēng)險(xiǎn)的預(yù)警和化解,具有重要的理論及現(xiàn)實(shí)意義。本文正是基于以上現(xiàn)實(shí)背景,借鑒流行病學(xué)理論,將復(fù)雜網(wǎng)絡(luò)理論與經(jīng)濟(jì)計(jì)量方法進(jìn)行結(jié)合,沿著“潛在傳染源識(shí)別—對(duì)我國(guó)的傳染性測(cè)度—適應(yīng)性免疫”研究路線,進(jìn)行了外部金融危機(jī)對(duì)我國(guó)的傳染性測(cè)度以及免疫策略的深入系統(tǒng)研究。第2章從金融危機(jī)傳染的界定、傳染釋義、傳染環(huán)節(jié)和免疫研究四個(gè)角度,對(duì)相關(guān)文獻(xiàn)研究進(jìn)展進(jìn)行了梳理,試圖搭建了金融危機(jī)傳染的理論研究框架。從傳染源、傳染途徑和易感群體三個(gè)基本環(huán)節(jié),固有免疫、適應(yīng)性免疫和政府救助三道防線對(duì)金融危機(jī)的爆發(fā)原因、傳染渠道、影響程度、防范措施等相關(guān)研究進(jìn)展進(jìn)行了歸納；對(duì)D-D、A-G和G-K等網(wǎng)絡(luò)傳染模型文獻(xiàn)的發(fā)展和運(yùn)用,進(jìn)一步搭建了隨機(jī)沖擊對(duì)金融網(wǎng)絡(luò)的傳染機(jī)制的理論平臺(tái)；從復(fù)雜網(wǎng)絡(luò)傳播動(dòng)力學(xué)理論的出現(xiàn)及其在金融危機(jī)傳染應(yīng)用中的研究總結(jié),對(duì)金融危機(jī)傳染理論研究進(jìn)行了更為系統(tǒng)和深入的梳理。第3章從事前分析角度對(duì)全球網(wǎng)絡(luò)的潛在傳染源進(jìn)行了識(shí)別。依據(jù)各經(jīng)濟(jì)體間貿(mào)易和金融兩大聯(lián)系渠道,構(gòu)建了全球貿(mào)易網(wǎng)絡(luò)和全球金融網(wǎng)絡(luò),發(fā)現(xiàn)全球貿(mào)易網(wǎng)絡(luò)具有冪律分布特征和小世界特征,全球金融網(wǎng)絡(luò)具有無(wú)偏分布特征和小世界特征。通過(guò)復(fù)雜網(wǎng)絡(luò)靜態(tài)特征理論,利用k-shell、加權(quán)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(luò)中心性指標(biāo),對(duì)全球貿(mào)易網(wǎng)絡(luò)和全球金融網(wǎng)絡(luò)的潛在傳染源進(jìn)行識(shí)別,發(fā)現(xiàn)不僅美國(guó)、中國(guó)、英國(guó)、德國(guó)、法國(guó)等經(jīng)濟(jì)大國(guó)對(duì)全球經(jīng)濟(jì)具有潛在傳染性,類似比利時(shí)、馬來(lái)西亞、盧森堡等經(jīng)濟(jì)小國(guó)同樣在全球網(wǎng)絡(luò)中具有中心性地位,一旦爆發(fā)金融危機(jī),將對(duì)全球經(jīng)濟(jì)和金融穩(wěn)定構(gòu)成威脅。另外,還應(yīng)時(shí)刻關(guān)注全球網(wǎng)絡(luò)的演變和潛在傳染源的動(dòng)態(tài)變化特征。第4章在網(wǎng)絡(luò)傳染源的識(shí)別基礎(chǔ)上,以歐債危機(jī)為例,分別觀察了單個(gè)傳染源和多個(gè)傳染源對(duì)我國(guó)的直接傳染特征。通過(guò)構(gòu)建貿(mào)易收入效應(yīng)指標(biāo)度量貿(mào)易傳染渠道,通過(guò)構(gòu)建外匯市場(chǎng)壓力指標(biāo)、金融市場(chǎng)壓力指標(biāo)和投資指標(biāo)度量金融渠道傳染,利用Granger因果檢驗(yàn)分析和VAR模型分析了歐盟作為傳染源對(duì)我國(guó)產(chǎn)出增長(zhǎng)的直接傳染效應(yīng),發(fā)現(xiàn)貿(mào)易渠道傳染性相對(duì)較弱,但反應(yīng)速度較快,這與此期間我國(guó)對(duì)歐盟貿(mào)易依存度總體變化較小有關(guān)。同時(shí),利用時(shí)變參數(shù)向量自回歸模型,進(jìn)一步觀察了“歐豬五國(guó)”聯(lián)合作為傳染源對(duì)我國(guó)產(chǎn)出增長(zhǎng)的直接傳染效應(yīng),并將經(jīng)濟(jì)增長(zhǎng)指標(biāo)作為產(chǎn)出增長(zhǎng)指標(biāo)的替代變量,驗(yàn)證了模型的穩(wěn)健性,結(jié)果發(fā)現(xiàn)隨著歐債危機(jī)的持續(xù)發(fā)酵,貿(mào)易渠道和金融渠道的傳染效應(yīng)逐漸增強(qiáng),五國(guó)通過(guò)貿(mào)易渠道對(duì)我國(guó)的影響較金融渠道更為強(qiáng)烈且穩(wěn)定持久。第5章利用復(fù)雜網(wǎng)絡(luò)理論方法和傳染病SEIR模型觀察了傳染源對(duì)我國(guó)的間接傳染特征,彌補(bǔ)了以往使用經(jīng)濟(jì)計(jì)量方法忽視間接傳染的不足。在實(shí)證模擬中同樣以歐債危機(jī)為例,結(jié)果發(fā)現(xiàn)：在復(fù)雜網(wǎng)絡(luò)模型的模擬中,小世界網(wǎng)絡(luò)模型與全球貿(mào)易網(wǎng)絡(luò)結(jié)構(gòu)更匹配,點(diǎn)度條件統(tǒng)一隨機(jī)網(wǎng)絡(luò)模型與全球金融網(wǎng)絡(luò)結(jié)構(gòu)更匹配；歐債危機(jī)在全球貿(mào)易網(wǎng)絡(luò)和全球金融網(wǎng)絡(luò)中的傳染均具有擴(kuò)散閾值和崩潰閾值,實(shí)際網(wǎng)絡(luò)結(jié)構(gòu)中關(guān)系網(wǎng)絡(luò)的易感性均低于加權(quán)網(wǎng)絡(luò)的易感性,且金融加權(quán)網(wǎng)絡(luò)中的傳染速度和傳染范圍均低于貿(mào)易加權(quán)網(wǎng)絡(luò)；較希臘單獨(dú)作為傳染源,“歐豬五國(guó)”的聯(lián)合違約加大了對(duì)金融網(wǎng)絡(luò)的沖擊范圍,但對(duì)貿(mào)易網(wǎng)絡(luò)的沖擊范圍較��；中國(guó)在金融網(wǎng)絡(luò)中的易感性低于在貿(mào)易網(wǎng)絡(luò)中的易感性,且潛伏期越久,此種現(xiàn)象越明顯。第6章通過(guò)對(duì)巴塞爾協(xié)議、貨幣政策、宏觀審慎政策、金融預(yù)警體系和金融穩(wěn)健性體系等策略研究進(jìn)展的分析,試圖搭建了應(yīng)對(duì)金融危機(jī)的適應(yīng)性免疫策略理論框架。貨幣政策為目前各經(jīng)濟(jì)體應(yīng)對(duì)金融危機(jī)傳染的主要手段,因此,使用時(shí)變參數(shù)向量自回歸模型對(duì)次貸危機(jī)和歐債危機(jī)期間我國(guó)貨幣政策干預(yù)的適應(yīng)性調(diào)節(jié)進(jìn)行了檢驗(yàn),發(fā)現(xiàn)我國(guó)數(shù)量型貨幣政策較價(jià)格型貨幣政策有效性更弱。對(duì)經(jīng)濟(jì)增長(zhǎng)的刺激作用中,利率通過(guò)貨幣渠道的傳導(dǎo)機(jī)制較為顯著且持續(xù)期更久,存款準(zhǔn)備金率通過(guò)信貸渠道的傳導(dǎo)機(jī)制較微弱；對(duì)預(yù)防通縮的刺激作用中,存款準(zhǔn)備金率通過(guò)信貸渠道的傳導(dǎo)機(jī)制較明顯,存款準(zhǔn)備金率通過(guò)貨幣渠道的傳導(dǎo)機(jī)制失效。同時(shí),為了借鑒發(fā)達(dá)經(jīng)濟(jì)體應(yīng)對(duì)金融危機(jī)的適應(yīng)性免疫策略經(jīng)驗(yàn),使用向量自回歸模型,對(duì)歐美日在金融危機(jī)期間的非常規(guī)貨幣政策進(jìn)行了實(shí)證檢驗(yàn),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(guò)復(fù)雜網(wǎng)絡(luò)中的隨機(jī)免疫、目標(biāo)免疫和熟人免疫策略的分析,對(duì)全球網(wǎng)絡(luò)中危機(jī)傳染進(jìn)行了免疫策略比較。通過(guò)以上實(shí)證分析和模擬評(píng)估,對(duì)于深入推進(jìn)金融危機(jī)傳染理論和方法研究,系統(tǒng)化金融危機(jī)免疫策略分析,維持我國(guó)經(jīng)濟(jì)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(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類號(hào)】：F831.59;F224
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本文編號(hào)：1362761