本文關(guān)鍵詞：基于隨機(jī)網(wǎng)絡(luò)的持有共同資產(chǎn)條件下的金融危機(jī)傳染分析　出處：《天津大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

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【摘要】：伴隨著全球經(jīng)濟(jì)和金融的不斷深化發(fā)展,世界各國(guó)之間的聯(lián)系日益緊密,而金融危機(jī)也表現(xiàn)出越來(lái)越強(qiáng)的傳染性;同時(shí),金融危機(jī)所波及的范圍和造成的損失也越來(lái)越大。2007年美國(guó)次級(jí)貸款危機(jī)爆發(fā)之后,以出乎意料的速度由金融系統(tǒng)向?qū)嶓w經(jīng)濟(jì)傳染,并逐漸擴(kuò)散至其他國(guó)家和地區(qū);2013年我國(guó)銀行錢荒事件在金融市場(chǎng)之間的快速傳導(dǎo)更是引發(fā)人們對(duì)系統(tǒng)風(fēng)險(xiǎn)及金融危機(jī)傳染的思考。為有效防范金融危機(jī),不少學(xué)者從不同的角度深入探究了金融危機(jī)的形成原因及其傳染機(jī)制,為預(yù)防金融危機(jī)的發(fā)生和傳染、降低金融危機(jī)造成的損失做出了巨大貢獻(xiàn)。然而,2007年美國(guó)次貸危機(jī)引發(fā)全球金融危機(jī)之后,傳統(tǒng)經(jīng)濟(jì)學(xué)再次受到了質(zhì)疑。有學(xué)者開始質(zhì)疑傳統(tǒng)經(jīng)濟(jì)學(xué)在風(fēng)險(xiǎn)分析和監(jiān)管上的正確性,并提出從系統(tǒng)風(fēng)險(xiǎn)的角度來(lái)分析金融危機(jī)。連接性作為金融系統(tǒng)中各個(gè)元素之間連接關(guān)系,被認(rèn)為與金融系統(tǒng)穩(wěn)定性存在密切關(guān)系。本文考察了金融機(jī)構(gòu)由于持有的共同資產(chǎn)受意外沖擊價(jià)格下跌而導(dǎo)致連鎖破產(chǎn)的金融危機(jī)傳染問題,以此研究金融危機(jī)的傳染機(jī)理。在介紹金融危機(jī)及其傳染定義的基礎(chǔ)上,著力于探討金融危機(jī)傳染的原因,并著重研究機(jī)構(gòu)共同持有資產(chǎn)的情況下,某機(jī)構(gòu)持有的某一資產(chǎn)受到外界沖擊而降價(jià)、導(dǎo)致該機(jī)構(gòu)破產(chǎn)清算進(jìn)而使得其他機(jī)構(gòu)持有的同類資產(chǎn)價(jià)格下降時(shí),是否會(huì)引發(fā)其他機(jī)構(gòu)的連鎖破產(chǎn)清算,即是否會(huì)導(dǎo)致金融危機(jī)的傳染。本文以隨機(jī)網(wǎng)絡(luò)表示金融機(jī)構(gòu)對(duì)風(fēng)險(xiǎn)資產(chǎn)的投資狀況并由此進(jìn)行數(shù)值模擬,以分析不同的金融機(jī)構(gòu)數(shù)量、風(fēng)險(xiǎn)資產(chǎn)數(shù)量、機(jī)構(gòu)平均持有風(fēng)險(xiǎn)資產(chǎn)數(shù)量、機(jī)構(gòu)的資產(chǎn)結(jié)構(gòu)及杠桿率等因素對(duì)金融危機(jī)傳染的影響。結(jié)果表明:1)其他參數(shù)給定的情況下,金融機(jī)構(gòu)數(shù)量越多,即機(jī)構(gòu)間聯(lián)系越緊密,越易發(fā)生金融危機(jī)傳染;2)資產(chǎn)數(shù)量越多的時(shí)候,金融機(jī)構(gòu)投資分散化,可以在一定程度上減少金融危機(jī)傳染;3)機(jī)構(gòu)平均持有資產(chǎn)數(shù)量對(duì)系統(tǒng)性風(fēng)險(xiǎn)呈現(xiàn)非線性影響;4)資產(chǎn)結(jié)構(gòu)代表無(wú)風(fēng)險(xiǎn)資產(chǎn)與風(fēng)險(xiǎn)資產(chǎn)的比例,風(fēng)險(xiǎn)資產(chǎn)越多,發(fā)生金融危機(jī)傳染的可能性越大;而杠桿率越高則越易引發(fā)金融危機(jī)傳染。
[Abstract]:With the deepening development of the global economy and finance, the relationship between the countries in the world is becoming closer and closer, and the financial crisis is showing more and more strong contagion. At the same time, the scope and losses caused by the financial crisis are also increasing. After the outbreak of the subprime mortgage crisis in 2007, the financial system spread to the real economy at an unexpected speed. And gradually spread to other countries and regions; In 2013, the rapid transmission of the bank money shortage in our country in the financial market caused people to think about the systemic risk and the contagion of the financial crisis, in order to prevent the financial crisis effectively. Many scholars from different angles to explore the formation of the financial crisis and its contagion mechanism, for the prevention of financial crises and contagion, to reduce the losses caused by the financial crisis has made a great contribution. In 2007, following the global financial crisis triggered by the subprime mortgage crisis in the United States, the traditional economics was questioned again. Some scholars began to question the correctness of the traditional economics in risk analysis and regulation. It also puts forward to analyze the financial crisis from the point of view of system risk. Connectivity is regarded as the connection relationship among the elements in the financial system. It is believed that there is a close relationship with the stability of the financial system. This paper examines the contagion of financial crisis caused by chain bankruptcy caused by the unexpected impact on the common assets held by financial institutions. On the basis of introducing the definition of financial crisis and contagion, we focus on the causes of financial crisis contagion, and focus on the case where institutions hold assets together. If the price of an asset held by an institution is reduced as a result of an external shock, which results in the bankruptcy liquidation of the institution, which in turn reduces the price of similar assets held by other institutions, whether or not it will lead to the chain liquidation of other institutions. In order to analyze the number of different financial institutions and the number of risky assets, this paper describes the investment status of financial institutions on risky assets by stochastic network and carries on the numerical simulation from the view of whether it will lead to the contagion of financial crisis. The average number of risky assets held by institutions, the influence of the assets structure and leverage ratio of institutions on the contagion of financial crisis. The result shows that the number of financial institutions is more when given other parameters. That is, the closer the institutional ties, the more prone to financial crisis contagion; 2) when the number of assets is more, the diversification of investment of financial institutions can reduce the contagion of financial crisis to a certain extent; 3) the average amount of assets held by institutions has a nonlinear effect on systemic risk; 4) the structure of assets represents the ratio of risk-free assets to riskless assets, and the more risky assets, the greater the possibility of contagion of financial crisis; The higher the leverage ratio, the more prone to financial crisis contagion.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F831.59

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