金融危机传导理论研究
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摘要
金融危机传导是金融危机理论的重要内容。它既是金融危机形成原因和冲击结果的连接环节,也是早期预警体系和救助政策的理论基础,本文主要阐述当代经济金融环境下的金融危机传导问题。
在理清金融危机传导涵义的基础上,分析当代金融危机传导的环境,阐述金融危机传导的路径和范围。本文将金融危机传导定义为金融危机爆发对本国和其他国家金融体系和实体经济产生影响的过程以及危机引起的经济金融之间相互作用的过程；并且认为金融自由化、金融虚拟化、经济全球化是金融危机传导的宏观环境,市场参与主体的增加、金融部门业务范围和风险承担模式的转变是金融危机传导的微观环境；而且根据波及地域不同,将危机传导分为封闭经济条件下的危机传导和开放经济条件下的危机传导。
在封闭经济条件下金融危机传导方面,本文首先分析了金融市场危机、金融机构危机和国际债务危机之间如何传导以及综合性金融危机如何形成,然后归纳了金融危机向实体经济体层面的传导机制,分析了金融危机对产出、就业等实际变量的影响,并且以20世纪80年代拉美债务危机、1997年亚洲金融危机和21世纪初全球金融危机危机为例对封闭经济条件下金融危机传导进行经验分析。
在开放经济条件下金融危机传导方面,本文分析了基于贸易渠道的危机传导、基于金融渠道的危机传导以及基于预期渠道的危机传导。在贸易渠道传导的分析中,阐述了直接贸易渠道传导和间接贸易渠道传导,分析了收入机制、价格机制、资产负债表效应机制、贸易融资机制和支付方式机制在贸易渠道传导中的作用；在金融渠道传导的分析中,阐述了金融渠道传导的表现形式,重点分析了金融危机传导理论中的“共同债权人效应”,并且在最优资产组合模型的基础上对金融渠道传导进行模型分析；在预期渠道传导的分析中,强调信息不完全导致的预期变化在危机传导中的重要作用。
在危机传导过程中,早期预警体系和救助政策构成了金融危机自由传导的制度约束。在早期预警体系与金融危机传导的论述中,本文首先阐述早期预警体系有效性的涵义,分析有效的早期预警体系和无效的早期预警体系对金融危机传导的不同影响,然后利用博弈论的工具分析早期预警信息可得性即信息差别对金融危机传导初始力量和传导路径的影响；在救助政策与金融危机传导的论述中,本文首先分析了救助政策与金融危机传导的关系,阐述了救助政策有效性对金融危机传导的影响,认为适当时机、适当规模、适当内容的救助政策会对危机传导产生阻断效应,并且以本国利益为出发点的救助政策可能会对其他国家产生正向溢出效应和负向溢出效应。
在进行理论分析的基础上,本文利用上述三次金融危机为样本对开放经济条件下金融危机传导进行实际考察,为基于贸易渠道、金融渠道和预期渠道的金融危机传导以及制度约束对金融危机传导的影响提供证据支持和实践检验。此外,利用VAR方法对金融危机传导的存在性进行计量分析,并且以贸易渠道传导为例对金融危机传导机制进行实证检验。
最后,分析了
在危机自由传导和制度约束共同作用下的危机传导结果。本文以21世纪初“次贷危机”导致的全球金融危机为例归纳发达经济体与新兴和发展中经济体之间、发达经济体之间、新兴和发展中经济体之间金融危机传导结果的差异性,并且从“次贷危机”中扮演的角色、对国际资本的依赖、对外贸易依存度等方面分析不同类型经济体之间产生传导结果差异性的原因。
Financial crisis transmission is an important part of financial crisis theory, as it is not only the intermediate part between the cause and the result, but also the theoretical basis of Early Warning Systems and bail-out policies. The dissertation mainly discusses the financial crisis transmission under the circumstances of contemporary economy and finance.
The dissertation makes clear the environment of contemporary financial crisis transmission and explains the route and the extent on the basis of clarifying the meaning of the transmission. It believes that financial crisis transmission is the course of crisis affecting financial system and real economy and the interaction between finance and economy. Moreover, it discusses that the macro environment of crisis transmission includes financial liberalization, financial fictionalization, and economic globalization and so on, and the micro environment of crisis transmission includes the increase of participants in market, the change of business and the risk-bearing way of financial department. Further, the crisis transmission is divided into that in closed economy and in open economy according to the transmission area.
As to the financial crisis transmission in closed economy, the dissertation analyzes how the transmission happens among financial market crisis, financial institution crisis and foreign debt crisis, and explains the formation of comprehensive financial crisis. Then, it analyzes the transmission mechanism of crisis affecting real economy and the effect on output and employment. In addition, it makes empirical analysis about crisis transmission in closed economy taking Latin American debt crisis in 1980s, Asian financial crisis in 1997 and global financial crisis in the early of 21st century as examples.
As to the financial crisis transmission in open economy, the dissertation analyzes the transmission through international trade channel, finance channel and expectation channel. When analyzing the transmission through trade channel, it discusses direct and indirect trade transmission, and explains the effect of mechanism of income, price, balance sheet effect, trade finance and means of payment on crisis transmission. When analyzing the transmission through finance channel, it discusses the expression of the transmission, and mainly examines "common debtor effect" in the theory of crisis transmission. And then, it extends the Model of Optimal Asset Portfolio to explain the transmission mechanism. When analyzing the transmission through expectation channel, it emphasizes the important effect on the transmission of the change of expectation by imperfect information.
In the course of the transmission, Early Warning Systems (EWS) and bail-out policies become the institutional constraints of the free transmission. As to Early Warning Systems and crisis transmission, it examines the meaning of effectiveness of EWS, and analyzes how the effective and ineffective EWS affecting the crisis transmission. Then, it uses the instruments of Game Theory to explain how the information accessibility of EWS or information difference affecting the initial power and the transmission route. As to bail-out policies and crisis transmission, it analyzes the relationship between bail-out policies and crisis transmission, and explains how bail-out policies affecting crisis transmission. Besides, it argues that bail-out policies, which have proper time, proper scale and proper content, would interrupt the transmission and the policies, which are carried out taking their benefit as staring point, would produce positive and negative spillover effects on the other countries.
What is more, it investigates the transmission in open economy, taking the three above-mentioned crises as examples, in order to provide evidence for the transmission through trade channel, finance channel, expectation channel and the effect of institutional constraints on the transmission. Further, it makes quantitative analysis on the existence of crisis transmission by VAR approach, and makes empirical study, taking the transmission through trade channel as an example, on transmission mechanism.
Finally, it discusses the transmission results which are caused by the crisis free transmission and institutional constraints. It sums up the differentiation between advanced economies and emerging and developing economies, among different advanced economies, different emerging and developing economies, taking the global financial crisis induced by "sub-prime mortgage crisis" in the early of 21st century as an example, and then analyzes the reasons for differentiation from the point of the role in "sub-prime mortgage crisis", dependence on international capital, dependence on international trade and so on.
在理清金融危机传导涵义的基础上,分析当代金融危机传导的环境,阐述金融危机传导的路径和范围。本文将金融危机传导定义为金融危机爆发对本国和其他国家金融体系和实体经济产生影响的过程以及危机引起的经济金融之间相互作用的过程；并且认为金融自由化、金融虚拟化、经济全球化是金融危机传导的宏观环境,市场参与主体的增加、金融部门业务范围和风险承担模式的转变是金融危机传导的微观环境；而且根据波及地域不同,将危机传导分为封闭经济条件下的危机传导和开放经济条件下的危机传导。
在封闭经济条件下金融危机传导方面,本文首先分析了金融市场危机、金融机构危机和国际债务危机之间如何传导以及综合性金融危机如何形成,然后归纳了金融危机向实体经济体层面的传导机制,分析了金融危机对产出、就业等实际变量的影响,并且以20世纪80年代拉美债务危机、1997年亚洲金融危机和21世纪初全球金融危机危机为例对封闭经济条件下金融危机传导进行经验分析。
在开放经济条件下金融危机传导方面,本文分析了基于贸易渠道的危机传导、基于金融渠道的危机传导以及基于预期渠道的危机传导。在贸易渠道传导的分析中,阐述了直接贸易渠道传导和间接贸易渠道传导,分析了收入机制、价格机制、资产负债表效应机制、贸易融资机制和支付方式机制在贸易渠道传导中的作用；在金融渠道传导的分析中,阐述了金融渠道传导的表现形式,重点分析了金融危机传导理论中的“共同债权人效应”,并且在最优资产组合模型的基础上对金融渠道传导进行模型分析；在预期渠道传导的分析中,强调信息不完全导致的预期变化在危机传导中的重要作用。
在危机传导过程中,早期预警体系和救助政策构成了金融危机自由传导的制度约束。在早期预警体系与金融危机传导的论述中,本文首先阐述早期预警体系有效性的涵义,分析有效的早期预警体系和无效的早期预警体系对金融危机传导的不同影响,然后利用博弈论的工具分析早期预警信息可得性即信息差别对金融危机传导初始力量和传导路径的影响；在救助政策与金融危机传导的论述中,本文首先分析了救助政策与金融危机传导的关系,阐述了救助政策有效性对金融危机传导的影响,认为适当时机、适当规模、适当内容的救助政策会对危机传导产生阻断效应,并且以本国利益为出发点的救助政策可能会对其他国家产生正向溢出效应和负向溢出效应。
在进行理论分析的基础上,本文利用上述三次金融危机为样本对开放经济条件下金融危机传导进行实际考察,为基于贸易渠道、金融渠道和预期渠道的金融危机传导以及制度约束对金融危机传导的影响提供证据支持和实践检验。此外,利用VAR方法对金融危机传导的存在性进行计量分析,并且以贸易渠道传导为例对金融危机传导机制进行实证检验。
最后,分析了
在危机自由传导和制度约束共同作用下的危机传导结果。本文以21世纪初“次贷危机”导致的全球金融危机为例归纳发达经济体与新兴和发展中经济体之间、发达经济体之间、新兴和发展中经济体之间金融危机传导结果的差异性,并且从“次贷危机”中扮演的角色、对国际资本的依赖、对外贸易依存度等方面分析不同类型经济体之间产生传导结果差异性的原因。
Financial crisis transmission is an important part of financial crisis theory, as it is not only the intermediate part between the cause and the result, but also the theoretical basis of Early Warning Systems and bail-out policies. The dissertation mainly discusses the financial crisis transmission under the circumstances of contemporary economy and finance.
The dissertation makes clear the environment of contemporary financial crisis transmission and explains the route and the extent on the basis of clarifying the meaning of the transmission. It believes that financial crisis transmission is the course of crisis affecting financial system and real economy and the interaction between finance and economy. Moreover, it discusses that the macro environment of crisis transmission includes financial liberalization, financial fictionalization, and economic globalization and so on, and the micro environment of crisis transmission includes the increase of participants in market, the change of business and the risk-bearing way of financial department. Further, the crisis transmission is divided into that in closed economy and in open economy according to the transmission area.
As to the financial crisis transmission in closed economy, the dissertation analyzes how the transmission happens among financial market crisis, financial institution crisis and foreign debt crisis, and explains the formation of comprehensive financial crisis. Then, it analyzes the transmission mechanism of crisis affecting real economy and the effect on output and employment. In addition, it makes empirical analysis about crisis transmission in closed economy taking Latin American debt crisis in 1980s, Asian financial crisis in 1997 and global financial crisis in the early of 21st century as examples.
As to the financial crisis transmission in open economy, the dissertation analyzes the transmission through international trade channel, finance channel and expectation channel. When analyzing the transmission through trade channel, it discusses direct and indirect trade transmission, and explains the effect of mechanism of income, price, balance sheet effect, trade finance and means of payment on crisis transmission. When analyzing the transmission through finance channel, it discusses the expression of the transmission, and mainly examines "common debtor effect" in the theory of crisis transmission. And then, it extends the Model of Optimal Asset Portfolio to explain the transmission mechanism. When analyzing the transmission through expectation channel, it emphasizes the important effect on the transmission of the change of expectation by imperfect information.
In the course of the transmission, Early Warning Systems (EWS) and bail-out policies become the institutional constraints of the free transmission. As to Early Warning Systems and crisis transmission, it examines the meaning of effectiveness of EWS, and analyzes how the effective and ineffective EWS affecting the crisis transmission. Then, it uses the instruments of Game Theory to explain how the information accessibility of EWS or information difference affecting the initial power and the transmission route. As to bail-out policies and crisis transmission, it analyzes the relationship between bail-out policies and crisis transmission, and explains how bail-out policies affecting crisis transmission. Besides, it argues that bail-out policies, which have proper time, proper scale and proper content, would interrupt the transmission and the policies, which are carried out taking their benefit as staring point, would produce positive and negative spillover effects on the other countries.
What is more, it investigates the transmission in open economy, taking the three above-mentioned crises as examples, in order to provide evidence for the transmission through trade channel, finance channel, expectation channel and the effect of institutional constraints on the transmission. Further, it makes quantitative analysis on the existence of crisis transmission by VAR approach, and makes empirical study, taking the transmission through trade channel as an example, on transmission mechanism.
Finally, it discusses the transmission results which are caused by the crisis free transmission and institutional constraints. It sums up the differentiation between advanced economies and emerging and developing economies, among different advanced economies, different emerging and developing economies, taking the global financial crisis induced by "sub-prime mortgage crisis" in the early of 21st century as an example, and then analyzes the reasons for differentiation from the point of the role in "sub-prime mortgage crisis", dependence on international capital, dependence on international trade and so on.
引文
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