金融投机攻击、金融脆弱性与金融风险管理
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摘要
自二十世纪后半期开始,世界各国纷纷爆发了金融危机,金融危机的成因和表现形式也发生了很大的变化。特别是2007年以来,美国“次贷危机”引导的全球金融危机更是使各国深受其累,由此导致世界经济发生严重动荡,也引发了大量关于金融危机成因、金融风险防范以及虚拟经济和实体经济关联的研究。在诸多研究中,一种形成共识的观点认为,金融系统本身存在着一定的脆弱性。在现今这样的时代背景下,金融全球化、金融自由化和金融创新在推动经济发展的同时也加大了金融脆弱性。金融脆弱的内生性导致了金融投机攻击的易发性和危机传染的扩散性,开放经济下金融投机攻击的频发和金融传染范围的扩大又进一步破坏了各国金融系统稳定,由此形成了恶性循环。因此,基于金融风险管理的经济风险管理成为国家宏观经济管理的首要目标。
本文在国内外相关理论和实证研究的基础上,以金融脆弱性、金融投机攻击和金融传染作为研究的核心内容。首先,本文对金融脆弱性一般理论框架和经典模型进行了介绍和梳理,将金融脆弱性的理论按照传统信贷市场的视角与金融市场的视角进行划分和归纳,传统信贷市场的主要理论包括：明斯基的金融不稳定假说、克瑞格的安全边界假说、银行的顺周期行为理论、银行挤兑论和Allen和Gale的金融脆弱性模型。金融市场的脆弱性理论则主要是针对资产价格波动及其联动效应的研究,包括资产价格波动理论、汇率超调理论、价格波动的关联性理等。
其次,本文对货币危机的三代理论模型进行了梳理和总结,对其进行了有效的引中和评价,在此基础上深入探讨了货币危机的微观作用机理和宏观传染模型。货币危机理论模型主要经历了三代的发展,第一代模型是Krugman(1979)发展的无抵御政策和抵御政策模型,认为宏观基本因素的恶化是导致货币危机的主要原因；第二代是Obstfeld(1994,1996,1997)发展的阶段性条件政策模型,认为货币危机的诱因主要是预期因素；第三代模型以道德风险模型、证券组合投资资本项目危机模型和羊群模型为代表,是从微观的角度对货币危机的解读。对于货币危机的微观作用机理,本论文对Mendoza等(2009)的模型进行了扩展,加入了结构化的金融机构,分析了在资产负债表剧烈变动时,金融部门是怎样将金融风险传递给其他微观主体并如何发生作用。同时,本文通过一个简单的两国模型对货币危机的宏观传染机制进行了说明。
第三,为系统判断我国金融脆弱性的程度,本文对我国金融脆弱性的区间进行甄别。根据我国金融体系发展的特点,现阶段金融业发展的实际以及相关金融经济指标数据获得情况,本文采用银行体系存款总额同比增速、银行体系贷款总额同比增速以及银行存贷比三个指标作为考察金融脆弱性的变量,然后利用因子分析法对上述三个指标提取主成分,最后采用加权指数法构造我国金融脆弱性指数。结果表明,在近期,我国的金融脆弱指数已经超过警戒线。在此基础上,本文考察金融脆弱性对我国宏观经济主要变量的冲击效应,通过构建包括实际GDP同比增速、通货膨胀率以及金融脆弱性指数在内的三个变量的向量自回归模型,计算脉冲响应函数,并绘制了脉冲响应曲线。另外,为反映金融脆弱性指数对实际GDP同比增速以及通货膨胀影响的稳健性,本文还利用蒙特卡罗模拟方法抽样计算了脉冲响应曲线的标准差,并重新绘制了脉冲响应曲线,结果表明利用解析法计算的脉冲响应曲线的标准差与利用蒙特卡罗模拟的方法计算的标准差并无显著性的差别。
第四,为说明宏观经济中的金融投机行为,本文沿用了Corsetti和Mackowiak(2006)以及Burnside等(2001,2006)的研究思路,将金融投机攻击引致的货币危机看成是货币政策和财政政策协调失败的结果。在开放经济模型中引入政策转移机制,假定政策组合出现转换,投机攻击就会发生作用。通过对模型的分析说明了固定汇率制度崩溃的原因。从经济政策组合机制角度和宏观调控机制方面,提供国家经济风险度量和管理的理论观点和经验证据。在模型的分析中,可以发现,当采用积极货币政策时,开放经济模型采用固定汇率制,而出现经济政策组合方式转变之后,固定汇率制将被迫向浮动汇率制转变,名义利率急剧上升,国债规模也快速增长,名义汇率也随之膨胀,出现了加速攀升的通货膨胀,进而引发货币危机。
第五,金融传染的主要路径包括三条,本文以美国股票市场和亚洲7国股票市场为样本,应用DCC-GARCH模型对开放经济下金融传染的第三条渠道,即不同国家金融部门之间的传染进行了探讨与检验,并对国际股票市场上的金融传染的动态相关性进行了研究,结果表明各国股票市场的条件相关系数存在一个显著的增长,金融传染现象在2007-2009年金融危机发生期间尤为显著。通过对三段金融危机爆发期的金融传染的动态关联系数与“正常状态下”的条件关联系数进行对比,可以发现,在金融危机爆发期,美国股票市场的波动对亚洲股票市场的影响更大。
最后,本文从系统的角度建立了含有GDP增长率,CPI增长率,M2增长率,股票市值收益率增长率差分序列以及金融脆弱性指标的向量VAR模型。将金融脆弱性、金融深化的问题与经济增长的问题相联系,并对这些因素的关系进行了脉冲响应检验。研究的结果说明,金融深化在短期内对经济增长有负向的影响,但在长期内对经济增长会产生止向的影响。此外,经济增长的正向冲击将对金融脆弱性具有长期止向影响：CPI的止向冲击先对金融脆弱性产生正向影响,随后将变为负向影响且逐步收敛：M2增长率的正向冲击对金融脆弱性有持续的负向影响。
A series of financial crises have broken out in many countries around the world ever since the latter half of the20th century. The reasons causing the financial crisis and the forms have also changed a lot. Especially, the American subprime crisis in2007has caused a global financial crisis which makes all the nations suffer. The severe turbulence of the world economy has induced a widespread research studying causes and prevention of financial crisis and the relationship between virtual economy and substantial economy. Among all these researches, there is a widely believed idea that the financial crisis has its own fragility intensified by the globalization, liberalization and innovation of finance that enormously facilitate the economic development in this contemporary age. The endogenous characteristics of the fragility lead to the liability of financial speculative attacks and contagious spread of crisis which in turn worsen the stability of states' financial system. Thus, a vicious circle is formed. Managing economic exposure on the basis of financial risk management has become a primary goal in the countries' macroeconomic management.
Based on the related theories at home and abroad and empirical researches, this thesis will focus on the financial fragility, financial speculative attacks and financial contagion. Firstly, the third generation model of monetary crisis will be combed, generalized and summarized, and then it will be evaluated and extended. Main theories of traditional credit market include:Financial Instability Hypothesis of Minsky, Security Boundary Hypothesis of Craig, Bank's Pro-cyclical Behavior Theory, Bank Run Theory as well as Financial Fragility Model of Allen and Gale. Fragility study in financial market mainly aims at asset price fluctuation and the linkage effect, including asset price fluctuation theory, Sticky-Price Monetary Approach, theories related to price fluctuation and financial contagion channel theory.
Secondly, this paper settles and summarizes three-generation theoretical model of monetary crisis, effectively expounds and evaluates it, on this account deeply discusses microcosmic effect mechanism and macroscopic contagion model for monetary crisis. Monetary crisis theoretical model has experienced mainly three-generation development. The first generation of models is non-resistance policy and resistance policy models developed by Krugman (1979). It considers the deterioration of basic macroscopic factor is the main cause of monetary crisis; the second generation is stage condition policy model developed by Obstfeld (1994,1996,1997). It considers the precipitating factor of monetary crisis is mainly the expected factor; the third generation of models is represented by ethical risk model, security portfolio investment capital crisis model and herd model. They unscramble monetary crisis from microcosmic perspective. As for microcosmic effect mechanism of monetary crisis, this paper expands the model of Mendoza et al.(2009), adds structured financing institution and analyzes how financial sector transfers financial risk to other microcosmic bodies and how it acts when the balance sheet changes drastically. Meanwhile, this paper explains macroscopic contagion mechanism of monetary crisis through a simple two-country model.
Thirdly, in a bid to systematically judge the degree of Chinese financial fragility, the intervals of Chinese financial fragility are discriminated. According to the development characteristics of China's financial system, current situations of current finance industry as well as relevant financial indexes and data, this paper adopts three indexes to investigate financial fragility, including year-on-year growth of total deposit in banking system, year-on-year growth of total loan in banking system and loan-to-deposit ratio. Then, factor analysis method is used to draw principal components of the above three indexes. Finally, weighted index method is adopted to construct financial fragility index. The result shows recently, China's financial fragility index has exceeded the warning line. Based on this, this paper investigates the impact effect of financial fragility on main variables of China's macro-economy. Impulse response curve is drawn through constructing vector auto-regression models of three variables (including year-on-year growth of practical GDP. inflation rate and financial fragility index) and calculating impulse response function. In addition, to reflect the influence stability of financial fragility index on year-on-year growth of practical GDP and inflation rate, we also calculate the standard deviation of impulse response curve by Monte Carlo simulation method and draw impulse response curve again. The result shows the standard deviation of impulse response curve calculated by analytical method has not significant difference with that calculated by Monte Carlo simulation method.
Fourthly, to explain financial speculation behavior in macro-economy, this paper adopts research thoughts of Daniel (2001), Corsetti and Mackowiak (2006) as well as Burnsideet al.(2001,2006), regarding the monetary crisis incurred by financial speculation attack as the result of the failure to coordinate monetary policy and financial policy. On this account, an open economic model with policy transfer is constructed, and the causes of the collapse of fixed exchange rate system are explained so as to provide some theoretical perspectives and empirical evidence for measurement and management of national economic risks. In the model analysis, we can find when positive monetary policy is adopted, open economic model adopts fixed exchange rate system; however, when the way of economic policy mix is changed, fixed exchange rate system will be forced to change to floating exchange rate system and the nominal interest rate will rise sharply; besides, national bonds scale increases rapidly; the nominal interest rate inflates therewith; accelerated inflation occurs; thus monetary crisis is caused.
Fifthly, main paths for financial contagion include three. This paper takes American stock market and stocks markets of7Asian countries for examples and applies DCC-GARCH model to discuss and test the third financial contagion channel under open economy (i.e. financial contagion among financial sectors of different countries) and to study dynamic correlation of financial contagion on international stock market. The result of this paper shows conditional correlation coefficients of each stock market have significant increase; financial contagion phenomenon is especially remarkable in2007-2009(during financial crisis). It can be found through comparing dynamic correlation coefficients of financial contagion and conditional correlation coefficients "under normal state" during three stages of financial crisis, during financial crisis, the fluctuation in American stock market plays a more important role in the correlation of the two.
Finally, this paper from systematic perspective establishes VAR model including difference sequence of GDP growth rate, CPI growth rate, M2growth rate and yield growth rate in stock value as well as financial fragility index. The result of linking financial fragility, financial deepening and economic growth shows, financial deepening imposes negative influence on economic growth in a short time, but will produce positive influence on economic growth in a long term. Furthermore, positive impact of economic growth will have long-term positive influence on financial fragility; positive impact of CPI influences financial fragility first positively and then negatively, with gradual convergence; positive impact of M2growth rate has continuous negative influence on financial fragility.
本文在国内外相关理论和实证研究的基础上,以金融脆弱性、金融投机攻击和金融传染作为研究的核心内容。首先,本文对金融脆弱性一般理论框架和经典模型进行了介绍和梳理,将金融脆弱性的理论按照传统信贷市场的视角与金融市场的视角进行划分和归纳,传统信贷市场的主要理论包括：明斯基的金融不稳定假说、克瑞格的安全边界假说、银行的顺周期行为理论、银行挤兑论和Allen和Gale的金融脆弱性模型。金融市场的脆弱性理论则主要是针对资产价格波动及其联动效应的研究,包括资产价格波动理论、汇率超调理论、价格波动的关联性理等。
其次,本文对货币危机的三代理论模型进行了梳理和总结,对其进行了有效的引中和评价,在此基础上深入探讨了货币危机的微观作用机理和宏观传染模型。货币危机理论模型主要经历了三代的发展,第一代模型是Krugman(1979)发展的无抵御政策和抵御政策模型,认为宏观基本因素的恶化是导致货币危机的主要原因；第二代是Obstfeld(1994,1996,1997)发展的阶段性条件政策模型,认为货币危机的诱因主要是预期因素；第三代模型以道德风险模型、证券组合投资资本项目危机模型和羊群模型为代表,是从微观的角度对货币危机的解读。对于货币危机的微观作用机理,本论文对Mendoza等(2009)的模型进行了扩展,加入了结构化的金融机构,分析了在资产负债表剧烈变动时,金融部门是怎样将金融风险传递给其他微观主体并如何发生作用。同时,本文通过一个简单的两国模型对货币危机的宏观传染机制进行了说明。
第三,为系统判断我国金融脆弱性的程度,本文对我国金融脆弱性的区间进行甄别。根据我国金融体系发展的特点,现阶段金融业发展的实际以及相关金融经济指标数据获得情况,本文采用银行体系存款总额同比增速、银行体系贷款总额同比增速以及银行存贷比三个指标作为考察金融脆弱性的变量,然后利用因子分析法对上述三个指标提取主成分,最后采用加权指数法构造我国金融脆弱性指数。结果表明,在近期,我国的金融脆弱指数已经超过警戒线。在此基础上,本文考察金融脆弱性对我国宏观经济主要变量的冲击效应,通过构建包括实际GDP同比增速、通货膨胀率以及金融脆弱性指数在内的三个变量的向量自回归模型,计算脉冲响应函数,并绘制了脉冲响应曲线。另外,为反映金融脆弱性指数对实际GDP同比增速以及通货膨胀影响的稳健性,本文还利用蒙特卡罗模拟方法抽样计算了脉冲响应曲线的标准差,并重新绘制了脉冲响应曲线,结果表明利用解析法计算的脉冲响应曲线的标准差与利用蒙特卡罗模拟的方法计算的标准差并无显著性的差别。
第四,为说明宏观经济中的金融投机行为,本文沿用了Corsetti和Mackowiak(2006)以及Burnside等(2001,2006)的研究思路,将金融投机攻击引致的货币危机看成是货币政策和财政政策协调失败的结果。在开放经济模型中引入政策转移机制,假定政策组合出现转换,投机攻击就会发生作用。通过对模型的分析说明了固定汇率制度崩溃的原因。从经济政策组合机制角度和宏观调控机制方面,提供国家经济风险度量和管理的理论观点和经验证据。在模型的分析中,可以发现,当采用积极货币政策时,开放经济模型采用固定汇率制,而出现经济政策组合方式转变之后,固定汇率制将被迫向浮动汇率制转变,名义利率急剧上升,国债规模也快速增长,名义汇率也随之膨胀,出现了加速攀升的通货膨胀,进而引发货币危机。
第五,金融传染的主要路径包括三条,本文以美国股票市场和亚洲7国股票市场为样本,应用DCC-GARCH模型对开放经济下金融传染的第三条渠道,即不同国家金融部门之间的传染进行了探讨与检验,并对国际股票市场上的金融传染的动态相关性进行了研究,结果表明各国股票市场的条件相关系数存在一个显著的增长,金融传染现象在2007-2009年金融危机发生期间尤为显著。通过对三段金融危机爆发期的金融传染的动态关联系数与“正常状态下”的条件关联系数进行对比,可以发现,在金融危机爆发期,美国股票市场的波动对亚洲股票市场的影响更大。
最后,本文从系统的角度建立了含有GDP增长率,CPI增长率,M2增长率,股票市值收益率增长率差分序列以及金融脆弱性指标的向量VAR模型。将金融脆弱性、金融深化的问题与经济增长的问题相联系,并对这些因素的关系进行了脉冲响应检验。研究的结果说明,金融深化在短期内对经济增长有负向的影响,但在长期内对经济增长会产生止向的影响。此外,经济增长的正向冲击将对金融脆弱性具有长期止向影响：CPI的止向冲击先对金融脆弱性产生正向影响,随后将变为负向影响且逐步收敛：M2增长率的正向冲击对金融脆弱性有持续的负向影响。
A series of financial crises have broken out in many countries around the world ever since the latter half of the20th century. The reasons causing the financial crisis and the forms have also changed a lot. Especially, the American subprime crisis in2007has caused a global financial crisis which makes all the nations suffer. The severe turbulence of the world economy has induced a widespread research studying causes and prevention of financial crisis and the relationship between virtual economy and substantial economy. Among all these researches, there is a widely believed idea that the financial crisis has its own fragility intensified by the globalization, liberalization and innovation of finance that enormously facilitate the economic development in this contemporary age. The endogenous characteristics of the fragility lead to the liability of financial speculative attacks and contagious spread of crisis which in turn worsen the stability of states' financial system. Thus, a vicious circle is formed. Managing economic exposure on the basis of financial risk management has become a primary goal in the countries' macroeconomic management.
Based on the related theories at home and abroad and empirical researches, this thesis will focus on the financial fragility, financial speculative attacks and financial contagion. Firstly, the third generation model of monetary crisis will be combed, generalized and summarized, and then it will be evaluated and extended. Main theories of traditional credit market include:Financial Instability Hypothesis of Minsky, Security Boundary Hypothesis of Craig, Bank's Pro-cyclical Behavior Theory, Bank Run Theory as well as Financial Fragility Model of Allen and Gale. Fragility study in financial market mainly aims at asset price fluctuation and the linkage effect, including asset price fluctuation theory, Sticky-Price Monetary Approach, theories related to price fluctuation and financial contagion channel theory.
Secondly, this paper settles and summarizes three-generation theoretical model of monetary crisis, effectively expounds and evaluates it, on this account deeply discusses microcosmic effect mechanism and macroscopic contagion model for monetary crisis. Monetary crisis theoretical model has experienced mainly three-generation development. The first generation of models is non-resistance policy and resistance policy models developed by Krugman (1979). It considers the deterioration of basic macroscopic factor is the main cause of monetary crisis; the second generation is stage condition policy model developed by Obstfeld (1994,1996,1997). It considers the precipitating factor of monetary crisis is mainly the expected factor; the third generation of models is represented by ethical risk model, security portfolio investment capital crisis model and herd model. They unscramble monetary crisis from microcosmic perspective. As for microcosmic effect mechanism of monetary crisis, this paper expands the model of Mendoza et al.(2009), adds structured financing institution and analyzes how financial sector transfers financial risk to other microcosmic bodies and how it acts when the balance sheet changes drastically. Meanwhile, this paper explains macroscopic contagion mechanism of monetary crisis through a simple two-country model.
Thirdly, in a bid to systematically judge the degree of Chinese financial fragility, the intervals of Chinese financial fragility are discriminated. According to the development characteristics of China's financial system, current situations of current finance industry as well as relevant financial indexes and data, this paper adopts three indexes to investigate financial fragility, including year-on-year growth of total deposit in banking system, year-on-year growth of total loan in banking system and loan-to-deposit ratio. Then, factor analysis method is used to draw principal components of the above three indexes. Finally, weighted index method is adopted to construct financial fragility index. The result shows recently, China's financial fragility index has exceeded the warning line. Based on this, this paper investigates the impact effect of financial fragility on main variables of China's macro-economy. Impulse response curve is drawn through constructing vector auto-regression models of three variables (including year-on-year growth of practical GDP. inflation rate and financial fragility index) and calculating impulse response function. In addition, to reflect the influence stability of financial fragility index on year-on-year growth of practical GDP and inflation rate, we also calculate the standard deviation of impulse response curve by Monte Carlo simulation method and draw impulse response curve again. The result shows the standard deviation of impulse response curve calculated by analytical method has not significant difference with that calculated by Monte Carlo simulation method.
Fourthly, to explain financial speculation behavior in macro-economy, this paper adopts research thoughts of Daniel (2001), Corsetti and Mackowiak (2006) as well as Burnsideet al.(2001,2006), regarding the monetary crisis incurred by financial speculation attack as the result of the failure to coordinate monetary policy and financial policy. On this account, an open economic model with policy transfer is constructed, and the causes of the collapse of fixed exchange rate system are explained so as to provide some theoretical perspectives and empirical evidence for measurement and management of national economic risks. In the model analysis, we can find when positive monetary policy is adopted, open economic model adopts fixed exchange rate system; however, when the way of economic policy mix is changed, fixed exchange rate system will be forced to change to floating exchange rate system and the nominal interest rate will rise sharply; besides, national bonds scale increases rapidly; the nominal interest rate inflates therewith; accelerated inflation occurs; thus monetary crisis is caused.
Fifthly, main paths for financial contagion include three. This paper takes American stock market and stocks markets of7Asian countries for examples and applies DCC-GARCH model to discuss and test the third financial contagion channel under open economy (i.e. financial contagion among financial sectors of different countries) and to study dynamic correlation of financial contagion on international stock market. The result of this paper shows conditional correlation coefficients of each stock market have significant increase; financial contagion phenomenon is especially remarkable in2007-2009(during financial crisis). It can be found through comparing dynamic correlation coefficients of financial contagion and conditional correlation coefficients "under normal state" during three stages of financial crisis, during financial crisis, the fluctuation in American stock market plays a more important role in the correlation of the two.
Finally, this paper from systematic perspective establishes VAR model including difference sequence of GDP growth rate, CPI growth rate, M2growth rate and yield growth rate in stock value as well as financial fragility index. The result of linking financial fragility, financial deepening and economic growth shows, financial deepening imposes negative influence on economic growth in a short time, but will produce positive influence on economic growth in a long term. Furthermore, positive impact of economic growth will have long-term positive influence on financial fragility; positive impact of CPI influences financial fragility first positively and then negatively, with gradual convergence; positive impact of M2growth rate has continuous negative influence on financial fragility.
引文
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