次贷危机的扩散机制研究
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摘要
20世纪九十年代以来，国际资本的迅速流动，金融衍生品的不断推陈出新，巨额的短期资本在股市和汇市的频繁进出，为投资者提供了广泛的投资机会，也为各国经济的发展提供了优越的外部条件，同时也给世界经济和国际金融领域的稳定带来了新的冲击和不稳定性。在此背景下爆发的大大小小的金融危机，已成为当今世界经济生活中一种常态。本研究以次贷危机为研究对象，探寻次贷危机的形成机理，阐释次贷危机扩散的动力机制和传播路径，通过定性分析和定量分析相结合的方法，剖析次贷危机的扩散机制，并提出防范和化解金融风险的策略体系。
在对经济危机、金融危机和次贷危机等相关核心概念界定的基础之上，对次贷危机产生的根源进行了规范分析，得出了货币内在矛盾的激化、经济人利己和利他的冲突，以及资本内在矛盾的激化为其产生的根源；通过对次贷危机爆发的实际考察，系统总结了次贷危机升级为金融危机，金融危机转化为经济危机的演进机理，得出了次贷危机从信贷市场到资本市场，从虚拟经济到实体经济的扩散机制，从而奠定了全文的理论基础。
从系统论的观点分析了次贷危机扩散的基础、渠道和机理，得出了其扩散的系统动力学机制。从规范经济学的范式分析了次贷危机扩散的效应，即在次贷危机扩散过程中存在着凯恩斯效应、威克塞尔效应、财富效应和资产负债表效应。并从贸易、投资、消费者信心三个角度分析了次贷危机对中国经济的影响，并对其实际影响进行了总体判断。
再从贸易渠道、金融渠道和心理渠道对次贷危机的扩散进行了实证研究。得出了次贷危机贸易渠道的扩散主要源于汇率的竞争性贬值，并且竞争性贬值的非合作博弈纳什均衡比所有国家联合行动共同对付危机的合作均衡更差的结论；金融渠道的扩散主要源于利率和汇率的双重作用所导致的估值效应而产生的，得出了估值效应发生的利率和汇率条件；而心理渠道的扩散主要源于人们预期的变化所导致消费、投资减少所产生的。三种扩散渠道的机理均来源于实体经济体系中恒定状态的打破。
最后通过对传统的金融危机预警的信号分析模型进行修正，选取24个新兴工业化国家为样本，构建了金融危机的预警模型。同时，也通过对模型的实证检验，给出了次贷危机扩散的深度和广度的定量解答和数理证明。针对次贷危机扩散的实际情况，给出了防范和化解次贷危机的相关对策和建议，提出了以内需拉动经济增长是应对金融危机的根本措施，加快实现产业结构升级是防范国际经济波动的有效途径，建立金融风险防御机制是维护金融体系稳定的有力措施，以及维持人民币汇率稳定以防止危机进一步扩散传播的对策和建议。
Since1990’s, based on rapid moving of the international capital and renovationof financial derivatives together with frequent in and out of large amount ofshort-term capital in stock market and foreign exchange market, investors have foundmany investment chances and all of which provide many countries with excellentexternal condition of economic development. Meanwhile， it brings about newimpact and instability in global economy and international finance. Large and smallfinancial crisises come from this background have been a common normal state oftoday’s world economic life. This research selected sub-prime crisis as object andsearched for the forming mechanism of sub-prime crisis. Besides, the researchexplained the dynamic mechanism and propagation path of sub-prime crisis diffusionand analysed the diffusion mechanism of sub-prime crisis. Furthermore, it putforward a strategic system of financial risk precaution and resolution.
Based on the definition of key concepts such as economic crisis, financial crisisand sub-prime crisis, the authors conducted norm analysis on the origins of thissub-prime crisis and found out the origins contain the contradiction of currency, theconfliction of middle man between self-interest and altruism and contradiction ofcapital. The authors systematically summarized the evolution mechanism that thesub-prime crisis has become the financial crisis and continue to change into economiccrisis. The whole paper is based on the diffusion mechanism of sub-prime crisis fromcredit market to capital market and from virtual economy to real economy.
Found the system dynamic mechanism of diffusion through analyzing thesub-prime crisis diffusion basis, channel and mechanism from the point of view ofsystem theory. The authors analyzed the diffusion effect with normal form ofnormative economics including Keynes effect, Wicksee effect, wealth effect andbalance sheet effect. The authors also analyzed the effect on Chinese economy of thiscrisis from the point of view of trade, investment consumer confidence and made awhole judgment on the real effect.
Introduced empirical study on the crisis diffusion from trade channel, financialchannel and psychological channel and got the conclusion that the main diffusionchannel of sub-prime crisis is competitive depreciation of foreign exchange and thenon-cooperative game Nash equilibrium of competitive depreciation is not so good asthe condition under which all countries cope with the crisis cooperatively. Thediffusion though financial channel derives from the valuation effect of interest rateand foreign exchange rate and the condition of the above two rates is found out. The diffusion through psychological channel derives from the deduction of consumptionand investment due to the change of human expectation. The mechanism of the abovethree channel derives from the breaking of constant state of real economic system.
Finally, the authors construct the precaution model of financial crisis by revisingthe classic KLR model and selecting24newly industrializing countries as samples.The quantitive answers and mathematical provements of the diffusion depth andwidth of sub-prime crisis are given by giving entity inspection of the model.According to the real circumstances of crisis diffusion, the authors made severalsuggestions and proposals in order to avoid and defuse the crisis. The fundamentalway of facing financial crisis is stimulate economic growth by increasing domesticdemand. The effective method of avoiding international economic fluctuation isaccelerating the steps of upgrading industrial structure. The powerful practice ofmaintaining the stability of financial system is setting up financial risk defensesystem. It is also important to keep the stability of RMB exchange rate to avoid thefurther diffusion of crisis.
在对经济危机、金融危机和次贷危机等相关核心概念界定的基础之上，对次贷危机产生的根源进行了规范分析，得出了货币内在矛盾的激化、经济人利己和利他的冲突，以及资本内在矛盾的激化为其产生的根源；通过对次贷危机爆发的实际考察，系统总结了次贷危机升级为金融危机，金融危机转化为经济危机的演进机理，得出了次贷危机从信贷市场到资本市场，从虚拟经济到实体经济的扩散机制，从而奠定了全文的理论基础。
从系统论的观点分析了次贷危机扩散的基础、渠道和机理，得出了其扩散的系统动力学机制。从规范经济学的范式分析了次贷危机扩散的效应，即在次贷危机扩散过程中存在着凯恩斯效应、威克塞尔效应、财富效应和资产负债表效应。并从贸易、投资、消费者信心三个角度分析了次贷危机对中国经济的影响，并对其实际影响进行了总体判断。
再从贸易渠道、金融渠道和心理渠道对次贷危机的扩散进行了实证研究。得出了次贷危机贸易渠道的扩散主要源于汇率的竞争性贬值，并且竞争性贬值的非合作博弈纳什均衡比所有国家联合行动共同对付危机的合作均衡更差的结论；金融渠道的扩散主要源于利率和汇率的双重作用所导致的估值效应而产生的，得出了估值效应发生的利率和汇率条件；而心理渠道的扩散主要源于人们预期的变化所导致消费、投资减少所产生的。三种扩散渠道的机理均来源于实体经济体系中恒定状态的打破。
最后通过对传统的金融危机预警的信号分析模型进行修正，选取24个新兴工业化国家为样本，构建了金融危机的预警模型。同时，也通过对模型的实证检验，给出了次贷危机扩散的深度和广度的定量解答和数理证明。针对次贷危机扩散的实际情况，给出了防范和化解次贷危机的相关对策和建议，提出了以内需拉动经济增长是应对金融危机的根本措施，加快实现产业结构升级是防范国际经济波动的有效途径，建立金融风险防御机制是维护金融体系稳定的有力措施，以及维持人民币汇率稳定以防止危机进一步扩散传播的对策和建议。
Since1990’s, based on rapid moving of the international capital and renovationof financial derivatives together with frequent in and out of large amount ofshort-term capital in stock market and foreign exchange market, investors have foundmany investment chances and all of which provide many countries with excellentexternal condition of economic development. Meanwhile， it brings about newimpact and instability in global economy and international finance. Large and smallfinancial crisises come from this background have been a common normal state oftoday’s world economic life. This research selected sub-prime crisis as object andsearched for the forming mechanism of sub-prime crisis. Besides, the researchexplained the dynamic mechanism and propagation path of sub-prime crisis diffusionand analysed the diffusion mechanism of sub-prime crisis. Furthermore, it putforward a strategic system of financial risk precaution and resolution.
Based on the definition of key concepts such as economic crisis, financial crisisand sub-prime crisis, the authors conducted norm analysis on the origins of thissub-prime crisis and found out the origins contain the contradiction of currency, theconfliction of middle man between self-interest and altruism and contradiction ofcapital. The authors systematically summarized the evolution mechanism that thesub-prime crisis has become the financial crisis and continue to change into economiccrisis. The whole paper is based on the diffusion mechanism of sub-prime crisis fromcredit market to capital market and from virtual economy to real economy.
Found the system dynamic mechanism of diffusion through analyzing thesub-prime crisis diffusion basis, channel and mechanism from the point of view ofsystem theory. The authors analyzed the diffusion effect with normal form ofnormative economics including Keynes effect, Wicksee effect, wealth effect andbalance sheet effect. The authors also analyzed the effect on Chinese economy of thiscrisis from the point of view of trade, investment consumer confidence and made awhole judgment on the real effect.
Introduced empirical study on the crisis diffusion from trade channel, financialchannel and psychological channel and got the conclusion that the main diffusionchannel of sub-prime crisis is competitive depreciation of foreign exchange and thenon-cooperative game Nash equilibrium of competitive depreciation is not so good asthe condition under which all countries cope with the crisis cooperatively. Thediffusion though financial channel derives from the valuation effect of interest rateand foreign exchange rate and the condition of the above two rates is found out. The diffusion through psychological channel derives from the deduction of consumptionand investment due to the change of human expectation. The mechanism of the abovethree channel derives from the breaking of constant state of real economic system.
Finally, the authors construct the precaution model of financial crisis by revisingthe classic KLR model and selecting24newly industrializing countries as samples.The quantitive answers and mathematical provements of the diffusion depth andwidth of sub-prime crisis are given by giving entity inspection of the model.According to the real circumstances of crisis diffusion, the authors made severalsuggestions and proposals in order to avoid and defuse the crisis. The fundamentalway of facing financial crisis is stimulate economic growth by increasing domesticdemand. The effective method of avoiding international economic fluctuation isaccelerating the steps of upgrading industrial structure. The powerful practice ofmaintaining the stability of financial system is setting up financial risk defensesystem. It is also important to keep the stability of RMB exchange rate to avoid thefurther diffusion of crisis.
引文
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