路径约束条件下的金融创新机制问题研究
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摘要
随着我国社会主义市场经济体制的逐步建立,以及金融市场开放进程的有序推进,金融创新已越来越多地出现在金融业的实践之中。开展和加强对金融创新机制问题的研究,对于提高金融中介自主创新能力和核心竞争力,促进我国金融业的可持续健康发展具有重要意义。
本文对路径约束条件下的金融创新机制问题进行了研究。通过改进的Hotelling价格竞争模型,分析了金融中介关于金融创新的微观动机,探讨了金融创新的市场演化过程;总结了国内金融市场渐进式金融创新的四类市场格局,证明了金融中介之间的博弈学习行为能够获得与Nash均衡一致的博弈稳态;以可违约债券定价差异的现象为例,分析了投资者偏好和信念在金融创新定价机制中的作用;探讨了政府监管部门对金融创新的激励政策,并对国际上主流监管模式做了定量的比较分析。
首先,论文研究投资者异质性对于金融中介金融创新微观动机的影响,在此基础上进一步分析了金融创新的演化均衡。通过引入“交通成本”来测度投资者异质性,并证明交通成本的分布和变化情况会影响金融创新博弈的均衡结果。当引领创新者判断新的博弈均衡结果对其有利时,就会开始金融创新,当判断跟风创新会产生时,就会维持引领创新,直至形成新的博弈均衡。基于演化博弈理论分析了金融创新采纳扩散的条件和规律,得到了金融中介的演化稳定战略,这对于研究金融中介大群体成员之间随机匹配的重复博弈具有启示意义,并为政府合理规划金融创新路径提供了决策依据。研究表明:当有利的博弈演化均衡存在可达路径时,会强化金融中介引领金融创新和跟风创新的微观动机,国内金融市场通过提高机构投资者构成比重有利于金融创新的发展。
其次,论文研究渐进式金融创新中的金融中介的博弈学习行为及其Nash均衡。通过考察投资者关于创新证券的需求存在跳跃和变波动率的两类情形,放宽了文献中关于投资者需求服从几何布朗运动的假设条件,从而进一步逼近中国大陆等新兴加转轨金融市场的现实情况;通过定义金融中介关于金融创新的博弈结构,给出了金融创新市场格局的分类;基于博弈学习理论,证明了金融中介满足博弈稳态的占优战略可以通过博弈学习获得。研究表明:金融创新的市场格局是两类金融中介之间博弈学习和战略调整后形成的博弈稳态。
再次,论文以可违约债券作为一类金融创新产品,分析金融创新产品在市场中的定价差异的产生原因,设计金融创新的有效定价机制。通过考察可违约债券的“隐性差异”,逻辑解释并定量刻画了投资者关于可违约债券的偏好,分析了投资者个体偏好序的集结规则,提出实施成本概念并对其产生原因进行探讨;基于社会选择理论和博弈论,探讨了投资者关于可违约债券定价的社会目标和实施机制;通过信号传递博弈模型,分析不完全信息下金融中介和投资者定价博弈的均衡。研究表明:金融中介通过以支付实施成本向投资者传递了其声誉水平的信号,声誉水平的差异导致定价差异。
论文还就政府对金融创新的激励政策和监管模式抉择的问题进行了研究。通过分析政府和金融中介在金融创新中的博弈战略,提出有效激励成本概念来刻画政府对金融创新的激励作用,并得到一个有效激励政策所产生的博弈均衡;通过构造债股互换契约模型,比较分析了英美监管模式和德国监管模式,并对新兴的“二阶监管”模式进行简要分析,这对于国内金融创新监管模式的抉择具有启示意义。研究表明:政府和金融中介可以通过选取触发战略在金融创新中取得共赢,但各方共赢程度与监管模式类别有关。
论文的最后还提出了有待进一步研究的问题。
With socialist market economic system being gradually established, as well as financial markets orederly open, the financial innovation appears more and more in the the practice of financial services industry. Therefore, in order to promote the independent innovation ability and core competitiveness ability of financial intermediary and improve the sustainable and healthy development in financial services industry, it is very important to launch and increase researches on financial innovation mechanism.
The present dissertation sets out to study the financial mechanism. By using the improved Hotelling price competition model, it does not only analyze the micro-motivity of financial intermediary about financial innovation, but also market evolution. It defines the domestic financial market’s pattern categories and proves the strategies steady state consistent with the Nash equilibrium of financial intermediary can be accessed through game learning behavior. Refering the defaultable bond pricing diversification as an example, the dissertation analyzes investors' preference and belief in the financial innovation pricing mechanism. According to the new development in financial regulation mode, it gives a quantitative analysis on the incentive influcence of government regulation on financial innovation.
Firstly, the dissertation studies the influence of the investors’heterogeneity on micro-motivity of financial intermediary about financial innovation and further analyzes the evolution equilibrium in financial innovation. By introducing the“transport cost”to measure heterogeneity of investors, the dissertation proves that the probability distribution of“transport cost”will affect the pricing game equilibrium. If leading innovators benefit from the new equilibrium caused by financial innovation in the game, they will continue innovating, so do the following innovators. Therefore the financial innovation will be kept on. Based on evolutionary game theory, it makes a study of the condition and rule of the adoption and diffusion in financial innovation, so it gets the financial intermediaries’evolutionary stable strategies, which gives apocalypse for government decision-making on financial innovation programming. It comes to the conclusion that: financial intermediaries’innovation micro-motivity will be strengthened if there does exist beneficial equilibrium route in the evolutionary game of financial innovation. The conclusion reveals that altering the investor composing proportion by developing institutional investor is conducive to a financial innovation development.
Secondly, the dissertation studies the financial intermediaries’game learing behavior and Nash equilibrium in gradual financial innovation. Through reviewing jump and time-dependent volatilities in investors’demand on innovation securities, it relaxes the assumption in the literature that investors’demand submits to geometric Brown motion, which can further approximates the realistic situation of domestic financial market. It classfies the domestic financial market’s pattern categories by defining game structure in financial innovation, including strategies set, action order and payoffs. Based on game learning theory, it proves that the dominant strategy satisfying Nash equilibrium can be obtained by game learning. It comes to the conclusion that: the establishment of market pattern in financial innovation is the result of game stable states obtained through game learning and strategy adaption in the game among financial intermediaries.
Thirdly, taking the defaultable bond as an example of financial innovation product, the dissertation discusses the phenomenon of financial innovation product pricing diversification and studies the financial innovation pricing mechanism. By inspecting“hidden differences”in defaultable bond contract, it logically explaines and quantitatively characterizes the investor’s preference for defaultable bond. It also proposes the definition about implement cost in financial innovation and analyzes its causation. Based on social choice theory and game theory, it discusses the investors’social goals and implementation in pricing mechanism. It analyzes the game equilibrium in pricing mechanism with informational asymmetries between investors and financial intermediaries through a signalling game model. It comes to the conclusion that: financial intermediary can transfer the implementation cost as a signal of his reputation to investors, the difference of reputation results in pricing diversification.
Finally, the dissertation studies the government incentive policy and regulation mode about financial innovation. By analyzing the strategies in the game between financial intermediary and government, it proposes a definition of efficient stimulation cost to depict government’s incentive influence on financial innovation. The dissertation also obtains the equilibrium resulted by the efficient incentive policy. By constructing bond-stock interchanging contract model, it compares the Anglo-American regulation mode and the German regulation mode, so does the new mode―second order regulation. It comes to the conclusion that: the government and financial intermediary can select appropriate strategies in the financial innovation to gain a win-win situation, the win-win degree is relevant with the type of the regulation mode.
At the end of the dissertation, it raises issues which should be further studied.
本文对路径约束条件下的金融创新机制问题进行了研究。通过改进的Hotelling价格竞争模型,分析了金融中介关于金融创新的微观动机,探讨了金融创新的市场演化过程;总结了国内金融市场渐进式金融创新的四类市场格局,证明了金融中介之间的博弈学习行为能够获得与Nash均衡一致的博弈稳态;以可违约债券定价差异的现象为例,分析了投资者偏好和信念在金融创新定价机制中的作用;探讨了政府监管部门对金融创新的激励政策,并对国际上主流监管模式做了定量的比较分析。
首先,论文研究投资者异质性对于金融中介金融创新微观动机的影响,在此基础上进一步分析了金融创新的演化均衡。通过引入“交通成本”来测度投资者异质性,并证明交通成本的分布和变化情况会影响金融创新博弈的均衡结果。当引领创新者判断新的博弈均衡结果对其有利时,就会开始金融创新,当判断跟风创新会产生时,就会维持引领创新,直至形成新的博弈均衡。基于演化博弈理论分析了金融创新采纳扩散的条件和规律,得到了金融中介的演化稳定战略,这对于研究金融中介大群体成员之间随机匹配的重复博弈具有启示意义,并为政府合理规划金融创新路径提供了决策依据。研究表明:当有利的博弈演化均衡存在可达路径时,会强化金融中介引领金融创新和跟风创新的微观动机,国内金融市场通过提高机构投资者构成比重有利于金融创新的发展。
其次,论文研究渐进式金融创新中的金融中介的博弈学习行为及其Nash均衡。通过考察投资者关于创新证券的需求存在跳跃和变波动率的两类情形,放宽了文献中关于投资者需求服从几何布朗运动的假设条件,从而进一步逼近中国大陆等新兴加转轨金融市场的现实情况;通过定义金融中介关于金融创新的博弈结构,给出了金融创新市场格局的分类;基于博弈学习理论,证明了金融中介满足博弈稳态的占优战略可以通过博弈学习获得。研究表明:金融创新的市场格局是两类金融中介之间博弈学习和战略调整后形成的博弈稳态。
再次,论文以可违约债券作为一类金融创新产品,分析金融创新产品在市场中的定价差异的产生原因,设计金融创新的有效定价机制。通过考察可违约债券的“隐性差异”,逻辑解释并定量刻画了投资者关于可违约债券的偏好,分析了投资者个体偏好序的集结规则,提出实施成本概念并对其产生原因进行探讨;基于社会选择理论和博弈论,探讨了投资者关于可违约债券定价的社会目标和实施机制;通过信号传递博弈模型,分析不完全信息下金融中介和投资者定价博弈的均衡。研究表明:金融中介通过以支付实施成本向投资者传递了其声誉水平的信号,声誉水平的差异导致定价差异。
论文还就政府对金融创新的激励政策和监管模式抉择的问题进行了研究。通过分析政府和金融中介在金融创新中的博弈战略,提出有效激励成本概念来刻画政府对金融创新的激励作用,并得到一个有效激励政策所产生的博弈均衡;通过构造债股互换契约模型,比较分析了英美监管模式和德国监管模式,并对新兴的“二阶监管”模式进行简要分析,这对于国内金融创新监管模式的抉择具有启示意义。研究表明:政府和金融中介可以通过选取触发战略在金融创新中取得共赢,但各方共赢程度与监管模式类别有关。
论文的最后还提出了有待进一步研究的问题。
With socialist market economic system being gradually established, as well as financial markets orederly open, the financial innovation appears more and more in the the practice of financial services industry. Therefore, in order to promote the independent innovation ability and core competitiveness ability of financial intermediary and improve the sustainable and healthy development in financial services industry, it is very important to launch and increase researches on financial innovation mechanism.
The present dissertation sets out to study the financial mechanism. By using the improved Hotelling price competition model, it does not only analyze the micro-motivity of financial intermediary about financial innovation, but also market evolution. It defines the domestic financial market’s pattern categories and proves the strategies steady state consistent with the Nash equilibrium of financial intermediary can be accessed through game learning behavior. Refering the defaultable bond pricing diversification as an example, the dissertation analyzes investors' preference and belief in the financial innovation pricing mechanism. According to the new development in financial regulation mode, it gives a quantitative analysis on the incentive influcence of government regulation on financial innovation.
Firstly, the dissertation studies the influence of the investors’heterogeneity on micro-motivity of financial intermediary about financial innovation and further analyzes the evolution equilibrium in financial innovation. By introducing the“transport cost”to measure heterogeneity of investors, the dissertation proves that the probability distribution of“transport cost”will affect the pricing game equilibrium. If leading innovators benefit from the new equilibrium caused by financial innovation in the game, they will continue innovating, so do the following innovators. Therefore the financial innovation will be kept on. Based on evolutionary game theory, it makes a study of the condition and rule of the adoption and diffusion in financial innovation, so it gets the financial intermediaries’evolutionary stable strategies, which gives apocalypse for government decision-making on financial innovation programming. It comes to the conclusion that: financial intermediaries’innovation micro-motivity will be strengthened if there does exist beneficial equilibrium route in the evolutionary game of financial innovation. The conclusion reveals that altering the investor composing proportion by developing institutional investor is conducive to a financial innovation development.
Secondly, the dissertation studies the financial intermediaries’game learing behavior and Nash equilibrium in gradual financial innovation. Through reviewing jump and time-dependent volatilities in investors’demand on innovation securities, it relaxes the assumption in the literature that investors’demand submits to geometric Brown motion, which can further approximates the realistic situation of domestic financial market. It classfies the domestic financial market’s pattern categories by defining game structure in financial innovation, including strategies set, action order and payoffs. Based on game learning theory, it proves that the dominant strategy satisfying Nash equilibrium can be obtained by game learning. It comes to the conclusion that: the establishment of market pattern in financial innovation is the result of game stable states obtained through game learning and strategy adaption in the game among financial intermediaries.
Thirdly, taking the defaultable bond as an example of financial innovation product, the dissertation discusses the phenomenon of financial innovation product pricing diversification and studies the financial innovation pricing mechanism. By inspecting“hidden differences”in defaultable bond contract, it logically explaines and quantitatively characterizes the investor’s preference for defaultable bond. It also proposes the definition about implement cost in financial innovation and analyzes its causation. Based on social choice theory and game theory, it discusses the investors’social goals and implementation in pricing mechanism. It analyzes the game equilibrium in pricing mechanism with informational asymmetries between investors and financial intermediaries through a signalling game model. It comes to the conclusion that: financial intermediary can transfer the implementation cost as a signal of his reputation to investors, the difference of reputation results in pricing diversification.
Finally, the dissertation studies the government incentive policy and regulation mode about financial innovation. By analyzing the strategies in the game between financial intermediary and government, it proposes a definition of efficient stimulation cost to depict government’s incentive influence on financial innovation. The dissertation also obtains the equilibrium resulted by the efficient incentive policy. By constructing bond-stock interchanging contract model, it compares the Anglo-American regulation mode and the German regulation mode, so does the new mode―second order regulation. It comes to the conclusion that: the government and financial intermediary can select appropriate strategies in the financial innovation to gain a win-win situation, the win-win degree is relevant with the type of the regulation mode.
At the end of the dissertation, it raises issues which should be further studied.
引文
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