金融危机国际传导原因的空间计量分析
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摘要
随着经济全球化和金融自由化进程的加快，金融危机的传染性日益明显，一国发生的金融危机往往能够迅速扩展并蔓延到其它地区，对国家经济安全和区域经济稳定造成极大的破坏。20世纪90年代以来，大批学者开始研究金融危机的传导机制，并在危机传导原因、传导渠道、传导效应等方面进行了理论探讨和实证分析。通过对经典传导理论的归纳和对金融危机历史规律的总结，本文得出宏观经济脆弱性、贸易金融溢出和预期净传导是金融危机传导的三大原因。然而传统研究大多只局限于某个传导原因，不能对多个传导原因同时进行检验，尤其不能将预期与其他传导原因纳入同一个模型进行分析。
本文以经典的传导理论模型为基础，结合空间地理分析方法，把测度国家政治经济制度的指数转化成物理坐标，并以此设立政治经济空间权重矩阵，探测由于国家间政治经济相似性导致的预期净传导效应，在此基础上，本文将表示空间个体效应的空间滞后项和空间误差项引入传统的Probit模型，使其发展为空间计量模型，实现宏观经济基本面、贸易金融溢出和预期净传导有机结合，从而能够在统一框架下研究金融危机传导原因。通过对90年代以来的四次金融危机进行实证检验，本文发现：对宏观基本面因素进行控制之后，溢出效应和净传导效应均是金融危机国际传导的原因，并且，随着经济全球化的日益深入，净传导效应在金融危机传导中发挥的作用越来越大。
Financial crisis, a rare economic phenomenon once only contained within a nation,now has become easier to happen, internationally infectious, and more destructive along withthe ever-going economic globalization and financial liberalization. Since the1990s, largenumber of researchers began to study financial contagion. The global finance turmoil triggeredby the subprime mortgage crisis conducted the international financial transmission mechanismto be the focus of research again. Traditional empirical study can not test the macroeconomicfundamentals, spillover effect and net contagion effect simultaneously, in order to solve thisproblem, spatial econometrics are applied in our study.
Based on the classic financial contagion model and spatial analysis methods, this paperintroduced the political economic spatial weight matrix, combined all major explanatoryvariables in a spatial probit model, then test macroeconomic fundamentals, spillover effect andnet contagion effect in one framework. Using data for four different currency crises (the EMSCrisis of1992–93; the Mexican meltdown and the Tequila Effect of1994–95; the Asian Flu of1997–98; the subprime credit storm of2007-2009), this paper show that spillover effect and netcontagion effect are confident in explaining financial contagion when macroeconomicfundamentals are controlled. At the same time, with the development of economic globalization,contagion effect is more and more significant.
本文以经典的传导理论模型为基础，结合空间地理分析方法，把测度国家政治经济制度的指数转化成物理坐标，并以此设立政治经济空间权重矩阵，探测由于国家间政治经济相似性导致的预期净传导效应，在此基础上，本文将表示空间个体效应的空间滞后项和空间误差项引入传统的Probit模型，使其发展为空间计量模型，实现宏观经济基本面、贸易金融溢出和预期净传导有机结合，从而能够在统一框架下研究金融危机传导原因。通过对90年代以来的四次金融危机进行实证检验，本文发现：对宏观基本面因素进行控制之后，溢出效应和净传导效应均是金融危机国际传导的原因，并且，随着经济全球化的日益深入，净传导效应在金融危机传导中发挥的作用越来越大。
Financial crisis, a rare economic phenomenon once only contained within a nation,now has become easier to happen, internationally infectious, and more destructive along withthe ever-going economic globalization and financial liberalization. Since the1990s, largenumber of researchers began to study financial contagion. The global finance turmoil triggeredby the subprime mortgage crisis conducted the international financial transmission mechanismto be the focus of research again. Traditional empirical study can not test the macroeconomicfundamentals, spillover effect and net contagion effect simultaneously, in order to solve thisproblem, spatial econometrics are applied in our study.
Based on the classic financial contagion model and spatial analysis methods, this paperintroduced the political economic spatial weight matrix, combined all major explanatoryvariables in a spatial probit model, then test macroeconomic fundamentals, spillover effect andnet contagion effect in one framework. Using data for four different currency crises (the EMSCrisis of1992–93; the Mexican meltdown and the Tequila Effect of1994–95; the Asian Flu of1997–98; the subprime credit storm of2007-2009), this paper show that spillover effect and netcontagion effect are confident in explaining financial contagion when macroeconomicfundamentals are controlled. At the same time, with the development of economic globalization,contagion effect is more and more significant.
引文
[1] Alvaro A. Novo. Contagious Currency Crises: A Spatial Probit Approach [J]. Banco dePortugal,2004.
[2] Anselin,Luc. Spatial Econometric: Method and Models [M]. New York: Kluwer AcademicPublishers,1988:57-89.
[3] Anselin, Luc&Anil K. Bera. Spatial Dependence in Linear Regression Models with anIntroduction to Spatial Econometrics [M]. New York: Handbook of Applied Economic Statistics,1998:237-289.
[4] Agenor, Pierre-Richard and Joshua Aizenman. Contagion and Volatility with ImperfectCredit Markets [J]. IMF Staff Papers,1998,45(1):207–235.
[5] Avery C., J. Chevalier. Identifying investor sentiment from price paths: The case of footballbetting [J]. Journal of Business,1999,72(4):493-521.
[6] B.Eichengreen, A.Rose and C.Wyplosz. Contagious Currency Crises: First Tests [J].Scandinavian Journal of Economics,1996,98(4):463-484.
[7] Brennan, Michael J. Agency and Asset Pricing [M]. Los Angeles: UCLA,1993.
[8] Calvo, Guillermo and Enrique Mendoza. Rational Herd Behavior and the Globalization ofthe Securities Market [J]. Journal of International Economic,2000,51(1):79-113.
[9] Caramazza, Francesco, Luca Ricci and Ranil Salgado. International Financial Contagion [J].Journal of International Money and Finance,2004,23(1):51–70.
[10]Caroline Van Rijckeghema, Beatrice Weder. Sources of contagion: is it finance or trade?[J].Journal of International Economics,2001,54(2):293-308.
[11]Cetorelli, N. and Goldberg, L. Globalized Banks: Lending to Emerging Markets in theCrisis [R]. Federal Reserve Bank of New York Staff Reports,2009.
[12]Charles P.Kindleberger. Manias, Panics and Crashes: A History of Financial Crises [M].Chicago: John Wiley&Sons press,1978.
[13]Cipriani, M., Guarino, A. Herd Behavior and Contagion in Financial Markets [J]. TheB.E. Journal of Theoretical Economics,2004,8(1):24-36.
[14]Corsetti, Giancarlo, Paolo Pesenti, Nouriel Roubini and Cedric Tille. CompetitiveDevaluations: Toward A Welfare-Based Approach [J]. Journal of International Economics,2000,51(1):217-241.
[15]Demirgü c-Kunt, Detragiache. Financial Liberalization and Financial Fragility[R]. IMFWorking Paper,1998.
[16]Diamond, Douglas, Philip Dybvig. Bank Runs, Deposit Insurance, and Liquidity [J].Journal of Political Economy,1983,91(3):401–419.
[17]Drazen,Allen. Political contagion in currency crisis [M]. Chicago: University of ChicagoPress,2000.
[18]B. Eichengreen, A. Rose and C. Wyplosz. Contagious Currency Crises: First Tests[J].Scandinavian Journal of Economics,1996,98(1):463-484.
[19]Forbes, K. J., R. Rigobon. Contagion in Latin America: definitions, measurement, andpolicy implications [J]. Journal of LACEA Economic,2001,2(1):1-46.
[20]Gab-Je Jo.Global Banks and International Transmission of the Subprime Crisis [D].Daegu: Keimyung University,2010,97(3):436-450.
[21]Gerlach, Stefan, Frank Smets. Contagious Speculative Attack [J]. European Journal ofPolitical Economy,1995,11(1):45-63.
[22]Glick, Reuven, Andrew Rose. Contagion and Trade: Why Are Currency Crises Regional?[J]. Journal of International Money and Finance,1998,18(4):603-618.
[23]Goldstein, Morris. The Asian Financial Crises: Causes, Cures, and Systemic Implications
[M]. Washington: Institute for International Economics,1998.
[24]Huh, Chan and Kenneth Kasa. A Dynamic Model of Export Competition, PolicyCoordination and Simultaneous Currency Collapse [J]. Review of International Economics,2001,9(1):68-80.
[25]Kamin, S.B., DeMarco, L.P. How did a domestic housing slump turn into a global financialcrisis?[Z]. Board of Governors of the Federal Reserve System,2010.
[26]Kaminsky, Graciela and Carmen Reinhart. Financial Crisis in Asia and Latin America:Then and Now [J]. American Economic Review,1998,88(2):44-48.
[27]Kaminsky, G.,Reinhart, C. On crises, contagion and confusion [J]. Journal of InternationalEconomics,2000,51(1):145-168.
[28]Kenen, Peter B. Forward Rates, Interest Rates, and Expectations under AlternativeExchange Rate Regimes [J]. The Economic Recor,1985,61(4):654-666.
[29]Kim, Don H., Mico Loretan, and Eli M. Remolona. Contagion and Risk Premia in theAmplification of Crisis: Evidence from Asian Names in the Global CDS Market [J] Journal ofAsian Economics,2010,21(3):314–326.
[30]Krugrnan. P. Model of Balance Payment Crisis [J]. Journal of Money, Credit and Banking,1979,11(3):311-325.
[31]Maug,E, Naik.N. Herding and delegated portfolio management [J]. European EconomicReview,2005,49(3):599-626.
[32]Leonardo Hernández,Rodrigo O. Valdés. What Drives Contagion? Trade, Neighborhoodand Financial Links [J]. International Review of Financial Analysis,2001,10(3):203-218.
[33]Obsfeld,M. Models of Currency Crises with Serf-fulfilling Features[J].European EconomicReview,1996,40(3-5):1037-1047.
[34]Olivier Jeanne. Are currency crises self-fulfilling?: A test [J]. Journal of InternationalEconomics,1997,43(3-4):263-286.
[35]Paul Masson. Monsoonal Effects, Spillover, and Jumps Between Multiple Equilibria [R].IMF Working Paper,1998.
[36]P. Krugman. Balance Sheets, the Transfer Problem and Financial Crisis [J]. InternationalTax and Public Finance,1999,6(4):459-472.
[37]R.G.Gelos,S.J. Wei.Transparency and International Investor Behavior [R]. IMF WorkingPaper,2002,174.
[38]Roll, Richard. A mean/variance analysis of tracking error [J]. Journal of PortfolioManagement,1992,18(4):13–22.
[39]Scharfstein, David, Jeremy Stein. Herd Behavior and Investment [J]. American EconomicReview,1988,80(3):465-479.
[40]Schinasi,Garry J., R.Todd Smith. Portfolio Diversification, Leverage and FinancialContagion [J]. IMF Staff Paper,2000,47(2):159-176.
[41]Shleifer, A.and R.W. Vishy. A Survey of Corporate Governance. Journal of Finance,1997,52(2):737-783.
[42]Tobias Adrian, Hyun Song and Shin. Liquidity and Financial Contagion [J]. FinancialStability Review,2008,11(1):1-7.
[43]Zhu L.L.and YangJ.W. The Role of Psychic Distance in Contagion Gravity Model forContagious Financial Crisis [J]. Journal of Behavioral Finance,2004.9(4):209-223.
[44]陈学彬.金融危机扩散中的示范效应和竞争性贬值效应分析[J].金融研究，1999，(5)：41-47.
[45]邸倩，蒋海.金融危机国际传导机制的空间计量分析[J].南方金融，2011，(10).
[46]邓明，郭鹏辉.货币危机的“交叉传染”及其传染途径检验[J]中央财经大学学报，2011（6）
[47]辜朝明.大衰退[M].北京：东方出版社，2008.
[48]金洪飞.货币危机传染的投资组合模型[J].当代财经，2004，(4)：23-32.
[49]李刚，潘浩敏，贾威.金融危机传染路径的空间统计分析[J]，统计研究，2009，26(12)：81-87.
[50]李小牧.金融危机的国际传导：90年代的理论与实践[M].北京：中国金融出版社，2001.
[51]彭兴运,吴洁.从次贷危机到全球金融危机的演变与扩散[J].经济学动态，2009(2)：52-60.
[52]沈丹英.1997-1999国际金融危机传播的空间计量经济学分析[D].上海：华东师范大学硕士学位论文，2007.
[53]徐克恩，鄂志寰.美国金融动荡的新发展：从次贷危机到世纪性金融危机[J].国际金融研究，2008，(10)：4-10.
[54]王秀芳.美国次贷金融衍生产品结构与风险传导路径[J].金融经济，2008，(8)：53-54.
[55]武占云.2007-2009国际金融危机传染的时空机制研究[D].上海：华东师范大学.博士学位论文，2010
[56]朱波，范方志.金融危机理论与模型综述[J].世界经济研究，2005，(6)：28-35.
[57]翟晨曦.美国次贷经济危机引发全球金融危机的思考[M].北京：经济科学出版社，2010.
[58]张明.次贷危机的扩散传导机制研究[J].世界经济，2009，(8):14-28.
[59]张平.全球失衡、金融危机与中国经济的复苏[J].经济研究,2009，(5)：4-20.
[60]张志波.金融危机传染与国家经济安全[M].上海：上海社会科学出版社，2007.
[2] Anselin,Luc. Spatial Econometric: Method and Models [M]. New York: Kluwer AcademicPublishers,1988:57-89.
[3] Anselin, Luc&Anil K. Bera. Spatial Dependence in Linear Regression Models with anIntroduction to Spatial Econometrics [M]. New York: Handbook of Applied Economic Statistics,1998:237-289.
[4] Agenor, Pierre-Richard and Joshua Aizenman. Contagion and Volatility with ImperfectCredit Markets [J]. IMF Staff Papers,1998,45(1):207–235.
[5] Avery C., J. Chevalier. Identifying investor sentiment from price paths: The case of footballbetting [J]. Journal of Business,1999,72(4):493-521.
[6] B.Eichengreen, A.Rose and C.Wyplosz. Contagious Currency Crises: First Tests [J].Scandinavian Journal of Economics,1996,98(4):463-484.
[7] Brennan, Michael J. Agency and Asset Pricing [M]. Los Angeles: UCLA,1993.
[8] Calvo, Guillermo and Enrique Mendoza. Rational Herd Behavior and the Globalization ofthe Securities Market [J]. Journal of International Economic,2000,51(1):79-113.
[9] Caramazza, Francesco, Luca Ricci and Ranil Salgado. International Financial Contagion [J].Journal of International Money and Finance,2004,23(1):51–70.
[10]Caroline Van Rijckeghema, Beatrice Weder. Sources of contagion: is it finance or trade?[J].Journal of International Economics,2001,54(2):293-308.
[11]Cetorelli, N. and Goldberg, L. Globalized Banks: Lending to Emerging Markets in theCrisis [R]. Federal Reserve Bank of New York Staff Reports,2009.
[12]Charles P.Kindleberger. Manias, Panics and Crashes: A History of Financial Crises [M].Chicago: John Wiley&Sons press,1978.
[13]Cipriani, M., Guarino, A. Herd Behavior and Contagion in Financial Markets [J]. TheB.E. Journal of Theoretical Economics,2004,8(1):24-36.
[14]Corsetti, Giancarlo, Paolo Pesenti, Nouriel Roubini and Cedric Tille. CompetitiveDevaluations: Toward A Welfare-Based Approach [J]. Journal of International Economics,2000,51(1):217-241.
[15]Demirgü c-Kunt, Detragiache. Financial Liberalization and Financial Fragility[R]. IMFWorking Paper,1998.
[16]Diamond, Douglas, Philip Dybvig. Bank Runs, Deposit Insurance, and Liquidity [J].Journal of Political Economy,1983,91(3):401–419.
[17]Drazen,Allen. Political contagion in currency crisis [M]. Chicago: University of ChicagoPress,2000.
[18]B. Eichengreen, A. Rose and C. Wyplosz. Contagious Currency Crises: First Tests[J].Scandinavian Journal of Economics,1996,98(1):463-484.
[19]Forbes, K. J., R. Rigobon. Contagion in Latin America: definitions, measurement, andpolicy implications [J]. Journal of LACEA Economic,2001,2(1):1-46.
[20]Gab-Je Jo.Global Banks and International Transmission of the Subprime Crisis [D].Daegu: Keimyung University,2010,97(3):436-450.
[21]Gerlach, Stefan, Frank Smets. Contagious Speculative Attack [J]. European Journal ofPolitical Economy,1995,11(1):45-63.
[22]Glick, Reuven, Andrew Rose. Contagion and Trade: Why Are Currency Crises Regional?[J]. Journal of International Money and Finance,1998,18(4):603-618.
[23]Goldstein, Morris. The Asian Financial Crises: Causes, Cures, and Systemic Implications
[M]. Washington: Institute for International Economics,1998.
[24]Huh, Chan and Kenneth Kasa. A Dynamic Model of Export Competition, PolicyCoordination and Simultaneous Currency Collapse [J]. Review of International Economics,2001,9(1):68-80.
[25]Kamin, S.B., DeMarco, L.P. How did a domestic housing slump turn into a global financialcrisis?[Z]. Board of Governors of the Federal Reserve System,2010.
[26]Kaminsky, Graciela and Carmen Reinhart. Financial Crisis in Asia and Latin America:Then and Now [J]. American Economic Review,1998,88(2):44-48.
[27]Kaminsky, G.,Reinhart, C. On crises, contagion and confusion [J]. Journal of InternationalEconomics,2000,51(1):145-168.
[28]Kenen, Peter B. Forward Rates, Interest Rates, and Expectations under AlternativeExchange Rate Regimes [J]. The Economic Recor,1985,61(4):654-666.
[29]Kim, Don H., Mico Loretan, and Eli M. Remolona. Contagion and Risk Premia in theAmplification of Crisis: Evidence from Asian Names in the Global CDS Market [J] Journal ofAsian Economics,2010,21(3):314–326.
[30]Krugrnan. P. Model of Balance Payment Crisis [J]. Journal of Money, Credit and Banking,1979,11(3):311-325.
[31]Maug,E, Naik.N. Herding and delegated portfolio management [J]. European EconomicReview,2005,49(3):599-626.
[32]Leonardo Hernández,Rodrigo O. Valdés. What Drives Contagion? Trade, Neighborhoodand Financial Links [J]. International Review of Financial Analysis,2001,10(3):203-218.
[33]Obsfeld,M. Models of Currency Crises with Serf-fulfilling Features[J].European EconomicReview,1996,40(3-5):1037-1047.
[34]Olivier Jeanne. Are currency crises self-fulfilling?: A test [J]. Journal of InternationalEconomics,1997,43(3-4):263-286.
[35]Paul Masson. Monsoonal Effects, Spillover, and Jumps Between Multiple Equilibria [R].IMF Working Paper,1998.
[36]P. Krugman. Balance Sheets, the Transfer Problem and Financial Crisis [J]. InternationalTax and Public Finance,1999,6(4):459-472.
[37]R.G.Gelos,S.J. Wei.Transparency and International Investor Behavior [R]. IMF WorkingPaper,2002,174.
[38]Roll, Richard. A mean/variance analysis of tracking error [J]. Journal of PortfolioManagement,1992,18(4):13–22.
[39]Scharfstein, David, Jeremy Stein. Herd Behavior and Investment [J]. American EconomicReview,1988,80(3):465-479.
[40]Schinasi,Garry J., R.Todd Smith. Portfolio Diversification, Leverage and FinancialContagion [J]. IMF Staff Paper,2000,47(2):159-176.
[41]Shleifer, A.and R.W. Vishy. A Survey of Corporate Governance. Journal of Finance,1997,52(2):737-783.
[42]Tobias Adrian, Hyun Song and Shin. Liquidity and Financial Contagion [J]. FinancialStability Review,2008,11(1):1-7.
[43]Zhu L.L.and YangJ.W. The Role of Psychic Distance in Contagion Gravity Model forContagious Financial Crisis [J]. Journal of Behavioral Finance,2004.9(4):209-223.
[44]陈学彬.金融危机扩散中的示范效应和竞争性贬值效应分析[J].金融研究，1999，(5)：41-47.
[45]邸倩，蒋海.金融危机国际传导机制的空间计量分析[J].南方金融，2011，(10).
[46]邓明，郭鹏辉.货币危机的“交叉传染”及其传染途径检验[J]中央财经大学学报，2011（6）
[47]辜朝明.大衰退[M].北京：东方出版社，2008.
[48]金洪飞.货币危机传染的投资组合模型[J].当代财经，2004，(4)：23-32.
[49]李刚，潘浩敏，贾威.金融危机传染路径的空间统计分析[J]，统计研究，2009，26(12)：81-87.
[50]李小牧.金融危机的国际传导：90年代的理论与实践[M].北京：中国金融出版社，2001.
[51]彭兴运,吴洁.从次贷危机到全球金融危机的演变与扩散[J].经济学动态，2009(2)：52-60.
[52]沈丹英.1997-1999国际金融危机传播的空间计量经济学分析[D].上海：华东师范大学硕士学位论文，2007.
[53]徐克恩，鄂志寰.美国金融动荡的新发展：从次贷危机到世纪性金融危机[J].国际金融研究，2008，(10)：4-10.
[54]王秀芳.美国次贷金融衍生产品结构与风险传导路径[J].金融经济，2008，(8)：53-54.
[55]武占云.2007-2009国际金融危机传染的时空机制研究[D].上海：华东师范大学.博士学位论文，2010
[56]朱波，范方志.金融危机理论与模型综述[J].世界经济研究，2005，(6)：28-35.
[57]翟晨曦.美国次贷经济危机引发全球金融危机的思考[M].北京：经济科学出版社，2010.
[58]张明.次贷危机的扩散传导机制研究[J].世界经济，2009，(8):14-28.
[59]张平.全球失衡、金融危机与中国经济的复苏[J].经济研究,2009，(5)：4-20.
[60]张志波.金融危机传染与国家经济安全[M].上海：上海社会科学出版社，2007.