摘要
金融是现代市场经济的核心;金融系统的安全、稳定、有序是经济社会稳定发展的关键。然而,随着金融自由化、全球化以及金融创新的蓬勃发展,金融系统越来越成为一个开放的、非线性的复杂系统;其动态演化行为不仅受制于外界环境的非平衡约束,更取决于其内在的非线性因素的相互作用。实践中,金融系统在运行过程中因确定性失稳,而导致的从量变(类似倍周期分岔)到质变(混沌)的不确定性运行,出现诸如金融市场异常的剧烈动荡、金融危机、金融海啸等金融混沌现象时有发生。这些金融混沌的出现严重降低了市场配置资源的效率,给经济的增长与社会的稳定带来了极大的负面影响。特别是本轮全球金融危机的爆发再次告诫人们由金融系统失稳产生的金融混沌,势必会给经济社会带来灾难与不幸。因此,如何避免与控制金融混沌、维护金融系统稳定有序运行,已成为当前各国金融业面临的一个难题。
同时,由于现实金融系统内在的非线性性与复杂性,要想通过构造完整的数理模型对其运行状况进行描述与刻画是非常困难的、也是不现实的;实际上,我们往往只能测得该系统中的某些状态分量的时间序列。因此,在考察复杂的非线性金融系统运行状况时,可借助处理复杂系统的有利工具——相空间重构技术,在金融系统相空间中恢复出整个现实金融系统运行的所有特征与性质,从而为方便地研究复杂的现实金融系统混沌成为可能。
为此,本文基于相空间技术、通过研究金融系统相空间性质与特征来间接研究金融系统的运行状况;从混沌的形成、识别、控制、预警等方面对金融系统混沌展开全面而深入的分析与研究,得到了一些具有理论突破与实践创新的研究成果和结论:
(1)深入分析了金融混沌形成的前提条件和机制。金融系统的开放性与非线性使得金融系统越来越成为一个开放的、复杂的非线性系统,系统内部各因素之间的相互作用使得金融混沌的形成成为可能。
研究发现:在开放的、复杂的非线性金融系统中,混沌状态的形成主要是由于三个方面因素共同作用的结果:金融市场固有的缺陷、过度泛滥的金融创新、金融监管的缺失或者滞后。因此,为避免或控制金融混沌现象就应该从这三个方面入手,想法设法抑制金融混沌现象的发生,维持金融系统的稳定、有序运行。
(2)借助最大李雅普诺夫(Lyapunov)指数法与关联维数法从不同角度对金融系统中的混沌进行了识别;并以我国金融系统历经本轮全球金融危机这个金融史上影响最为严重的金融混沌为研究对象进行了实证研究。实证结果一致表明:在全球金融危机的影响下,我国金融系统在运行过程中发生了确定性的失稳,出现了较强的混沌现象;这也进一步解释了在此期间我国金融市场出现剧烈震荡的异常现象。
(3)运用非线性复杂动力科学中的相关理论,建立了Logistic模型对金融系统稳定性进行了模型分析与数值仿真,研究发现:①当金融系统内的金融监管严重滞后于金融创新时,金融系统会出现金融混沌现象;②金融监管可以有效防范与控制金融系统内出现混沌现象,维护金融系统稳定、有序运行;③只有始终保持金融创新与金融监管之间动态协调,才能避免与控制金融混沌、维持金融系统稳定有序运行。并以全球金融危机爆发后我国银行业金融子系统为研究对象,实证检验了模型分析的正确性以及我国银行业金融子系统监管与创新工作的实效性。
(4)运用径向基函数(RBF)神经网络模型对金融混沌的预警进行了模型分析;并以中、美两国金融系统为研究对象,实证检验理论模型分析的可行性与正确性。通过比较中、美两国金融系统的混沌特征量,发现美国金融系统的混沌特征量要比我国金融金融系统的大,表明美国将会出现比我国更加严重的金融混沌现象。这些实证结果都与后来在2007年8月9日之后不断浮现的客观事实相吻合;从而也进一步验证了理论模型分析的正确性。
(5)针对我国金融系统运行、发展的现状,从规范金融创新、优化金融监管到改进与完善金融基础设施三个方面,系统地提出有效避免与化解金融混沌、维护金融系统稳健有序运行的政策建议。在优化金融监管方面,提出了加强宏观审慎监管、加强跨部门跨边境的监管协调与合作、完善信息披露、强化市场约束、强化监管创新以适应市场的变化;在规范金融创新方面,提出了金融创新要立足于实体经济并服务于实体经济、提高创新产品透明度、正确把握创新和风险控制的平衡关系;在完善金融基础设施建设方面,提出了改造与完善支付结算体系、优化社会信用环境、建立健全金融法律体系、推动新会计准则体系有效实施。
Finance is the core of modern market economy; and the financial system's security, stability, and order are the key to the development of economy and social stability. However, with financial liberalization, globalization and the rapid development of financial innovation, financial system has increasingly become an open nonlinear complex system; the dynamic evolution behavior of this system not only subject to non-equilibrium constraints of external environment, but also depends on the interactions of inherent nonlinear factors. In practice, due to the certain instability during the operation of financial system, which results in quantitative changes (similar to the bifurcation) to a qualitative change (chaos) , there sometimes appears such as unusual turbulence in financial market, financial crisis and other financial chaos. The emergence of these financial chaoses seriously reduces the efficiency of allocating resources of market, and has great negative impact on the growth of economy and social stability. Especially, the global financial crisis reminds us that the instability of financial system may lead to the emergence of financial chaos once again, which is bound to bring disaster and misfortune to economy and society. Therefore, how to avoid and control financial chaos and to maintain stable and orderly operation of financial system has become a difficult problem in the world financial industry.
Meanwhile, with inherent complexity and nonlinearity of real financial system, it is very difficult and unrealistic to construct a perfect mathematical model to describe its running characterization. In fact, we can only get some time series of its states. Therefore, in the study of running situations of complex nonlinear financial system, we can take use of phase space reconstruction to recover the characteristics and nature of real financial system in its phase space. That makes it possible and conveniently to study financial chaos during the running of complex real financial system.
This paper studies the nature and characteristics of financial system through phase space of financial system which is based on phase space reconstruction technology. We study financial chaos from its formation, identification, control and early warning through comprehensive and deep analysis, and get some results and conclusions with theoretical breakthrough and practical innovative:
(1) The prerequisites and mechanisms for the formation of financial chaos were deeply analyzed. The openness and nonlinearity of financial system make it become an open complex nonlinear system. The interaction of various factors within this system makes it possible for the formation of financial chaos.
In this open, complex nonlinear financial system, the formation of chaos was mainly due to the interaction of three factors: inherent defects in the financial market, excessive proliferation of financial innovation and the lack of effective financial supervision. Therefore, in order to avoid and control financial chaos and maintain financial system stable and order operation, we should take measures from these three ways.
(2) With the methods of the largest Lyapunov exponent and correlation dimension, financial chaos was identified from different perspectives. And an empirical study was done with China financial system after the current round of global financial crisis, which is the most serious financial chaos throughout the world financ history. The empiric results consistently show that: under the influence of the global financial crisis, China financial appeared deterministic instability and strong chaos during its operation. It further explains the abnormal phenomena of sharp volatility of China financial system during this period.
(3) Using related theories of complex nonlinear dynamic science, we construct Logistic models to analysis the stability of financial system and make numerical simulation of the models. We find that:①when the financial supervision lagged behind financial innovation, the financial chaos may arise in financial system;②financial supervision can effectively prevent and control the financial chaos, and maintain financial system stable and order operation;③in order to avoid financial chaos and maintain financial system stable and order operation, we must maintain dynamic coordination between financial innovation and financial supervision. With China banking subsystem after the global financial crisis, we empirically test the correctness of models and the effectiveness of supervision and innovation in China banking subsystem.
(4) We construct a radial basis function (RBF) neural network model to analysis the early warning of financial chaos. By empirical analysis of U.S. financial system and Chinese financial system, we test the feasibility and correctness of theoretical model. Comparing the characteristic quantities of chaos of U.S. financial system and China financial system, we find that chaos characteristics of U.S. financial system are larger than these in China financial system. That shows there will be more serious financial chaos in America than in China. These empirical results are coincided with the objective fact constantly emerging after August 9, 2007, and further verify the correctness of theoretical models.
(5) Considering the current situation of China financial system’s development and operation, we put forward some policy recommendations to effectively prevent and defuse financial chaos and to maintain stable and order operation of financial system. These policy recommendations include regulating financial innovation, optimizing financial regulation and improving financial infrastructure. For optimizing financial regulation, we should strengthen macro-prudential supervision, cross-functional coordination and cross-border cooperation, and improve disclosure of information, market discipline, and regulatory innovation to adapt to market changes. For regulating financial innovation, we proposed that financial innovation should be based on the real economy and serve it, improve the transparency of innovative products, grasp the right balance between innovation and risk controls. For improving financial basal construction, we should renovate and improve the payment and settlement system, optimize social credit environment, establish and improve the financial legal system, and promote the effective implementation of new accounting standards.
引文
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