【作者】 解凤敏；

【导师】 刘传哲；

【作者基本信息】 中国矿业大学 ， 金融工程与风险管理， 2011， 博士

【摘要】 随着经济全球化和金融自由化不断推进,金融危机日益成为世界各国的梦魇。我国改革开放之后,经济金融活动不断暴露于全球风险之下,长期积累的深层结构性矛盾逐渐显现,金融危机是悬在我国上方的“达摩克利斯之剑”。为了防范金融危机,维护经济金融稳定,本文尝试构建符合我国国情的金融危机早期预警系统。本文首先厘清金融危机成因与我国金融危机发生路径,为构建金融危机早期预警系统提供理论与现实依据。理论分析表明,金融危机不仅决定于一国经济金融运行规律与特征,还会因投机攻击和外部危机传染而诱发。特别是在经济全球化背景下,一国在国际分工体系、全球金融体系与国际货币体系中的地位决定其发生金融危机的概率与路径。从我国现实看,政府主导的资源配置体制与“投资拉动+出口导向”型经济增长模式导致我国金融领域道德风险严重、国际收支长期失衡、储蓄率居高不下以及货币供应失控。随着我国不断融入全球经济体系,外部风险对经济运行冲击日趋显著。当前我国银行信贷风险积聚、资产市场泡沫严重、金融体系脆弱性加剧,而经济基础恶化与外部危机传染可能引发我国金融危机。基于金融危机理论与我国现实,本文从经济全球化视角构建我国金融危机早期预警系统,并以1999年1月至2011年5月为样本期进行“三维度-两时域”预警实证研究。为此,本文首先设计逐层递进反映我国货币危机、货币-股市危机、货币-股市-银行危机压力指数,并在广泛考察汇率与国际收支、金融部门、实体经济、财政收支以及全球经济等多类指标基础上,综合运用格兰杰因果关系检验和单变量线性回归方法筛选危机预警指标体系。预警指标筛选结果显示,货币危机压力与全球经济指标关系密切,货币-股市危机压力更易受到外围市场波动影响,而货币-股市-银行危机压力则对国内实体经济运行和短期资本流动变化较为敏感。进而以三类危机压力指数为因变量,以因子分析处理后的预警指标为自变量,运用二元Logit模型和Markov区制转换模型,分别从离散状态和连续状态两个层面进行6个月和12个月危机预警,并且全面评价与比较两种模型的“三维度-两时域”预警效果。样本期内预警结果显示,两类模型均表现出一定预警能力,其中离散状态的预警效果较好,连续状态的预警更适于风险状态刻画,短期预警效果优于长期预警效果,货币-股市-银行危机更适于长期预警。样本期外预警结果显示,三类危机发生概率在2011年初均明显升高,其中货币-股市-银行危机概率持续居高并发出预警信号,当前我国处于金融危机压力高企、金融危机易发时期。进一步分析发现,亚洲金融危机和全球金融危机之前我国均经历经济过热与通货膨胀,其间信贷膨胀、投资猛增所孕育与积聚的风险在外部危机诱发下逐步显现,从而导致两次危机之后我国金融危机压力显著升高。近期我国危机压力再度升高是全球金融危机的“多米诺骨牌效应”与前期实施过度扩张性政策共同作用的结果。因此,当前我国应该加强金融监管,实施针对性、灵活性和前瞻性宏观调控政策,促进房地产市场平稳健康运行、严控民间借贷风险蔓延,预防地方政府债务恶化、确保外资有序流出流入、防范金融风险升级。我国防范金融危机的长效之策是通过深化经济、金融及行政体制改革,转变经济增长模式与调整经济结构、完善金融监管体制与监管模式、改善宏观调效果、促进国际金融与货币合作,从而提升我国在国际分工和货币体系中的地位、降低金融体系脆弱性、增强金融体系抗冲击能力。论文有图55幅,表38个,参考文献175篇。更多还原

【Abstract】 Due to the constant advancing of economic globalization and financial liberalization, financial crisis increasingly become the world’s periodic disaster. As far as China, a large number of deep long-term structural contradictions in the economy are becoming apparent gradually. From an international perspective, China’s economic and financial activities have been exposed to the global risks continuously and significantly. Thus, financial crisis has become the“Sword of Damocles”hanging over our country. In order to prevent financial crisis and maintain economic and financial stability, this paper establishes a financial crisis early warning system according to China’s realities.The paper clarifies financial crisis causes and paths for China firstly, aiming to provide the theoretical and realistic basis for financial crisis early warning system. According to the financial crisis theories and the China realities, financial crisis early warning system is built from the perspective of economic globalization and analyzed from the perspective of“tri-space dimensions and double-temporal dimensions”empirically. Therefore, the financial crisis pressure indices which could incrementally reflect China’s currency crisis, currency crises& stock market crashes, and currency & stock market & bank crisis, are designed at the beginning of this paper. Based on widely examination of large quantity variables, the paper utilizes Granger causality tests and single-variable linear regression model to screen leading indicator for early warning system.Then referring financial crisis pressure indices as dependent variable, and taking their leading indicators after factor analysis as independent variable, the paper use binary Logistic model and Markov regime switching model to make 6-months and 12-months early-warning respectively. And after that, the paper evaluates and compares the early-warning performances of these two models. The early-warning results suggest that these two kinds of models could show some early-warning ability during the sample period. Binary Logistic model shows powerful capability of early-warning, while Markov regime switching model is more suitable for the risk state characterizations, the effects of short-term early-warning are better than long-term early-warning, currency & stock market & bank crisis applies to long-term early-warning. Moreover, the early-warning results out of sample period indicate that three categories of crisis pressure indices increase significantly at the beginning of 2011, while currency & stock market & bank crisis probability remains high and issues a warning signal. It means our country is in the period of high occurrence frequency of financial crisis in current.Further analysis shows Asia and Global financial crises led to our country’s financial crisis pressure increase dramatically. Recently, our country’s financial crisis pressure rose again because of“domino effect”of global financial crisis and excessive expansionary policies previously. Therefore, our country should strengthen the financial supervision, and implement pertinent, flexible and prospective macro-economic policies to prevent the upgrade of financial risks. Long-standing policy to defend financial crisis is deepening economic, financial and administrative system reform to change the economic growth pattern, adjust the economic structure, intensify financial regulatory system and supervising mode, improving macro control effect, promoting the international financial and monetary cooperation, thereby rising our country’s status in international labor division and global currency system, reducing the vulnerability of financial system and enhancing the shock resistance of financial system.There are 55 figures, 38 tables and 175 references in this paper.更多还原