【作者】 刘敏；

【导师】 叶永刚；

【作者基本信息】 武汉大学 ， 金融工程， 2014， 博士

【摘要】 随着国家新一轮经济结构调整的全面展开,县域经济已经进入了历史发展的新时期,持续壮大县域经济,缩小县域经济的差异性,保障县域经济稳定发展已经成为全面“建成”小康社会的必然要求。传统的分析一般将县域等欠发达地区的发展滞后归因于历史基础、区位、资本、劳动、技术等等“发展”因素,而忽视了经济增长的“稳定”或者安全因素。在宏观经济形势不确定性增强、经济增长乏力的背景下,宏观经济中的各类潜在的风险问题也呈现跨界传染和逐级渗透的趋势,县域经济的抗风险能力和在风险控制的前提下实现可持续发展的问题也越来越受到重视。本文通过将前沿的金融工程学理论与欠发达地区的经济金融实践密切结合,用以分析中国县域地区宏观金融风险及其对县域经济发展的影响研究,为县域金融和经济的稳定发展提供理论依据和实践参考。本文的理论综述是按照从一般宏观金融风险——区域金融风险——县域金融风险的研究脉络,梳理金融风险研究和与经济发展关联研究的相关理论和文献,在此基础上基于宏观资产负债表基本思想,利用或有权益分析方法(ccA)和宏观在险值(VaR)技术建立县域金融工程研究的基本思想,从整体和结构、历史信息和市场价值等多重角度对县域的金融风险水平和跨部门的传染状况给予评估,结合影响县域金融安全和稳定发展的关键因素构建县域风险评价体系,并在风险和经济关联研究的基础上建立县域经济发展评价体系。在县域金融工程理论框架下,我们首先针对我国县域金融风险现状进行了理论解释和现实分析,并提出了县域金融风险分析体系,用以指导后续基于湖北省通山县的实证分析。之后,详细阐述了以或有权益分析方法为基础的理论模型,县域宏观资产负债表的编制准则以及县域地区数据搜集与处理方法。在实证分析阶段,通过在通山县将近三年的数据调研和实地调查,在搜集、整理和校对的基础上,运用存量数据和流量数据构建了该县经济体系部门与整体的宏观资产负债表,包括部门的账面价值的资产负债表和或有权益的资产负债表、宏观资产负债表矩阵以及县域整体的资产负债表。并进一步针对资本结构、期限结构、货币结构和清偿力水平进行结构化的指标分析,提取风险因子形成县域金融风险评价指标体系,并运用主成分分析合成风险综合评价指数,对县域的综合风险水平给予判断。在县域金融风险研究的基础上,分析其与县域经济发展的关联性。结合金融风险与经济的反馈机制模型,运用回归分析建立县域金融风险与县域经济的相关关系。以此为依据,从宏观经济利润作为县域经济增长评价的视角入手,运用宏观在险值方法计算样本县的宏观经济资本和宏观经济增加值,测算县域经济基于风险和收益的配置比例并作为部门或者行业经济贡献的考核依据；测算县域整体剔除风险的实际增长潜力,为系统制定县域宏观金融风险管理体系和创新型经济战略发展路径提供重要依据。通过本文的理论和实证性分析,得到如下主要结论：首先文章肯定了县域金融风险对县域经济发展的重要性,建议将风险因素纳入到县域经济综合评价体系之中：第二本文基于县域金融工程系统理论模型和方法得到的样本县的金融风险特征与表现符合我国县域地区金融风险问题的主要表现和演化过程,尤其是在县域整体金融稳定性可控的前提下,部门结构性风险较为突出。第三在县域金融风险与经济的关联性研究中,系数符号的不符合预期反映了欠发达地区经济发展影响和风险影响的博弈。第四以宏观经济资本为基础的县域风险和经济绩效评价中,县域企业部门和家户部门需要更多的经济资本用以抵御非预期的资产损失；生产性部门中金融部门和企业部门在风险经济资本运行效率的差异将会通过内部调整机制指导资本禀赋进行流动直至新的平衡。第五,在系统性总结全文研究的基础上,从法制环境、市场建设、风险监测以及与经济联动等方面提出了县域宏观金融风险的管理措施和对策建议。更多还原

【Abstract】 In time of a new round of economic restructuring, the county economy has develpen into a new historical period with necessity to strengthen the county economy, narrow the differences and keep the stability so as to fulfill the goal of a well-off society. Traditional analysis ascribes the problems of less developed areas to the ’development’ factors, such as the historical foundation, location, capital, labor force, and technology and so on, but to ignore the’stable’ factors or risk-relevant factors. However, as higher uncertainty in our macroeconomic situation and anaemic growth, the problem of financial security has penetrated cross the economic regions at all levels, the county economy’s anti-risk capability and the tradeoff between risk control and sustainable development are receiving more and more attention. This paper focus on the problem of the county financial risk and its influence on the county’s economic development, by incorporating the emerging theory of Macro Financial Engineering and the real practice in the undeveloped region.The theoretical review follows the context from general macro financial risk, the regional financial risk to the county financial riks and their relationship with economy. Then we based on the theory of macro balance sheet and use contingent claims analysis to establish the theory of county financial engineering, which take estimation on the macro financial risk level and cross-sectoral risk transmission by all the respects from both historical information and market value, so as to find out the most important factors and establish the county risk evaluation system and county economy performance appraisal framework.Under the framework of county financial engineering, we first make a fully summary of the evolution analysis and practical analysis of the county financial risk in our country, and further to establish an analysis system to estimate the county financial risk and direct the empirical analysis on the Tongshan county of Hubei province. Then we introduce the theorical model of contingent claims analysis, preparation standards of macro balance sheet as well as the data collecting and processing method in the county rerion. During the empirical analysis phase, with3-year data research and field survey, we establish the macro book-valued balance sheet, the market-valued balance sheet, the macroeconomic-balance-sheet matrix and the overall balance sheet of the county. And further we take structural analysis on the capital structure, term structure, currency structure and solvency level to extract risk factors, form the evaluaton system and composite the county financial risk comprehensive evaluation index using the principal component analysis method, to finally give the conclusion on the county’s comprehensive risk level.On the basis of the county financial risk, we analyze its relationship with the economy using the risk-economy model of feedback mechanism to make regression analysis between the comprehensive evaluation index and county GDP. As the macro economic income can be seen as another way to evaluate the economy, we based on the macro economic captital theory to count the macro economic value added and macro RAROC in the county to test its real economic level both on the risk and return consideration, so as to help with the county macro financial risk management system and strategic innovation path to the county economy.Through the theoretical and empirical analysis, following main conclusions should be concerned. First, our paper affirms importance of the county financial risks to the development of the county economy, and suggests the necessity to include the financial stability index into the county’s economy comprehensive assessment system. Second, based on the model and the method of the theory of county financial engineering system, we find that the characteristics and performance of the sample county’s financial risk conform to the general performance of the country, especially the highlighted structural risk in the sectors, though the overall risk level is under control. Third, study on the correlation of county financial risks and economic development shows that unexpected coefficient signs, which reflect the game effect between the economy development influence and risk influence in the less developed area.Fouth, evaluation on the county risk and economic performance based on macro economic capital shows that the corporate sector and household sector need more economic capital against unexpected losses; In the productive sector, financial sector is more efficient on the risk-economic capital operation than that of the corporate sector, the difference of which will drive the flows of the capital through internal mechanism till a new equilibrium reached. Fifth, on the basis of systematic summary of the full text, we raised a series of measure and policy on the county’s macro financial risk management in respect of legal environment, market construction, risk monitoring, and economic linkage and so on.更多还原