【作者】 张丽；

【导师】 何广文；

【作者基本信息】 中国农业大学 ， 金融学， 2005， 硕士

【摘要】 20世纪90年代三次世界性金融危机的爆发,危机的“群生性”特点越来越引起关注,学术界派生了一个研究金融危机“传染”的分支。美国学者Paul Masson提供了一个被学术界广泛认可的研究传染问题的框架,即季风效应、溢出效应和净传染效应。在此基础上,国外相关理论和实证研究逐渐丰富起来,但国内对这一领域的研究相对缺乏。 本文在国外学者研究的基础上,将传染界定为以另外一国金融危机(或动荡)的发生为条件的一国危机概率的上升。因此,将传染机制的研究划分为贸易溢出机制、金融溢出机制和净传染机制三个方面,分别进行理论研究。贸易溢出机制主要通过价格竞争力导致其他国家的宏观经济基本面恶化,其中存在竞争性贬值效应加速了传染。金融溢出机制反映了跨国经营的金融中介或投资者出于风险管理、流动性管理或其他原因(如监管要求)进行的资产组合调整造成危机传染。在没有贸易和金融市场关联的国家间,存在市场预期改变引发危机的净传染机制,在某国危机发生后投机攻击的示范效应、机构投资者基于自身利益的敏感行为、广义投资者的羊群行为由于预期改变而产生,导致其他国家经济均衡状态改变。本文结合亚洲金融危机分析相关机制的作用条件。相对趋同的贸易发展模式、盲目的金融自由化改革,成为危机传染的充分条件。中国在亚洲金融危机中有效避免了危机爆发,主要得益于资本账户未完全开放和相对良好的宏观基本面。但目前我国金融体系中存在一系列潜在风险,因此,金融开放过程中的政策选择对抵御外部冲击型金融风险,避免金融危机和传染具有重要意义。更多还原

【Abstract】 In the 1990s Financial Crises were very frequent and usually spreaded worldwide. Many scholars focus on the characteristic that Financial Crises break out one by one in different countries Paul Masson defined this phenomena as Contagion, and gave us the reasons of Contagion.That were Monsoonal effects .Spillovers and Pure contagion. Afterwards further studies come forth and form a new branch of Crisis Theory.In this article, our study focuses on Spillovers and Pure contagion, because we define Contagion as the result that the probability of financial crisis rises due to crisis in another country.The mechanism of Contagion will tell us how Contagion comes ture .There are three kinds of the mechanism of Contagion, that is Trade Spillovers Mechanism, Financial Spillovers Mechanism, Pure Contagion Mechanism. Spillovers deteriorate the fundamentals of a country. When another currency depreciates, Loss of price competitiveness may cause trade deficit, unemployment, fall of price level and so on. Price is the main point in Trade Spillovers, so competitive depreciation may occur even though the fundamentals haven’t really turned bad. Financial institutions such as bank and institutional investor change their asset in different markets, because lack of liquidity or in need of risk management. Through this way, Financial Spillovers engender in interrelated markets. There is another source of Contagion, even if there are no trade or financial market links between countries. That investors’ anticipation changes because of another market ’crash may cause crisis. After a successful speculation, speculators are encouraged to attack another similar country. Investors panic emotion spreads and herd behavior appears, which make the economy jumps from a good equilibrium to a bad equilibrium.In the Asian Crisis, China successfully resisted crisis, mainly because at that time it’s financial market hadn’t opened completely. But there are still lots of risk factors in its financial system/The Asian Crisis teaches us a lesson that improper policies may cause disaster in financial system, such as indistinctive trade pattern, fully financial opening under immature domestic market.So in this article we explore how Contagion happens, then look for helpful countermeasures.更多还原