2007-2009国际金融危机传染的时空机制研究
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摘要
随着经济全球化和金融自由化的不断发展,金融危机的易发性、传染性和破坏性日益明显。起源于美国次级抵押贷款的2007年金融危机,最终演变为波及全球金融市场乃至实体经济的全球性、系统性金融危机。尽管自爆发至今时间已近三年,本轮金融危机对世界经济的负面影响仍然深远且广泛。本次国际金融危机与以往危机相比具有明显不同的特征,如危机传染的全球性和系统性特征更为显著、与实体经济的交互作用更加明显、传染的空间依赖性和空间异质性更为突出,且在一些地理相隔甚远、相互间没有紧密的金融、实体经济依赖的国家之间也发生了传染。而这些牵涉到地域空间和国际关系的深层问题已经超越了传统计量经济学的研究范畴,需要引进新的分析方法和思路。本文试图采用时间序列分析和空间计量经济学相结合的方法对上述问题做出合理解释。
本文以国际金融危机传染的非物理空间依赖为理论假设,采用理论分析和实证检验相结合的方法对国际金融危机传染的时空机制进行分析。在理论上,基于三代金融危机模型和Masson的金融危机国际传染机制理论以及本文设定的理论假设,构建了能够探测和分析国际金融危机传染的主要途径、空间依赖性和空间异质性的理论模型。在实证上,首先采用向量自回归模型探测国际金融危机传染的时间特征(强度、持续时间、反馈效应)；然后根据世界经济自由度指数构建了金融危机传染的经济政治制度空间,并采用探索性空间数据分析对危机传染的物理空间依赖性和经济政治制度空间依赖性进行检验；最后,基于设定的金融危机传染的理论模型框架,采用空间面板数据分析的方法,将宏观经济基本面、金融贸易联系、国家间的相似性等有机地结合起来,对国际金融危机的主要传染机制、空间依赖性和异质性进行了实证检验与分析。本研究得出以下主要结论：
(1)国际金融危机的传染过程表现出直线逆反馈机制和网状交叉传染机制。
在金融危机的潜伏期,其他国家的金融市场主要受到美国金融市场单方面的波动影响；随着金融危机的爆发,美国和其他国家金融市场间的双向因果关系明显增加,受危机传染的国家越来越多,而这些国家又将危机进一步传染给了传染源——美国,表现出危机传染的逆反馈效应；在实体经济危机阶段,金融危机在美国以外的其他国家间交叉传染的程度明显加剧,这也正是国际金融危机的传染由局部走向全球、由线状走向网状的现实背景。脉冲响应分析结果表明,美国金融市场波动对其他国家金融市场的冲击在危机阶段超出了正常范围,冲击强度不断上升,冲击的持续时间也不断增加；随着金融危机向实体经济领域的扩散,这种冲击逐渐趋于平缓。
(2)国际金融危机的空间传染路径表现出明显的经济制度空间依赖性。
参照经典地图学绝对物理空间的构建思想,通过对世界经济自由度指标的分解和再合成,构建了金融危机四个传染阶段的四种经济政治制度空间。基于探索性空间数据分析的研究结果表明,国际金融危机的传染在危机潜伏阶段和危机局部爆发阶段,在物理空间和经济制度空间中均表现出了空间依赖性,而基于经济制度空间的依赖性比物理空间更为显著和强烈。由此,验证了本文提出的国际金融危机非物理空间传染的理论假设,即国家间经济、政治制度等的相似性较地理空间上的临近性更容易导致金融危机的传染。
(3)国际金融危机传染路径的经济制度空间依赖性随着金融危机程度的加剧有明显增强的趋势。
空间面板数据模型的实证结果表明,在国际金融危机的四个传染阶段,金融危机的传染路径在经济制度空间上均表现出了显著的空间依赖性,表明了国家间的经济制度趋同是金融危机在空间上蔓延的重要推动因素。而且,随着金融危机程度的加剧,传染的经济制度空间依赖性有明显增强的趋势。金融危机传染的经济制度空间依赖性正是Masson金融危机传染机制的净传染效应的表现,本文的这一研究发现也鲜有地实证了金融危机的净传染机制。此实证结果也给我们带来了很多启示,例如中国在此次国际金融危机中之所以相比其他国家没有受到较大冲击,正是中国现行的经济政治制度在一定程度上有效抵制了金融危机的传染。
(4)国际金融危机的传染过程表现出季风效应、溢出效应和净传染效应三种机制。宏观经济基本面因素是四个阶段金融危机传染的共同影响因素,金融溢出对金融危机传染的影响在全球金融海啸阶段和实体经济危机阶段表现的更为明显,而贸易溢出在危机潜伏阶段和全球金融海啸阶段是危机传染的重要渠道。在全球金融海啸阶段,宏观经济基本面的脆弱性、金融和贸易联系均是金融危机传染的影响因素,三者的共同作用加剧了金融危机传染的强度,并推动危机在更为广泛的空间传染。亦即金融危机的三种传染机制在危机传染过程中是相互交织、同时发生作用的。
Financial crisis, a rare economic phenomenon once only contained within a nation, now has become easier to happen, internationally infectious, and more destructive along with the ever-going economic globalization and financial liberalization. The 2007 world financial crisis demonstrated such a power:it originated from U.S. sub-prime loans and eventually became a global, systemic financial crisis that had swept the world's financial markets as well as real economies. Despite the outbreak being behind us for more than two years, its negative impact on the world economy is still far-fetched. Compared to previous crises, this international financial crisis possesses some obviously different features, such as the global and systematic nature of contagion being even more significant, the interaction with the real economy being more obvious, and spatial dependence and spatial heterogeneity of financial contagion becoming more salient. Even among some countries that are far apart in distance and have no close relationship in finance or real economy, the contagion of financial crisis also took place. These issues deeply relate to profound regional economic structures and international relations of that time and apparently go beyond the research regime of traditional econometrics;there is an urgent need to introduce new methods of analysis and thinking. The paper presented here attempts to provide reasonable explanations of these issues through time series analysis and spatial econometric methods.
Assuming the existence of non-physical spatial dependence for the spread of the 2007-2009 international financial crisis, this paper analyzed the spatiotemporal mechanism of crisis transmission through a series of theoretical reasoning and empirical tests. A theoretical model for detecting and analyzing the major paths, spatial dependence and heterogeneity was constructed in accordance with the Three-Generation Financial Crisis Model, Masson's theory of international contagion mechanism of financial crisis, as well as the aforementioned assumption. Empirically, temporal characteristics (i.e. intensity, duration, feedback effects) of the contagion were first detected using a vector auto-regression model. Then an economic and political system space of financial crisis contagion was constructed with the economic freedom index, and the autocorrelation of the crisis contagion within both physical space and system space was examined respectively through exploratory spatial data analyses.Based on the established theoretical framework of financial crisis contagion, this paper eventually conducted a spatial panel data analysis by organically combining the macroeconomic fundamentals, financial and trade ties, and the similarity between countries to empirically test and analyze the crisis's main transmission mechanism, spatial dependence, and spatial heterogeneity. This study draws the following conclusions:
(1)The contagion process of the international financial crisis exhibits an inverse linear feedback mechanism and a mesh cross-infection mechanism.
During the incubation period of the financial crisis, major financial markets of other countries were affected unilaterally by the U.S.financial market volatilities. Starting from the outbreak of the financial crisis, a bilateral causal relationship between the financial markets of the United States and other countries became increasingly significant. As the number of infected countries increased, the crisis in these countries in turn further transmitted to the source of infection-the United States. This shows an inverse feedback contagion effect. In the phase of real economy crisis, on the other hand, the degree of cross-infection among the U.S.financial crisis and those taking places in other countries was significantly increased. This helped to forge a realistic background for the spread of the international financial crisis from local to global, from a linear pattern to a mesh pattern. Impulse response analysis shows that the impact of the U.S.financial market volatility on other countries'financial markets exceeded the normal range, and the strength of impact increased continuously, the duration of the impact also lengthened. As the financial crisis spread to the real economy, this kind of impact was gradually leveling off.
(2) The spatial path of international financial crisis clearly shows the existence of a spatial dependence of the economic system.
Referring to the ideological architecture of an absolute physical space in classic cartography, this paper constructed different kinds of economic and political spaces for the four infectious stages of the financial crisis through decomposition and re-synthesis of selected world economic freedom indices. Research results based on exploratory spatial data analysis indicated that in the latent and local outbreak stages, the contagion of the crisis presented signs of dependence in both physical space and economic system space, with the dependence in the latter much stronger and more significant than that in the former. As a result, the work confirmed the theoretical hypothesis proposed in this thesis about the contagion of international financial crises through a non-physical space, that is, the similarity of economic and political systems among different countries has heavier weight than the physical distance on the contagion of financial crisis between these countries.
(3) The dependence of the financial crisis contagion on system-space is significantly enhanced along with the intensification of the crisis itself.
Analytic results from the spatial panel data modeling in this study show that the contagion of the international financial crisis presented obvious spatial dependence within the constructed economic-political system space in each of the four contagion phases. This indicates that the convergence of the economic and political systems among different countries comprises an important driving factor in the spatial spread of the crisis. Moreover, as the financial crisis intensified, this trend of relying on the similarity space of economic systems to transmit crisis was significantly enhanced. Such dependence revealed in this study is exactly a manifestation of the net contagion effect of a financial crisis transmission mechanism, a concept proposed by Masson. Findings of this study also provided evidence of this net contagion, which has rarely been found in other studies. We can learn a few lessons from these empirical results, such as the fact that the reason why China suffered much less impact from this international financial crisis than any other country is because the currently-practiced economic and political system in China may to some extent effectively resist the contagion of financial crisis.
(4) Three types of transmission mechanism were shown in the contagion process of the international financial crisis, including the monsoon effect, the spillover effect, and the net effect.
Macroeconomic fundamentals are the common factors across all four stages of the crisis contagion process. The impact of financial spillover on the crisis transmission impact is more obvious in the phases of the global financial tsunami and the crisis of real economies. The trade spillover is an important channel for contagion in the crisis-latent phase and the global financial tsunami.During the global financial tsunami, the vulnerability of macroeconomic fundamentals and links between finance and trade are the impact factors of the financial crisis contagion. The combined effects of the three contagion mechanisms exacerbated the strength and breadth of the financial crisis, i.e. they are intertwined to function simultaneously in the course of financial crisis contagion.Ⅶ
本文以国际金融危机传染的非物理空间依赖为理论假设,采用理论分析和实证检验相结合的方法对国际金融危机传染的时空机制进行分析。在理论上,基于三代金融危机模型和Masson的金融危机国际传染机制理论以及本文设定的理论假设,构建了能够探测和分析国际金融危机传染的主要途径、空间依赖性和空间异质性的理论模型。在实证上,首先采用向量自回归模型探测国际金融危机传染的时间特征(强度、持续时间、反馈效应)；然后根据世界经济自由度指数构建了金融危机传染的经济政治制度空间,并采用探索性空间数据分析对危机传染的物理空间依赖性和经济政治制度空间依赖性进行检验；最后,基于设定的金融危机传染的理论模型框架,采用空间面板数据分析的方法,将宏观经济基本面、金融贸易联系、国家间的相似性等有机地结合起来,对国际金融危机的主要传染机制、空间依赖性和异质性进行了实证检验与分析。本研究得出以下主要结论：
(1)国际金融危机的传染过程表现出直线逆反馈机制和网状交叉传染机制。
在金融危机的潜伏期,其他国家的金融市场主要受到美国金融市场单方面的波动影响；随着金融危机的爆发,美国和其他国家金融市场间的双向因果关系明显增加,受危机传染的国家越来越多,而这些国家又将危机进一步传染给了传染源——美国,表现出危机传染的逆反馈效应；在实体经济危机阶段,金融危机在美国以外的其他国家间交叉传染的程度明显加剧,这也正是国际金融危机的传染由局部走向全球、由线状走向网状的现实背景。脉冲响应分析结果表明,美国金融市场波动对其他国家金融市场的冲击在危机阶段超出了正常范围,冲击强度不断上升,冲击的持续时间也不断增加；随着金融危机向实体经济领域的扩散,这种冲击逐渐趋于平缓。
(2)国际金融危机的空间传染路径表现出明显的经济制度空间依赖性。
参照经典地图学绝对物理空间的构建思想,通过对世界经济自由度指标的分解和再合成,构建了金融危机四个传染阶段的四种经济政治制度空间。基于探索性空间数据分析的研究结果表明,国际金融危机的传染在危机潜伏阶段和危机局部爆发阶段,在物理空间和经济制度空间中均表现出了空间依赖性,而基于经济制度空间的依赖性比物理空间更为显著和强烈。由此,验证了本文提出的国际金融危机非物理空间传染的理论假设,即国家间经济、政治制度等的相似性较地理空间上的临近性更容易导致金融危机的传染。
(3)国际金融危机传染路径的经济制度空间依赖性随着金融危机程度的加剧有明显增强的趋势。
空间面板数据模型的实证结果表明,在国际金融危机的四个传染阶段,金融危机的传染路径在经济制度空间上均表现出了显著的空间依赖性,表明了国家间的经济制度趋同是金融危机在空间上蔓延的重要推动因素。而且,随着金融危机程度的加剧,传染的经济制度空间依赖性有明显增强的趋势。金融危机传染的经济制度空间依赖性正是Masson金融危机传染机制的净传染效应的表现,本文的这一研究发现也鲜有地实证了金融危机的净传染机制。此实证结果也给我们带来了很多启示,例如中国在此次国际金融危机中之所以相比其他国家没有受到较大冲击,正是中国现行的经济政治制度在一定程度上有效抵制了金融危机的传染。
(4)国际金融危机的传染过程表现出季风效应、溢出效应和净传染效应三种机制。宏观经济基本面因素是四个阶段金融危机传染的共同影响因素,金融溢出对金融危机传染的影响在全球金融海啸阶段和实体经济危机阶段表现的更为明显,而贸易溢出在危机潜伏阶段和全球金融海啸阶段是危机传染的重要渠道。在全球金融海啸阶段,宏观经济基本面的脆弱性、金融和贸易联系均是金融危机传染的影响因素,三者的共同作用加剧了金融危机传染的强度,并推动危机在更为广泛的空间传染。亦即金融危机的三种传染机制在危机传染过程中是相互交织、同时发生作用的。
Financial crisis, a rare economic phenomenon once only contained within a nation, now has become easier to happen, internationally infectious, and more destructive along with the ever-going economic globalization and financial liberalization. The 2007 world financial crisis demonstrated such a power:it originated from U.S. sub-prime loans and eventually became a global, systemic financial crisis that had swept the world's financial markets as well as real economies. Despite the outbreak being behind us for more than two years, its negative impact on the world economy is still far-fetched. Compared to previous crises, this international financial crisis possesses some obviously different features, such as the global and systematic nature of contagion being even more significant, the interaction with the real economy being more obvious, and spatial dependence and spatial heterogeneity of financial contagion becoming more salient. Even among some countries that are far apart in distance and have no close relationship in finance or real economy, the contagion of financial crisis also took place. These issues deeply relate to profound regional economic structures and international relations of that time and apparently go beyond the research regime of traditional econometrics;there is an urgent need to introduce new methods of analysis and thinking. The paper presented here attempts to provide reasonable explanations of these issues through time series analysis and spatial econometric methods.
Assuming the existence of non-physical spatial dependence for the spread of the 2007-2009 international financial crisis, this paper analyzed the spatiotemporal mechanism of crisis transmission through a series of theoretical reasoning and empirical tests. A theoretical model for detecting and analyzing the major paths, spatial dependence and heterogeneity was constructed in accordance with the Three-Generation Financial Crisis Model, Masson's theory of international contagion mechanism of financial crisis, as well as the aforementioned assumption. Empirically, temporal characteristics (i.e. intensity, duration, feedback effects) of the contagion were first detected using a vector auto-regression model. Then an economic and political system space of financial crisis contagion was constructed with the economic freedom index, and the autocorrelation of the crisis contagion within both physical space and system space was examined respectively through exploratory spatial data analyses.Based on the established theoretical framework of financial crisis contagion, this paper eventually conducted a spatial panel data analysis by organically combining the macroeconomic fundamentals, financial and trade ties, and the similarity between countries to empirically test and analyze the crisis's main transmission mechanism, spatial dependence, and spatial heterogeneity. This study draws the following conclusions:
(1)The contagion process of the international financial crisis exhibits an inverse linear feedback mechanism and a mesh cross-infection mechanism.
During the incubation period of the financial crisis, major financial markets of other countries were affected unilaterally by the U.S.financial market volatilities. Starting from the outbreak of the financial crisis, a bilateral causal relationship between the financial markets of the United States and other countries became increasingly significant. As the number of infected countries increased, the crisis in these countries in turn further transmitted to the source of infection-the United States. This shows an inverse feedback contagion effect. In the phase of real economy crisis, on the other hand, the degree of cross-infection among the U.S.financial crisis and those taking places in other countries was significantly increased. This helped to forge a realistic background for the spread of the international financial crisis from local to global, from a linear pattern to a mesh pattern. Impulse response analysis shows that the impact of the U.S.financial market volatility on other countries'financial markets exceeded the normal range, and the strength of impact increased continuously, the duration of the impact also lengthened. As the financial crisis spread to the real economy, this kind of impact was gradually leveling off.
(2) The spatial path of international financial crisis clearly shows the existence of a spatial dependence of the economic system.
Referring to the ideological architecture of an absolute physical space in classic cartography, this paper constructed different kinds of economic and political spaces for the four infectious stages of the financial crisis through decomposition and re-synthesis of selected world economic freedom indices. Research results based on exploratory spatial data analysis indicated that in the latent and local outbreak stages, the contagion of the crisis presented signs of dependence in both physical space and economic system space, with the dependence in the latter much stronger and more significant than that in the former. As a result, the work confirmed the theoretical hypothesis proposed in this thesis about the contagion of international financial crises through a non-physical space, that is, the similarity of economic and political systems among different countries has heavier weight than the physical distance on the contagion of financial crisis between these countries.
(3) The dependence of the financial crisis contagion on system-space is significantly enhanced along with the intensification of the crisis itself.
Analytic results from the spatial panel data modeling in this study show that the contagion of the international financial crisis presented obvious spatial dependence within the constructed economic-political system space in each of the four contagion phases. This indicates that the convergence of the economic and political systems among different countries comprises an important driving factor in the spatial spread of the crisis. Moreover, as the financial crisis intensified, this trend of relying on the similarity space of economic systems to transmit crisis was significantly enhanced. Such dependence revealed in this study is exactly a manifestation of the net contagion effect of a financial crisis transmission mechanism, a concept proposed by Masson. Findings of this study also provided evidence of this net contagion, which has rarely been found in other studies. We can learn a few lessons from these empirical results, such as the fact that the reason why China suffered much less impact from this international financial crisis than any other country is because the currently-practiced economic and political system in China may to some extent effectively resist the contagion of financial crisis.
(4) Three types of transmission mechanism were shown in the contagion process of the international financial crisis, including the monsoon effect, the spillover effect, and the net effect.
Macroeconomic fundamentals are the common factors across all four stages of the crisis contagion process. The impact of financial spillover on the crisis transmission impact is more obvious in the phases of the global financial tsunami and the crisis of real economies. The trade spillover is an important channel for contagion in the crisis-latent phase and the global financial tsunami.During the global financial tsunami, the vulnerability of macroeconomic fundamentals and links between finance and trade are the impact factors of the financial crisis contagion. The combined effects of the three contagion mechanisms exacerbated the strength and breadth of the financial crisis, i.e. they are intertwined to function simultaneously in the course of financial crisis contagion.Ⅶ
引文
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