基于资产价格的金融安全研究
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摘要
现代金融体系是经济发展的产物,并已经成为社会经济系统的核心和动脉,它的稳定与安全对社会经济发展具有至关重要的作用,历次金融危机使人们看到金融灾难对国家经济的破坏性影响,而金融安全也因此成为人们日益关注的问题。资本市场不仅为企业提供了一个直接的、有效率的融资平台,而且也为投资者提供了更多的投资选择,其本身也是金融体系重要的组成部分。以资本市场出现为标志,金融交易日益表现出不同于实体经济的特点,同时仍然保持对实体经济的巨大影响,资产价格是资本市场运行状况最直接的反映,但其却不断表现出泡沫膨胀和破裂的过程,本文所关心的就是资产价格的这种剧烈波动对金融安全的影响。
论文首先对金融安全的内涵进行了界定,并阐述了影响金融安全的相关因素,包括银行体系本身的脆弱性、金融市场的脆弱性、金融自由化以及金融创新等对金融安全的影响等方面。其次分析了资产价格泡沫形成的微观基础及中国资本市场特征。异质正反馈交易模型的演绎结果表明,理性投机交易者的投机活动是资产价格泡沫产生的起点,正反馈交易者可以区分为分析正反馈交易者和消极正反馈交易者,他们的存在则对泡沫的不断膨胀起到了推波助澜的作用,正反馈交易者整体分析能力的提高并不能保证其能够从投机交易中获利,资产价格的非理性膨胀必然导致泡沫的破裂,要避免这种状况,一方面要使资本市场更加透明和公正,确保资本市场的有效性,另一方面也要对泡沫趋势进行及时的预测与应对;基于上市公司和投资者角度的实证分析表明中国的资本市场仍然存在过多的投机性,这既有上市公司行为不规范的原因,也有投资者缺乏价值投资理念的原因。再次,通过对中国银行体系运行状况的实证分析发现,中国银行体系的经营效率在市场化过程中获得了不断的提高,这表明了其未来应有的发展方向,但市场化可能使银行体系面临包括资产价格波动在内的更多的金融冲击,引发金融危机,进一步的分析也表明资产价格的膨胀可能引起银行信贷资金的过度扩张,则资产价格泡沫的破裂不可避免的引起银行信贷资金的损失,进而触发金融危机,因此,资产价格引起金融安全问题的传导机制为:资产价格膨胀——信贷扩张——资产价格泡沫破裂——金融安全。最后,金融开放条件下,资产价格与金融安全有了更复杂的关系,不仅会受到国内因素的影响,还会受到国际因素的影响;通过建立基于资产价格、银行信贷、短期国际资本流动、及利率的VAR模型,实证分析了在中国目前条件下,这些因素的相互关系及影响,以分析各个因素变化可能带来的金融安全问题,结果显示银行信贷资金和短期国际资本流动并不是导致当前中国资产价格泡沫膨胀和破裂的主要因素。最近中国资产价格泡沫的破裂并没有在中国引起严重的金融安全问题,部分原因在于中国资本市场的相对封闭及国家对于银行体系的较强控制力,但这两个因素也反映了中国金融体系的缺陷,对金融体系的效率提高可能带来负面影响,未来汲取国外的经验教训,在更为市场化的条件下应对资产价格泡沫是中国所面对的严峻课题。
Financial system was founded as development of economy, and has been one of the most important parts of economic system in human society. Stabilization and safety of financial system is very important to improvement of the whole social economy. From all previous financial crisis people had felt its damage to economy of a country. Therefore, at present people pay more attention to financial safety. Capital market provides not only a direct and efficient financing place for enterprises but also more investment channels for investor, and in the meantime the capital market is also important ports of financial system. As occurrence of the capital market, financial deal increasingly put up different characteristic in comparison with real economy. And then it still has very significant influence on real economy. Assets price is the most direct signal of the capital market operating. But assets price in the capital always suffers from the process that assets price bubbles increasingly swell and then are broken. The paper will researches what big fluctuation of assets price creates influence on financial safety of a country.
Firstly, the paper defines financial safety, and analyzes related factors which may influence on financial safety. The factors include frangibility of banking itself and financial market, financial innovation and financial liberalization and so on. The second, the paper analyzes microcosmic basis of asset prices bubbles and characteristic of the capital market of China. According to the heterogeneous positive feedback trading model of the paper, speculative trading of the rational speculative trader is the basis of occurrence of assets price bubbles in the capital market. The positive feedback trader adds fuel to the fire to swell of the bubbles. Improvement of analyzing capacity of the whole positive feedback trader doesn’t ensure them to make a profit from the speculative deal. Finally, burst of the bubbles will be inevitable as irrational swell of asset prices. Enhancing transparency and impartiality of the capital market and coping with bubble tendency of asset prices are the effective measurement which controls the speculation and the asset prices bubbles. Empirical analysis shows from views of listed companies and investors in the capital market that there are overfull speculative action in the capital market of China. The third, empirical analysis on operating status of banking system in China finds that operating efficiency of banking of China is improving increasingly as banking system becoming more market-oriented. It indicates developing tendency of banking in the future. But market-oriented banking system will face more finance shocks. The shocks may bring financial crisis. Farther analysis also shows that swell of asset prices may make bank credit scale expand excessively. So, it is inevitable for burst of asset prices bubbles to lead to loss of bank credit. Financial crisis will break out under the condition. Thus, the diffusing channel from asset prices bubbles to financial safety is from swell of assets price to expand of bank credit scale, to burst of asset prices bubbles and to financial safe. The finally, under the condition of finance opening to outside, there is more complicated relation between asset prices and financial safety. The relation will be influenced by not only domestic factors but also international factors. The paper set up a VAR model including asset prices, bank credit, short-term international capital flow and interest rate to analyze relative infection between them under the present condition and influence of the factors on financial safety. The result shows that bank credit funds and short-term international capital flow aren’t main factors to lead to swell and burst of assets prices of China at present. Lately, burst of asset prices in China doesn’t influence seriously on financial safety pf China. Part reasons are because of relative closing of the capital market in China and strong government control on bank system. But in fact the both factors also disclose bugs of finance system of China. They may bring some negative effect on efficiency improvement of bank system of China. In the future, under more market-oriented condition and on the basis of international experience in the past how to cope with assets price bubbles will be a severe task.
论文首先对金融安全的内涵进行了界定,并阐述了影响金融安全的相关因素,包括银行体系本身的脆弱性、金融市场的脆弱性、金融自由化以及金融创新等对金融安全的影响等方面。其次分析了资产价格泡沫形成的微观基础及中国资本市场特征。异质正反馈交易模型的演绎结果表明,理性投机交易者的投机活动是资产价格泡沫产生的起点,正反馈交易者可以区分为分析正反馈交易者和消极正反馈交易者,他们的存在则对泡沫的不断膨胀起到了推波助澜的作用,正反馈交易者整体分析能力的提高并不能保证其能够从投机交易中获利,资产价格的非理性膨胀必然导致泡沫的破裂,要避免这种状况,一方面要使资本市场更加透明和公正,确保资本市场的有效性,另一方面也要对泡沫趋势进行及时的预测与应对;基于上市公司和投资者角度的实证分析表明中国的资本市场仍然存在过多的投机性,这既有上市公司行为不规范的原因,也有投资者缺乏价值投资理念的原因。再次,通过对中国银行体系运行状况的实证分析发现,中国银行体系的经营效率在市场化过程中获得了不断的提高,这表明了其未来应有的发展方向,但市场化可能使银行体系面临包括资产价格波动在内的更多的金融冲击,引发金融危机,进一步的分析也表明资产价格的膨胀可能引起银行信贷资金的过度扩张,则资产价格泡沫的破裂不可避免的引起银行信贷资金的损失,进而触发金融危机,因此,资产价格引起金融安全问题的传导机制为:资产价格膨胀——信贷扩张——资产价格泡沫破裂——金融安全。最后,金融开放条件下,资产价格与金融安全有了更复杂的关系,不仅会受到国内因素的影响,还会受到国际因素的影响;通过建立基于资产价格、银行信贷、短期国际资本流动、及利率的VAR模型,实证分析了在中国目前条件下,这些因素的相互关系及影响,以分析各个因素变化可能带来的金融安全问题,结果显示银行信贷资金和短期国际资本流动并不是导致当前中国资产价格泡沫膨胀和破裂的主要因素。最近中国资产价格泡沫的破裂并没有在中国引起严重的金融安全问题,部分原因在于中国资本市场的相对封闭及国家对于银行体系的较强控制力,但这两个因素也反映了中国金融体系的缺陷,对金融体系的效率提高可能带来负面影响,未来汲取国外的经验教训,在更为市场化的条件下应对资产价格泡沫是中国所面对的严峻课题。
Financial system was founded as development of economy, and has been one of the most important parts of economic system in human society. Stabilization and safety of financial system is very important to improvement of the whole social economy. From all previous financial crisis people had felt its damage to economy of a country. Therefore, at present people pay more attention to financial safety. Capital market provides not only a direct and efficient financing place for enterprises but also more investment channels for investor, and in the meantime the capital market is also important ports of financial system. As occurrence of the capital market, financial deal increasingly put up different characteristic in comparison with real economy. And then it still has very significant influence on real economy. Assets price is the most direct signal of the capital market operating. But assets price in the capital always suffers from the process that assets price bubbles increasingly swell and then are broken. The paper will researches what big fluctuation of assets price creates influence on financial safety of a country.
Firstly, the paper defines financial safety, and analyzes related factors which may influence on financial safety. The factors include frangibility of banking itself and financial market, financial innovation and financial liberalization and so on. The second, the paper analyzes microcosmic basis of asset prices bubbles and characteristic of the capital market of China. According to the heterogeneous positive feedback trading model of the paper, speculative trading of the rational speculative trader is the basis of occurrence of assets price bubbles in the capital market. The positive feedback trader adds fuel to the fire to swell of the bubbles. Improvement of analyzing capacity of the whole positive feedback trader doesn’t ensure them to make a profit from the speculative deal. Finally, burst of the bubbles will be inevitable as irrational swell of asset prices. Enhancing transparency and impartiality of the capital market and coping with bubble tendency of asset prices are the effective measurement which controls the speculation and the asset prices bubbles. Empirical analysis shows from views of listed companies and investors in the capital market that there are overfull speculative action in the capital market of China. The third, empirical analysis on operating status of banking system in China finds that operating efficiency of banking of China is improving increasingly as banking system becoming more market-oriented. It indicates developing tendency of banking in the future. But market-oriented banking system will face more finance shocks. The shocks may bring financial crisis. Farther analysis also shows that swell of asset prices may make bank credit scale expand excessively. So, it is inevitable for burst of asset prices bubbles to lead to loss of bank credit. Financial crisis will break out under the condition. Thus, the diffusing channel from asset prices bubbles to financial safety is from swell of assets price to expand of bank credit scale, to burst of asset prices bubbles and to financial safe. The finally, under the condition of finance opening to outside, there is more complicated relation between asset prices and financial safety. The relation will be influenced by not only domestic factors but also international factors. The paper set up a VAR model including asset prices, bank credit, short-term international capital flow and interest rate to analyze relative infection between them under the present condition and influence of the factors on financial safety. The result shows that bank credit funds and short-term international capital flow aren’t main factors to lead to swell and burst of assets prices of China at present. Lately, burst of asset prices in China doesn’t influence seriously on financial safety pf China. Part reasons are because of relative closing of the capital market in China and strong government control on bank system. But in fact the both factors also disclose bugs of finance system of China. They may bring some negative effect on efficiency improvement of bank system of China. In the future, under more market-oriented condition and on the basis of international experience in the past how to cope with assets price bubbles will be a severe task.
引文
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