全球化环境下金融危机传染理论与实证研究
摘要
金融危机传染中的预期传染机制,是无法通过市场间经济基本面关联性解释的危机“净传染”现象。这种传染效应几乎是无法治愈的,新兴市场往往是最易受到传染的群体。金融危机的预期传染机制存在着众多传染渠道,引发金融危机传染的情况非常复杂,危机的传染可能是其中的一种渠道或多种渠道的综合。本研究通过系统性的分析,证实美国危机对亚洲新兴市场存在传染现象,且存在一种典型的预期传染机制的作用渠道——多米诺效应。这种多米诺效应是导致多重均衡发挥作用的重要诱因,最终形成亚洲新兴市场“自促成”形式的危机传染。这一发现对寻求治理危机传染的政策当局意义深远,因为宏观经济管理层必须对危机传染的各个典型渠道作出正确的识别和判断,才可有针对性地治理和切断危机传染的途径。
本研究构建的预期传染机制的分析框架,包括“一维分析法”、“三维分析法”和“多维分析法”。整个框架系统包含了来自货币市场、外汇市场、资本市场、债券市场的综合信息,不仅可以有效地识别“净传染”现象、还可以对传染过程、渠道、强度及方向性等进行捕捉和度量,因此对提高早期预警效率具有重要意义。
“一维分析法”,是针对某一特定市场遭受危机传染的概率分析。通过考察来自货币市场、外汇市场、债券市场等的既存信息对危机传染发生概率的影响,以及危机传染发生时投资者对这些既存信息解释的改变,来挖掘市场中既存信息对危机传染发生概率的边际影响。因此,这种“一维分析法”,可以对危机传染发生的内部诱因进行考察,优化早期预警机制。
“三维分析法”,是针对某一特定市场遭受危机传染的路径依赖分析。通过构造贝叶斯网络模型,识别危机传染中的多米诺传导效应和“中间媒介”,来对危机传染的过程、强度及方向性进行分析。对危机传染的多米诺效应进行分析,强调的是“中间媒介”对冲击力的放大作用,以及对系统整体坍塌的致命性。因此,这种“三维分析法”,可以有效地对危机传染渠道进行识别和赋予权重,进而为危机期间的短期隔离政策提供理论支持。
“多维分析法”,将危机市场和受传染区域的所有市场纳入到统一的分析框架中,对各国在应对危机传染过程中的政策协同效果进行剖析。通过多维系统中的长短期分解技术、价格发现度量技术,可以考察各个市场在应对危机传染时的同期信息传递效率,政策不一致性对系统的长期影响和危害等。因此,这种“多维分析法”可以有效地度量各国危机应对策略对系统影响的长短期效果,从而为区域货币合作、信息共享提供理论支持。
研究表明,存在美国危机对亚洲新兴市场的传染现象,且传染存在一条先前未被发掘的典型路径——借助香港(或日本)市场的多米诺传导效应。美国危机对亚洲新兴市场的直接影响十分有限,更多地需要借助于这种多米诺效应进行传导。来自货币市场、外汇市场和债券市场的既存信息,会对危机传染现象发生与否形成极其重要的影响。同时,在危机时期投资者对这些既存信息解释的转变,也会对危机事件的发生概率产生边际效应。因此,危机传染是在货币市场、外汇市场、债券市场、资本市场等共同作用下所形成的一个动态演化过程。这一发现说明在寻求治理危机传染的政策时存在着很大的困难,全球金融市场不仅形成了流动性交叉网络和信息网络,各个经济体内部的资本市场、货币市场、外汇市场和债券市场等也是处于牵一发而动全身的金融系统中。宏观经济管理层对金融危机的防范政策,应该不仅仅考虑危机传染的外生性,也包括考虑危机传染的内生性。
Expectation contagion mechanism in financial crises, which can not be explained byfundamental linkage between economies, is called/pure contagion effect0in the aca-demic world. This contagion effect can spread within world range, and emerging marketswere always infected as the worst-hit areas. When expectation contagion mechanism exits,a lots of transmission channels come into play, which makes the contagion effect morecomplicated to be detected and analyzed. Using a novel framework, our thesis system-atically analyzes the contagion effect from U.S. market to Asian emerging markets andfinds a typical/domino effect0which has not been aroused with enough recognition.This domino effect plays an important role in the work of multiple equilibria,and final-ly lends to the/self-fulfilling0contagion effect among emerging markets. This findingcan be used to improve the policymaking of Financial Supervisory Authority, especially indetecting!distingushing and cutting off different transmission channels.
The novel framework constructed in this thesis includes/one-dimensional analy-sis0!/three-dimensional analysis0and/multi-dimensional analysis0. The informationfrom monetary markets!foreign exchange markets!capital markets and bond markets arealso involved in the framework, which can be used to characterize the complexity and non-linearity in contagion effect, and distinguish the process!strength and direction of/purecontagion0.
/One-dimensional analysis0focuses on the probability of the occurrence of con-tagion to a particular market. By analyzing the data from monetary markets!foreignexchange markets and bond markets, we can measure the influence of this existing in-formation on the probability of occurrence of contagion, and the marginal effect whenthe existing information changes. Therefore,/one-dimensional analysis0is designed todetect the endogenous factor behind contagion effect, which can be used to improve the early-warning system.
/Three-dimensional analysis0focuses on how financial crises originated in U.S.market transfer to a particular market. Using Bayesian network model, we can characterizethe domino effect and/intermedia0, so as to distinguish the process!strength anddirection of/pure contagion0. The analysis on domino effect, in fact, emphasizes theimportant role of the/intermedia0in amplifying the crisis, and the fatality in the collapseof the whole system. Therefore,/three-dimensional analysis0can effectively detect andweight the transmission channels in contagion effect, so as to give theoretical support tothe short-term isolation policy.
/Multi-dimensional analysis0puts the crisis market and all the infected marketsinvolved in a framework, estimating the effect of policy coordination of all the infectedmarkets. By the technologies of Permanent-Transitory decomposition and price discoverymeasurement, we can estimate the efficiency of contemporaneous information transmissionand measure the long-term influence of disharmonious policies when economies deal withthe contagion. Therefore,/multi-dimensional analysis0can effectively measure long-term and short-term effects of policies of economies, providing theoretical support to theregional monetary cooperation and regional information sharing.
Based on our novel framework, we have some relevant and significant findings as fol-lows. There is contagion effect from U.S. market to Asian emerging markets, and thereexists a typical transmission channel–domino effect with Japan and Hong Kong markets asthe intermedia; the direct contagion effect from U.S. market to emerging markets is limited,while the domino effect transmitted by Japan and Hong Kong markets plays the main rolein contagion. The existing information from monetary markets!foreign exchange mar-kets and bond market, is important in the formation of contagion. Meanwhile, investorswill give a new explanation of the existing information when crisis happens, which fur-thermore has a marginal effect on the occurrence of contagion. Therefore, contagion isa dynamic evolution process motivated by monetary markets!foreign exchange market! bond market and capital markets, implying the difficulty in crisis management. The globalfinancial markets form a liquidity crossover network, and a slight move in one market mayaffect the situation as a whole domino. The crisis management of Financial SupervisoryAuthority should not only take into consideration the exogenousness of contagion, but alsothe endogenousness of contagion.
本研究构建的预期传染机制的分析框架,包括“一维分析法”、“三维分析法”和“多维分析法”。整个框架系统包含了来自货币市场、外汇市场、资本市场、债券市场的综合信息,不仅可以有效地识别“净传染”现象、还可以对传染过程、渠道、强度及方向性等进行捕捉和度量,因此对提高早期预警效率具有重要意义。
“一维分析法”,是针对某一特定市场遭受危机传染的概率分析。通过考察来自货币市场、外汇市场、债券市场等的既存信息对危机传染发生概率的影响,以及危机传染发生时投资者对这些既存信息解释的改变,来挖掘市场中既存信息对危机传染发生概率的边际影响。因此,这种“一维分析法”,可以对危机传染发生的内部诱因进行考察,优化早期预警机制。
“三维分析法”,是针对某一特定市场遭受危机传染的路径依赖分析。通过构造贝叶斯网络模型,识别危机传染中的多米诺传导效应和“中间媒介”,来对危机传染的过程、强度及方向性进行分析。对危机传染的多米诺效应进行分析,强调的是“中间媒介”对冲击力的放大作用,以及对系统整体坍塌的致命性。因此,这种“三维分析法”,可以有效地对危机传染渠道进行识别和赋予权重,进而为危机期间的短期隔离政策提供理论支持。
“多维分析法”,将危机市场和受传染区域的所有市场纳入到统一的分析框架中,对各国在应对危机传染过程中的政策协同效果进行剖析。通过多维系统中的长短期分解技术、价格发现度量技术,可以考察各个市场在应对危机传染时的同期信息传递效率,政策不一致性对系统的长期影响和危害等。因此,这种“多维分析法”可以有效地度量各国危机应对策略对系统影响的长短期效果,从而为区域货币合作、信息共享提供理论支持。
研究表明,存在美国危机对亚洲新兴市场的传染现象,且传染存在一条先前未被发掘的典型路径——借助香港(或日本)市场的多米诺传导效应。美国危机对亚洲新兴市场的直接影响十分有限,更多地需要借助于这种多米诺效应进行传导。来自货币市场、外汇市场和债券市场的既存信息,会对危机传染现象发生与否形成极其重要的影响。同时,在危机时期投资者对这些既存信息解释的转变,也会对危机事件的发生概率产生边际效应。因此,危机传染是在货币市场、外汇市场、债券市场、资本市场等共同作用下所形成的一个动态演化过程。这一发现说明在寻求治理危机传染的政策时存在着很大的困难,全球金融市场不仅形成了流动性交叉网络和信息网络,各个经济体内部的资本市场、货币市场、外汇市场和债券市场等也是处于牵一发而动全身的金融系统中。宏观经济管理层对金融危机的防范政策,应该不仅仅考虑危机传染的外生性,也包括考虑危机传染的内生性。
Expectation contagion mechanism in financial crises, which can not be explained byfundamental linkage between economies, is called/pure contagion effect0in the aca-demic world. This contagion effect can spread within world range, and emerging marketswere always infected as the worst-hit areas. When expectation contagion mechanism exits,a lots of transmission channels come into play, which makes the contagion effect morecomplicated to be detected and analyzed. Using a novel framework, our thesis system-atically analyzes the contagion effect from U.S. market to Asian emerging markets andfinds a typical/domino effect0which has not been aroused with enough recognition.This domino effect plays an important role in the work of multiple equilibria,and final-ly lends to the/self-fulfilling0contagion effect among emerging markets. This findingcan be used to improve the policymaking of Financial Supervisory Authority, especially indetecting!distingushing and cutting off different transmission channels.
The novel framework constructed in this thesis includes/one-dimensional analy-sis0!/three-dimensional analysis0and/multi-dimensional analysis0. The informationfrom monetary markets!foreign exchange markets!capital markets and bond markets arealso involved in the framework, which can be used to characterize the complexity and non-linearity in contagion effect, and distinguish the process!strength and direction of/purecontagion0.
/One-dimensional analysis0focuses on the probability of the occurrence of con-tagion to a particular market. By analyzing the data from monetary markets!foreignexchange markets and bond markets, we can measure the influence of this existing in-formation on the probability of occurrence of contagion, and the marginal effect whenthe existing information changes. Therefore,/one-dimensional analysis0is designed todetect the endogenous factor behind contagion effect, which can be used to improve the early-warning system.
/Three-dimensional analysis0focuses on how financial crises originated in U.S.market transfer to a particular market. Using Bayesian network model, we can characterizethe domino effect and/intermedia0, so as to distinguish the process!strength anddirection of/pure contagion0. The analysis on domino effect, in fact, emphasizes theimportant role of the/intermedia0in amplifying the crisis, and the fatality in the collapseof the whole system. Therefore,/three-dimensional analysis0can effectively detect andweight the transmission channels in contagion effect, so as to give theoretical support tothe short-term isolation policy.
/Multi-dimensional analysis0puts the crisis market and all the infected marketsinvolved in a framework, estimating the effect of policy coordination of all the infectedmarkets. By the technologies of Permanent-Transitory decomposition and price discoverymeasurement, we can estimate the efficiency of contemporaneous information transmissionand measure the long-term influence of disharmonious policies when economies deal withthe contagion. Therefore,/multi-dimensional analysis0can effectively measure long-term and short-term effects of policies of economies, providing theoretical support to theregional monetary cooperation and regional information sharing.
Based on our novel framework, we have some relevant and significant findings as fol-lows. There is contagion effect from U.S. market to Asian emerging markets, and thereexists a typical transmission channel–domino effect with Japan and Hong Kong markets asthe intermedia; the direct contagion effect from U.S. market to emerging markets is limited,while the domino effect transmitted by Japan and Hong Kong markets plays the main rolein contagion. The existing information from monetary markets!foreign exchange mar-kets and bond market, is important in the formation of contagion. Meanwhile, investorswill give a new explanation of the existing information when crisis happens, which fur-thermore has a marginal effect on the occurrence of contagion. Therefore, contagion isa dynamic evolution process motivated by monetary markets!foreign exchange market! bond market and capital markets, implying the difficulty in crisis management. The globalfinancial markets form a liquidity crossover network, and a slight move in one market mayaffect the situation as a whole domino. The crisis management of Financial SupervisoryAuthority should not only take into consideration the exogenousness of contagion, but alsothe endogenousness of contagion.
引文
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