全球化条件下流动性冲击金融系统稳定的传导扩散机制及其监控研究

The financial system is the core of modern economy of which liquidity acts as the vitality. Due to its significance, the financial system stability is the basis for the healthy development of a country's macroeconomic. The recent subprime mortgage crisis of America and the European sovereign debt crisis both indicated that the large fluctuation of liquidity is the inherent basis of the financial system and the conduct-diffuse mechanism plays a key role when liquidity shock comes. This subject intends to use the Dynamic Stochastic General Equilibrium and the spatial structure of complex networks methods, combining with expectation mutation, the amplification effect in gambling and expected positive feedback mechanism to achieve several major purposes. The first one is to study the behavior of financial system under the liquidity shock and the second is to design a multidimensional measurement of liquidity based on the stability of the financial system in the perspective of globalization.Building a state transition mechanism model between liquidity shock and a conduct-diffuse mechanism model which describes the creation and influence on the financial system of liquidity spiral come third. To make a thorough research, the conduct-diffuse mechanism between the different level of liquidity and the different transmission channel also need to pay attention to. Then the subject tend to estimate and evaluate the dynamic spillover effects, the multiplier effects and the shock effects of liquidity shock between various countries. In general, the subject seek to show the conduct-diffuse mechanism fully through which liquidity shocks the financial system stability and build a supervise-control system to ensure the financial system stay stable.

金融系统是现代经济的核心，流动性是金融体系的生命力，金融系统稳定是一国宏观经济健康发展的基础，近期的美国次贷危机和欧美主权债务危机再次表明，流动性的大幅波动是金融系统不稳定的内在基础，传导扩散机制在流动性冲击金融系统的过程中起着关键性作用。本课题拟运用动态均衡随机分析和空间结构的复杂网络方法，综合非完全信息下的预期突变、博弈过程中的放大效应和预期正反馈机制的共同作用来研究流动性冲击下的金融系统行为，构建全球化视角下基于金融系统稳定的多维流动性度量模型，流动性冲击的状态转换机制模型，流动性循环生成及其对金融系统稳定冲击的传导扩散机制模型，研究不同流动性层次及其相互之间的传导扩散机制，不同传导渠道的流动性冲击传导扩散机制，对流动性冲击的动态溢出效应、乘数效应和国家间的流动性冲击效应进行测度和评价，深入揭示流动性冲击金融系统稳定的传导扩散机理，构建流动性冲击的监控体系，实现金融系统的内在稳定。

流动性是现代金融市场体系的生命力，是金融配置资源的血液载体。近年来的系列金融危机表明，现代信用经济条件下的流动性失衡已经成为一种常态，流动性冲击引发的金融危机或金融风险通过传导扩散机制向多个领域、多个市场和不同国家蔓延，引发全球性或局部地区的流动性危机。项目通过构建AR-MS-GARCH模型分析了市场流动性的状态转换机制，利用转换概率设计了一类新的突变点检测指标，运用MS-TVTP模型构建了包含投资者过度自信和市场流动性的我国股市泡沫动态演化机制模型。基于行为金融学视角，构建了包含投资者情绪、卖空约束和市场流动性等因素的影响关系模型，进一步将投资者区分为机构投资者与个人投资者、理性投资者与非理性投资者，研究了信息冲击、投资者交易行为、市场波动和市场流动性对流动性价值的影响效应。通过对传导机制、传导路径、传导渠道、传导效应等方面的深入分析研究，基于“时间尺度”、“价格尺度”和投资者交易倾向等因素将流动性区分为货币流动性（宏观）、融资流动性（中观）和市场流动性（微观）三个维度，构建了测度流动性的新指标，通过非传统Granger因果检验和MS-VAR模型研究了市场流动性的非线性传导效应，较好地揭示了流动性与金融系统稳定之间的内在联系。基于流动性周期的视角，深入研究了流动性冲击金融系统稳定的乘数效应、市场溢出效应和国别效应等动态效应。通过构建银行间市场网络，利用复杂网络理论和考虑感染延迟时间的SIR模型，系统揭示了银行间市场流动性风险的传染机制，发现银行间的关联性、感染的延迟时间和银行网络的结构特征都会对银行间流动性风险传染的概率、速度和范围产生显著影响。结合前面的理论实证分析，最后从宏观审慎的流动性日常运作机制、流动性冲击金融系统稳定的多维监测预警体系、缓冲机制、应急机制和反馈机制等方面入手，构建了基于金融系统稳定的流动性监控体系。项目深入研究了流动性冲击金融系统稳定的传导扩散机制及其监控管理，具有很好的科学意义和实践价值。