金融波动、危机及其传播、反馈与互动模型的系统研究

At the turn of the century, a series of financial turbulence and crises erupted one after another, such as the ERM Crisis of 1992-1993, Latin-America Financial Crisis of 1994-1995, Asian Financial Crisis of 1997-1998. Those financial crises were great shocks to the crisis victim country economies. .Up to the present, there are large numbers of researches and discussions on financial turbulance, crises and contagion, with various viewpoints. But as a whole, there is still lack of viewpoints based on the economic and financial globalization. Especially with the difference of knowledge base and social background, different people have formed different kinds of definitions and terms of crises and contagion. There is much difference among the judgement standards in the known researches so that the conclusions drawn from them are not comparable, which has become the main obstacle to the farther researches. It is the problem that this thesis tries to resolve. Starting with the changes caused by globalization progress, this research comprehensively consider the dynamic change of global economy, finance, science and society, using the idea of systematic engineering and the principle of great system, research deeply into the great system characteristics and profound connotation of financial crisis, explore the rules of volatility and crises, transmission and contagion of financial market. The main content and conclusions of this project are summarized in the following.1. Aimed at current development of global economy and finance integration, analyze deeply the impact of finance, science and technology and its combination on the evolvement of world economic system. 2. The 4 phase theory of world economic system development is put forward. The systematic root of global economic and financial turbulence is explored from the global system perspective. It is put forward that the current international financial supervision system is not fit for the world economic system's development and changes, which resulted in the global economic and financial turbulence. The research analyzed the new characteristics and new problems brought to the realization of financial security by the economic and financial globalization, and put forward measures in 7 aspects to ensure the realization financial security.3. The ideas that crises should be defined based on volatility and contagion should be defined based on transmission are set forth.4. Two new methods of measuring volatility, that is, Probability Measurement Method (PMM) and Volatility Proportion Method (VPM), are put forward. PMM considers a crisis as a low-probability event. VPM identifies the abnormal change by comparing the short-term volatility with the long-term one. Three calculation formulas of volatility proportion are given. Based on the commonsensible comprehension of catastrophes or crises and the statistical analysis of volatility index, volatility grading schemes are given. The applications of PMM and VPM to the Asian Currency Crises of 1997-1998 are compared with that of PMM.5. Based on the measuring and identifying of volatility, a multi-time-scale early warning system is designed. The early warning procedure is divided into three levels that are long-term, mid-term and short-term level so that to meet different early warning demands in different situations. Accordingly, the leading indicators are divided into three levels in term of their lead time. In the short-term level, the early warning system observes the Volatility Proportion and judges the volatility state according to the grading scheme given in chapter 3. The multi-time-scale early warning system is applied to the Thailand and Philippine Currency crisis of 1997-1998.6. The idea that contagion is identified through the Causality and Co-movement test is put forward. In other words, the Granger Causality and Co-movement test is applied to test whether the contagion exist by observing the dynamic changes of the Causality and Co-movement relationship between financial markets. This method is applied to the stu

针对全球一体化进程所带来的金融动荡，用系统工程方法和大系统原理深入分析当今金融市场波动，危机的度量和分级方法；提出金融市场波动，危机的度量和分级方法；探索波动，危机的传播，反馈与互动机制，建立相应模型，等一系列的系统框架。以促进国民经济持续发展具有极重要意义。