【作者】 王维红；

【导师】 顾庆良；

【作者基本信息】 东华大学 ， 管理科学与工程， 2012， 博士

【摘要】 自上个世纪90年代以来,世界性金融危机爆发的频率越来越高,规模越来越大,扩散速度越来越快,这种现象引起了经济学家的高度关注。由于经济关联性或经济相似性等原因,金融危机所产生的金融风险(金融波动)会在不同国家的市场间扩散,称为金融危机传播,也称为金融危机传染。虽然也有学者认为,“金融危机传播”与“金融危机传染”两个概念是有区别的,只有当金融波动的传播机制出现结构性变化时,“金融危机传播”才转变为“金融危机传染”,但金融危机会像流行性疾病一样地扩散,并且扩散的规模和速度随着世界经济、金融一体化程度的提高越来越大、越来越快的观点,已在全世界范围内了达成普遍共识。起源于2007年美国“次贷危机”的最近这次世界性金融危机,更是造成许多国家的金融机构倒闭或经营困难,引起了大萧条以来最严重的世界性经济衰退,所引发的国际支付危机使得许多国家破产或信用评级下调。截止到2011年9月,这次金融危机的影响仍在蔓延,甚至有人认为金融危机已开始了第二波的传播过程。除了受灾严重的美国、欧洲之外,其它许多国家如印度、韩国、日本、甚至中国都受到了不同程度的影响。为了阻止金融危机像瘟疫一样在世界蔓延,建立起金融危机传播的防火墙,对国际金融危机传播的原因、影响因素、传播的渠道和机制、传播过程的演变规律、本次金融危机传播的特点以及金融危机的防范或免疫策略等问题的更加深入的研究,已成为当代经济学家面临的刻不容缓的课题。从金融危机传播渠道或载体来看,金融危机的跨国传播主要通过国家间的贸易联系、金融市场联系以及通过投资者的学习效应、羊群效应等渠道,通过这些传播渠道,金融危机会在不同国家的金融机构之间跨国传播、也会从一个国家的金融机构向另一个国家的实体经济传播以及从一个国家的实体经济向另一个国家的实体经济传播。随着世界经济一体化程度的快速发展,国家之间的贸易联系越来越紧密,世界各国通过贸易连接成为一个巨大而紧密的国际贸易网络,也使得国际贸易渠道成为金融危机从金融机构到实体经济以及从实体经济到实体经济跨国传播的重要渠道。研究金融危机通过国际贸易网络跨国传播效应大小以及传播效应影响因素等问题,对于各国今后在积极参与世界贸易的同时,也充分警惕国际贸易有可能传播给自身的金融风险,及早采取防范措施,避免金融危机传播对本国经济带来的严重损害具有重要的理论和现实意义。本论文在对有关金融危机跨国传播的各类文献进行梳理的过程中,发现在目前对金融危机传播的现有研究成果中,对金融危机传播概念界定、传播的渠道、传播的机制等定性分析方面,研究者已基本达成共识,但在对金融危机传播过程、传播效应分析等定量分析方面,现有的研究成果还存在一定的局限性和空白点：一是在研究内容上,以往的研究是将金融危机通过所有渠道传播的总效应合在一起研究的,研究结果不能说明金融危机通过某种特定渠道(如贸易联系、金融市场联系)的传播效应的大小,无法找出金融危机对某个国家的主要传播渠道；是在研究方法上,以往的研究是“点对点”的传播效应研究,大多数研究都是通过建立各种计量经济模型,对某个国家是否显著受到金融危机传播进行检验,这样的研究缺少整体性和宏观性的视角,不能说明金融危机在经济网络中是通过怎样的路径传播给某国的,直接传播效应和间接传播效应分别是多少等等。因此,对金融危机的定量分析还需要更加强有力的分析模型和具体深入的分析结果,来为各个国家采取有针对性的防范措施提供强有力的支持依据。复杂网络理论被认为是21世纪最重要的学科之一,从复杂网络理论出现伊始,其理论和应用研究在自然、工程、生物、社会分析等各个领域就如雨后春笋地爆炸式发展,至今方兴未艾,近年来,大量关于复杂网络的文章出现在Science、Nature等一流国际刊物上,也从另一侧面反映出复杂网络理论及应用已成为一个新兴的研究热点。本论文在研究金融危机通过国际贸易渠道跨国传播的过程中,将世界各国的贸易联系视为一个复杂网络,将复杂网络理论借鉴到金融危机在国际贸易网络中跨国传播分析中,为金融危机传播现象提供了一个宏观的、全面的研究视角。从复杂网络的角度对金融危机在国际贸易网络中的跨国传播现象进行研究,不仅能更全面地揭示金融危机的横向跨国传播的过程和传播效应、测定世界金融危机对单个国家总的网络传播力,而且可以模拟金融危机传播的动态演化过程,为世界各国选择最佳时间点和最佳免疫策略,联手对金融危机传播进行免疫并构筑金融危机防火墙提供坚实的数量依据。因此,将复杂网络理论借鉴到金融危机传播的研究中,开创了一种具有重要的理论意义的新的研究方法和研究视角。论文主要做了以下几个方面的工作：1、通过对金融危机传播的相关重要文献进行梳理,发现这一领域的研究脉络有三个分支：一是定性分析,包括对金融危机传播的概念界定、传播的根源、传播的渠道、历次金融危机传播的特点以及金融危机防范的政策措施、相关法律法规建设等问题的讨论；二是对单个国家是否显著受到金融危机传播的检验,这一分支的研究大都是通过建立统计模型或计量经济模型,进行实证分析得出结论；三是根据新的理论、从新的视角研究金融危机传播,这一分支的研究成果目前数量还比较少,研究点也比较零散,例如已有少量从复杂网络角度对金融危机的传播进行研究的成果,但大都仅仅局限于对银行危机通过银行间市场网络传播的实证或模拟研究,对金融危机通过国际贸易网络或国际金融市场网络传播机制进行实证研究的成果还非常少,这方面的研究在目前还存在一定的空白和不足。2、论文依据金融危机传播理论,在定性分析金融危机通过国际贸易网络传播机制及影响因素的基础上,进一步建立了用来分析金融危机横向跨国传播效应的模型——网络传播效应回归模型,并借鉴流行性疾病传播的SIS模型作为描述金融危机传播动态演化过程的模型。3、论文依据复杂网络理论和研究方法,在按照一定规则构建出世界主要的贸易关系网络的基础上,对国际贸易网络的统计性质和结构进行实证分析,发现在国际贸易网络中,节点度和节点权的分布都服从幂率分布,具有无标度网络的特征；同时还发现国际贸易网络具有小世界特性和明显的社区结构。论文还从国际贸易网络的个体网络和整体网两个层次分析得到美国、欧盟、中国、日本和俄罗斯五国是国际贸易网络中最具有中心性的地位的国家的结论。4、论文利用金融危机横向跨国传播模型对最近一次世界性金融危机通过国际贸易网络跨国传播效应进行了实证分析,得到金融危机通过国际贸易网络对各个国家的传播系数,定量描述了各个国家由于与其它国家的贸易联系而遭受的金融危机传播效应,为各国采取金融危机防范措施提供了依据。5、通过网络模拟的方法,发现国际贸易网络的结构和统计特征对金融危机传播效应存在很大影响。6、论文从国际贸易网络的整体视角,分析了世界各国联手抵御金融危机,在国际贸易网络中对金融危机传播现象进行免疫的最佳策略,并对我国在这次世界性金融危机中应采取的防范措施和法律法规建设提出了建议。论文的主要创新点为：1、在研究内容上,以往的研究是将金融危机通过所有渠道传播的总效应合在一起研究的,本论文聚焦于金融危机通过传播渠道之一——国际贸易渠道的传播,研究金融危机在国际贸易网络中的传播效应和传播规律,属于崭新的研究内容。2、在研究方法上,以往的研究是“点对点”的传播效应研究,论文根据复杂网络理论,从网络的角度研究金融危机的跨国传播,为后续研究者提供了一种崭新的研究视角和研究方法。3、论文中构建的金融危机在国际贸易网络中跨国传播效应的分析模型——网络回归模型,其自变量可以分为金融危机的网络传播力和受传播国自身特征两类变量,在建模方法上具有创新性。更多还原

【Abstract】 Since the 1990s, international financial crisis has occurred more and more frequently and violently, and it spreads more quickly than ever before. This phenomenon has attracted great attention of economists. Up to the present, the perspective that financial crisis, like epidemic diseases, will spread more quickly and violently along with the development of world economic and financial integration has reached a consensus worldwide. The recent international financial crisis "subprime crisis" originated from the U.S. in 2007 has caused operational difficulties or even bankruptcy in many worldwide financial institutions. It also results in the international payment crisis and credit rating downgrade in many countries and triggers the most serious international economic recession since the Great Depression. Up to September 2011, its effect is still breeding and infesting. It is said that the second-round propagation of the financial crisis may already occurred. Not only the US and European countries are seriously affected, but also many other countries like India, Korea, Japan and even China suffer as well to some extent.In order to prevent the financial crisis from spreading out like a plague worldwide and build a firewall to block financial propagation, it is urgent for the economists to make more in-depth studies on the reason, influence factors, channels and mechanisms of the propagations and their evolution patterns. The study of the characteristics of the recent crisis and its prevention mechanism or immunization strategies is also need.From the propagation channel perspective, cross-border transmission of financial crisis mainly occurs through three channels, i.e. trade network among countries, financial market linkages and pure propagation (e.g. learning effect of investors, herding, etc.), resulting in three consequences, i.e. the financial crisis cross-border propagation among financial institutions in different countries, financial crisis spreading out from financial institutions to the real economy and financial crisis cross-border spread within the real economies. The rapid development of world economic integration has made international trade relationship among countries become more and more close and tight. Increasing close connections between countries through trade network also makes it a very important channel of financial crisis propagation from financial institutions to the real economy and within the real economies. It is of very importance to study the effects of cross-border financial crisis propagation via international trade network and its influence factors, which may be useful to remind those countries who will actively participate in the international trade in the future of the possible financial spread risks that may occur and taking effective measures to prevent the crisis propagation from heavy damage to their domestic economies on its early stage.This paper finds out through its literature review of the research on cross-border financial crisis propagation that a consensus has already been reached in the existing qualitative researches as of the definition of financial propagation, spread channel, propagation mechanism, etc. While existing quantitative analyses about the evolution of the financial propagation process, propagation effects and so on mainly rely on establishing econometric models, with the micro-entity in the international economic network—each individual country—being investigated individually as of the degree and extent of financial crisis spread. Such results can only explain the consequences of the financial propagation for each individual country, leaving the puzzles such as "by what media can the financial crisis spread out to each individual country and what does the process consist of" untouched. Such one-sidedness can neither provides every country with in-depth information about the intensity of the financial crisis propagation to it nor gives strong support basis to preventive measures each country might take correspondingly.Complex network theory is considered one of the most important disciplines in the 21st century. From its beginning onward, complex network theory has witnessed its theoretical and applied research applications springing up in the natural sciences, engineering, biological and social analysis explosively and vigorously. In recent years, a large number of articles on complex networks appear in Science, Nature and other leading international journals, which is another example reflecting that the complex network theory and applications has become an emerging research focus. In this paper, the effects of cross-spread of the financial crisis via international trade channels have been investigated using complex network theory, taking the international trade relationship as a complex network of trade contacts, applying complex network theory to the study of economic and trade networks, providing a macro, comprehensive, complete, rigorous and scientific research perspective to the study of financial propagation phenomenon. As a result, not only the effects of cross-border financial crisis horizontal spread can be more fully revealed, overall network propagation power of the financial crisis towards every individual country be tested, and the dynamic evolution of the financial propagation process be simulated, but also the optimum time for jointly intervention by the governments and immunization strategies for each country can be provided, a solid theoretical basis concerning a firewall establishment be built up. Hence, a very important theoretical research method and perspective has been borrowed in this thesis to apply the complex network theory to the study of financial propagation.Several achievements have mainly been done in the thesis:1. By thoroughly reviewing the financial propagation literatures, there are about three perspectives: First, the qualitative analysis of definition of financial crisis propagation, the source of propagation, propagation channel, the characteristics of the previous financial propagation and financial crisis prevention policies and measures, laws and regulations and other issues; Second, the quantitative measure of the financial propagation effect for a single country. These researches are empirical analyses mostly through the establishment of statistical models or econometric models; Third, new researches of financial propagation emerge based on new theories or from a new perspective. The number of study in this branch of researches is currently still relatively small. The perspective focus is fragmented with only a few studies on the complex network research of financial crisis, which consists of mainly empirical or analogical studies of banking crisis in the inter-bank market using network theory. There are few empirical researches on the financial crisis propagation via international trade or international market networks using complex network theory.2. Based on financial propagation theory and its application in the qualitative analysis of the propagation mechanism and influence factors for the financial crisis via international trade network, this these has built a theoretical model for the analysis of horizontal cross-border financial crisis propagation, i.e. a regression model with network propagation effect in it. It also has established a dynamic evolution model that can better describe the process of financial crisis propagation with the help of SIS model borrowed from epidemiology.3. Also based on complex network theory and research methods, the thesis has finished an empirical analysis on the statistic essence and structure of the international trade network by building up the world’s leading international trade network in accordance with certain rules of network theory. The paper finds out that the node degree and its weight distribution in the international trade network are subject to power-law distributions, having the characteristics of scale-free networks; It also finds that international trade network has the characteristics of a small-world and a clear community structure. It also concludes from two-layer international trade networks analysis of the United States, European Union, China, Japan and Russia that the five countries are the trade centers in the international trade network.4. The thesis’s empirical analysis of the cross-border propagation effect of the recent global financial crisis via international trade network using horizontal propagation model comes out the propagation coefficient for each country, describing quantitatively the propagation effect for those countries who have suffered from serious attack due to their trade ties with those affected countries. Corresponding preventive countermeasures thus provided.5. It also argues, through the network simulation, that the statistical characteristics of the network play an important role in the propagation effect of financial crisis. 6. From the overall perspective of the international trade network, the thesis analysis the possibility of the world as a whole to intervene the financial crisis and immune itself from financial crisis propagation in the international trade network. It gives out several suggestions for China to improve her preventive measures, laws and regulations.The main innovation points are as follows:1. Apart from the previous researches that combine the total effects of the transmission of financial crisis throughout all kinds of channels together, this paper will focus on the study of its transmission via international trade network about the effect and law of transmission. This is a brand new research area.2. This paper has also provided a new research perspective and method for the followers based upon the complex network theory to study the financial crisis propagation, contracting to the former "point to point" transmission studies.3. The analytical model established in the paper for the studying of cross-broader transmission effect of the financial crisis via international trade network, i.e. the network regression model, innovated to some extends in its modeling. Its independents consist of network transmission variables and self-influenced country-specific variables.更多还原