金融衍生工具系统风险的宏观效应研究

【作者】 王红强；

【导师】 王天义；

【作者基本信息】 中共中央党校 ， 政治经济学， 2009， 博士

【摘要】 金融衍生工具对经济发展而言就像一把“双刃剑”,它既可以提高金融市场的配置效率,又可以把风险转移给那些愿意承担的市场参与者,从根本上促进了金融系统的稳定。而且这种风险转移不是“零和博弈”,而是能明显增进福利,促进经济发展的。但是,它也可能给经济带来巨大的系统风险。所以,对于金融衍生工具这一被称为“虚拟资本的虚拟资本”必须与实体经济协调发展。实体资本最终决定虚拟资本的发展速度,而虚拟资本又反作用于实体经济的发展。本文共分六章,从金融衍生工具系统风险的基础理论,形成的主要原因,系统风险传导效应和开放经济条件下的宏观经济效应进行分析,最后对我国发展金融衍生工具提出建议。第一章主要是介绍金融衍生工具系统风险理论基础及有关概念。首先,对金融衍生工具的产生背景及其特点和分类进行概述,对金融衍生工具的套期保值、价格发现和投机套利三个基本功能进行介绍。其次,对金融衍生工具的产生、发展和影响的主要理论基石进行分析。信用理论是市场经济发展的产物,也是金融市场上重要的理论基础。信用体系的建立直接影响金融衍生工具的效率和发展规模。虚拟资本的出现,改变了传统的金融管理模式,加大了管理的难度。虚拟经济与实体经济的协调发展是避免金融风险发生的必要条件。预期理论是影响金融市场稳定的重要因素。最后,对金融风险理论进行简要的回顾,对金融市场上存在的风险概念、特征和分类进行了介绍。对金融衍生工具系统风险进行了概念鉴定,并对其产生机理进行简要分析。第二章主要是对金融衍生工具系统风险成因进行分析。金融衍生工具产生系统风险的原因很多,本章主要从利率、通货膨胀和货币政策三方面对金融衍生工具系统风险成因进行阐述。利率作为经济发展中的主要货币政策中介变量,各国政府都习惯用它来调节实现经济的终极目标。但是,它的频繁变动会引起金融资产价格的变化,资本的国际流动等,这些都会导致金融衍生工具价格发生变化,是产生风险的直接原因。各国政府喜欢采用凯恩斯的积极财政政策来刺激经济的增长,解决有效需求不足现象。这样,各国政府就会加大货币供给,导致通货膨胀。通货膨胀成了历次金融衍生工具系统风险的根本原因。所以,各国政府有必要制定合理科学的货币政策,来减少系统风险的发生次数。第三章主要分析金融衍生工具系统风险传导效应。本章主要从货币传导机制、市场主体行为的角度和汇率传导机制入手分析和阐述金融衍生工具风险的传播途径和机理。金融衍生工具交易越来越集中于金融机构。这些机构的地位重要且影响甚大,只要有一家因违规操作或经营不善而倒闭,就会通过货币、投机者和汇率等途径将风险向整个金融体系扩散,形成系统风险。市场上投资者的“羊群效应”、信息不对称和金融衍生市场非线性机制等,使得系统风险在不同金融市场之间传导。第四章主要分析金融衍生工具系统风险的放大效应。金融衍生工具的高杠杆性和高风险性,再加上金融市场的不健全、法律法规不配套以及监管体制不完善等因素的共同作用,使金融衍生工具交易的风险更高并且有扩大效应。本章首先对资产证券化这一现代广泛使用的衍生工具进行了分析,衍生证券使各金融工具和各市场的联系更加紧密,风险的传染有放大趋势。其次,从国际资本流动方面分析资本流动对金融衍生工具系统风险的影响机制。资本的趋利避害本质,使得资本在国际金融市场上频繁流动。资本的剧烈流动必然会带来资本市场上产品价格的大幅波动,这样金融衍生工具基础资产价格必然会随之波动,给金融衍生工具本身带来巨大的风险。全球经济发展的不平衡、国际贸易的不平衡、各国经济政策的导向不同和国际货币金融体制存在的缺陷,导致了金融风险发生的必然。第五章主要对金融衍生工具市场效率与系统风险的关系进行分析。本章首先分析了虚拟经济与实体经济的相互促进作用,虚拟经济有定价功能、资源配置功能,使虚拟经济对实体经济有着正效应。金融衍生工具作为“虚拟资本的虚拟资本”,有结构效率、运行效率和配置效率。但是,由于信息的不完全、市场上的投机行为、市场的局限性和线性范式的局限性导致了市场失灵的发生,这样就容易造成金融衍生工具市场系统风险。其次,对政府行为理论进行了分析。政府的贸易主义也直接地影响了经济发展和金融融资的不平衡,这样,如果一个国家产生金融衍生工具风险,就会传染到其他国家和地区。最后,分析了政府的非理性行为和有效市场假说在现实中的失效,导致金融衍生工具市场极易发生系统性风险。第六章主要对金融衍生工具系统风险防范进行了制度分析。本章分别从建立金融衍生工具预警机制、保障机制、内控机制和监管机制等方面对金融衍生工具系统风险的防范给予了分析。通过分析发现,经济的基本面、监管环境建设、交易机构内控制度的完善,以及预警机制的建立,是有效发挥创新金融工具优势的必要条件。金融衍生工具的构造和操作复杂性要求金融机构、监管机构重构风险系统并建立信息披露制度。更多还原

【Abstract】 The financial derivative is like a“double-edged sword”for economic development. The financial derivative can not only improve the disposition efficiency of the financial market, but also shift the risk to those who participants in the market, which can promote the stability of the financial system fundamentally. The shift of risk is not the“zero game”, but can promote the welfare obviously, bring an advance in economy. However, it may bring the enormous systematic risk to economy. So as to financial derivative which is named“fictitious capital of the fictitious capital”, it must develop with real economy in harmony. Real capital determines the development speed of the fictitious capital finally and the fictitious capital acts on the development of real economy instead.This text contains six chapters, analyzing the basic theory of the systematic risk and the main forming reasons of the financial derivative, the conducting effect of the systematic risk and the macroeconomic effect under the open economic condition. Finally, we put forward to the suggestions about the financial derivative.In chapter one, we mainly introduces the theoretical foundation about systematic risk of the financial derivative and the relevant concepts. First of all, we summary the formulation background and characteristic and classification of the financial derivative and introduce three basic functions of arbitrage, finding price, speculating at the hedging. Secondly, the main theory foundation stone about the formulation, development and influenced of the financial derivative have been analyzed. The credit theory is a result of the market development and the important theoretical foundation in the financial market. The setting-up of the credit system has influenced the efficiency of the financial derivative and developing scale directly. The appearance of the fictitious capital has changed the traditional financial management mode, strengthening the difficulty of management. The coordinated development of fictitious economy and real economy can avoid the financial risks. The expectation theory is the important factor to influence the steady of financial market. Finally, we carry on the brief retrospect to the financial risks theory, introducing the risk concept, characteristic and classification existing on the financial market. We carry on the concept to appraise to the systematic risk of financial derivative, and introduce the emerging mechanism briefly.In chapter two, we mainly analyze the systematic risk cause of the financial derivative. The reasons about the systematic risk of the financial derivative are numerous. We mainly explain the systematic risk of financial derivative from the respect of the interest rate, inflation and monetary policy. Interest rate, as the main monetary policy intermediary variable in economic development, has been the tool with which governments in the various countries used to regulating and realizing the economic ultimate goal. However, its frequent change will cause the change of the price of the financial assets and the the capital flows in the world etc., which can bring the change of the price of financial derivative, leading to the immediate risk. The governments of various countries like to adopt Keynes’ positive financial policy and deficit policy to stimulate the economic growth, solving the phenomenon of insufficient effective demand. In this way, the governments of various countries will strengthen the currency supply, leading to the taking place of the inflation. The inflation becomes the basic reason of the systematic risk of all previous financial derivatives. So, the governments of various countries are necessary to put the reasonable monetary policies to reduce the times of emergence of the systematic risk.In chapter three, we analyze the conducting of the systematic risk of financial derivative. This chapter mainly analyzes and explains spread route and mechanism of the financial derivative risk from monetary conduction mechanism, behavioral of the main body of market and the exchange rate conduction mechanism. The financial derivative trade concentrates on the financial institution more and more. The positions of these organizations are important and so long as one goes bankrupt because of operating badly, influence will spread the risk to the whole financial system through routes such as the currency, speculator and exchange rate etc., forming the systematic risk.“The flocks of sheep effect”of the investor at the market, information asymmetry and finance derive market line competent mechanism etc. make the systematic risk conduct among different financial markets.In chapter four, Effect of enlarging of the systematic risk of financial derivative has been analyzed. The high lever of the financial derivative and high risk, in addition to the imperfect of the financial market, the incomplete of the laws and regulations make the risk of the financial derivative higher and having the expanding effect. This chapter has analyzed the modern derivative--assets securitization at first, it makes the connection between every financial instrument and every market closer and the infection of the risk has the tendency to enlarge. Secondly, we analyze the mechanism of impact on systema- tic risk of financial derivative of capital circulation from international capital circulation. The essence of going after profits and avoiding disadvantages of the capital makes the capital frequently flow on the international financial market. The violent flow of the cap- ital will inevitably bring the fluctuation by a wide margin of the product cost on the cap- ital market. The basic assets price of financial derivative will inevitably fluctuate, bring- ing the enormous risk to financial derivative. And the imbalance of global economic de- velopment, imbalance of international trade, the different directions of the economic pol- icies of various countries and the defect existing in the foreign exchange banking system have caused the necessity taking place in financial risks.In chapter five, we mainly analyze the relation of the efficiency of market of financial derivative and system risk. This chapter has analyzed the mutual facilitation effects between the fictitious economy and the real economy at first. The fictitious economy’s function of fixed price, resource distribution make fictitious economy have straight effects on real economy. The financial derivative is regarded as“the fictitious capital of fictitious capital”. There are structural efficiency, operational efficiency and dispose efficiency. However, because of the incomplete information, speculation behavior, limitation of the market and limitation of linear normal form, the market does not work which apt to cause the market system risk of financial derivative. Secondly, we have analyzed the governments’behavioral in theory. The trade doctrine of the government has influenced the imbalance between the economic development and financial directly too. In this way, if a country produces the financial derivative risk, it will infect to the other countries and regions. Finally, we analyzed unreasonable behavior of the government and the inefficiency of the hypothesis reality of the effective market that cause the systemic risk in the market of financial derivative.In chapter six, we mainly analyze the precautions against systematic risk of financial derivative from the norms. The prevention against systematic risk of financial derivative has been analyzed. The analysis is from setting up the early warning mechanism of financial derivative separately, security mechanism, accusing of respects such as the mechanism and supervision mechanism etc. Through analyzing, we know that the basic side of the economic, supervision environmental construction, the bettering of the mechanism trade organization, and the setting-up of the precaution give play to the requirement of the advantage of innovative financial instruments effectively. The structure of the financial derivative and the complication of operation require financial institution and regulator reconstruct risk system and set up information announcing system.更多还原