【作者】 邸倩；

【导师】 蒋海；

【作者基本信息】 暨南大学 ， 金融学， 2012， 硕士

【摘要】 随着经济全球化和金融自由化进程的加快，金融危机的传染性日益明显，一国发生的金融危机往往能够迅速扩展并蔓延到其它地区，对国家经济安全和区域经济稳定造成极大的破坏。20世纪90年代以来，大批学者开始研究金融危机的传导机制，并在危机传导原因、传导渠道、传导效应等方面进行了理论探讨和实证分析。通过对经典传导理论的归纳和对金融危机历史规律的总结，本文得出宏观经济脆弱性、贸易金融溢出和预期净传导是金融危机传导的三大原因。然而传统研究大多只局限于某个传导原因，不能对多个传导原因同时进行检验，尤其不能将预期与其他传导原因纳入同一个模型进行分析。本文以经典的传导理论模型为基础，结合空间地理分析方法，把测度国家政治经济制度的指数转化成物理坐标，并以此设立政治经济空间权重矩阵，探测由于国家间政治经济相似性导致的预期净传导效应，在此基础上，本文将表示空间个体效应的空间滞后项和空间误差项引入传统的Probit模型，使其发展为空间计量模型，实现宏观经济基本面、贸易金融溢出和预期净传导有机结合，从而能够在统一框架下研究金融危机传导原因。通过对90年代以来的四次金融危机进行实证检验，本文发现：对宏观基本面因素进行控制之后，溢出效应和净传导效应均是金融危机国际传导的原因，并且，随着经济全球化的日益深入，净传导效应在金融危机传导中发挥的作用越来越大。更多还原

【Abstract】 Financial crisis, a rare economic phenomenon once only contained within a nation,now has become easier to happen, internationally infectious, and more destructive along withthe ever-going economic globalization and financial liberalization. Since the1990s, largenumber of researchers began to study financial contagion. The global finance turmoil triggeredby the subprime mortgage crisis conducted the international financial transmission mechanismto be the focus of research again. Traditional empirical study can not test the macroeconomicfundamentals, spillover effect and net contagion effect simultaneously, in order to solve thisproblem, spatial econometrics are applied in our study.Based on the classic financial contagion model and spatial analysis methods, this paperintroduced the political economic spatial weight matrix, combined all major explanatoryvariables in a spatial probit model, then test macroeconomic fundamentals, spillover effect andnet contagion effect in one framework. Using data for four different currency crises (the EMSCrisis of1992–93; the Mexican meltdown and the Tequila Effect of1994–95; the Asian Flu of1997–98; the subprime credit storm of2007-2009), this paper show that spillover effect and netcontagion effect are confident in explaining financial contagion when macroeconomicfundamentals are controlled. At the same time, with the development of economic globalization,contagion effect is more and more significant.更多还原