金融危机中流动性黑洞问题研究
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摘要
20世纪80年代以来,随着金融全球化和自由化进程的不断推进,国际金融业面临的风险不断加大,金融体系的稳定性受到本国经济运行情况乃至他国经济波动的严重威胁,大范围的金融危机接连爆发。总结人类历史上出现过的历次金融危机,我们不难发现,金融危机的最重要表现就是流动性黑洞的产生,即金融危机以流动性消失为主要特征。纵观世界各国金融发展历史,流动性良好的市场是金融市场健康有序发展的基础,流动性的消失会导致投资者无法进行正常的市场交易。因此,为了保证市场充裕的流动性,从流动性黑洞形成的角度来探讨金融危机中流动性黑洞产生的原因以及流动性黑洞对中国经济乃至世界经济的影响,对在金融危机时期预防市场流动性黑洞的产生以及提升流动性具有一定的理论价值和研究意义。有鉴于此,本文在理清流动性以及流动性黑洞概念的基础上,进行如下研究:
首先,本文以金融危机为特定研究背景,结合学者现有的理论模型,运用博弈论的方法证实金融危机中存在流动性黑洞的理论假设,同时,采用Markov状态转移、结构突变理论的崩溃模型等方法实证检验了美国安然事件以及美国次级债危机中流动性黑洞与金融危机之间的共存性,得出金融危机中存在流动性黑洞的结论,并确认金融危机爆发前后的流动性黑洞区制,为下文实证提供了基础。
其次,本文从行为金融学的角度出发,从投资者心理行为变动所形成的市场预期角度,运用理论和实证方法,解释和研究金融危机中流动性黑洞产生的原因。在理论部分,本文借鉴前人的理论研究方法,剖析期望对流动性黑洞形成的促进作用。在实证研究部分,本文主要运用Tsallis熵的方法构建市场预期指标,实证考察次级债危机爆发前后美国和中国市场预期对流动性的影响,验证了市场期望对市场流动性具有影响的结论。实证结果表明,在市场运行良好的正常时期,市场期望的影响并不显著,而在市场处在动荡的危机时期,一致的市场预期减弱了市场的流动性,形成了市场交易的瓶颈。这种平稳时期与危机时期预期对流动性影响的差异是由于在危机时期金融机构存在使预期加速同质的风险控制机制,本文据此结论提出了相关政策建议。
再次,历史上爆发的金融危机影响范围不仅仅局限于单个金融市场,而是波及到金融市场的各个领域,有鉴于此,本文拓展金融市场研究领域,从金融子市场的角度考察美国抵押票据市场、银行融资市场、信用违约互换市场以及股票市场之间的流动性黑洞传导效应。实证结果表明,在危机爆发后的流动性黑洞时期,各金融子市场流动性相关程度明显增强,证实流动性黑洞在危机时期具有传导效应;此外,本文利用压力测试的方法,进一步实证检验流动性黑洞子市场传导效应对基于流动性的投资组合策略影响。实证结果发现,危机时期资产流动性相关程度的显著增强使投资者降低一种资产持有量时,必将造成其他市场流动性的降低,有可能会触及流动性触发条件,迫使投资者对基于流动性的投资组合进行再平衡,造成金融市场流动性的再次下降,最终推动流动性黑洞在各子市场之间的进一步传导。
最后,金融危机总是与区域或全球经济失衡相伴而生的,这种区域性的“蝴蝶效应”表现为一个国家的危机成为导致其他国家危机爆发的根源。为了准确地预测其他国家始发的金融危机对本国产生的影响,有必要对这种具有蝴蝶效应的金融危机国际传染性进行定性和定量的研究,进而为制定应对危机的政策方向和力度提供必要的理论依据。鉴于本文主要研究对象为金融危机中流动性黑洞问题,因此,本文以金融危机中的流动性为主要切入点,进行理论与实证的研究。理论部分根据金融危机中资产收益传染性的相关理论以及资产收益与流动性的关系,提出金融危机中存在流动性黑洞传染性的假设。实证部分主要从国际金融市场联动性的角度出发,采用copula函数的计量方法,考察欧美亚太各国和地区在金融危机中是否存在流动性黑洞的传染效应。实证结果表明,美国次级债危机中国际金融市场的确存在流动性黑洞的传染效应。同时,本文运用Granger因果检验方法,验证了流动性黑洞传染效应中金融市场之间因果关系的存在性和方向性。最后,根据研究结论,提出改善和缓解流动性黑洞传染的政策建议。
Since the 1980’s, with the development of financial globalization and liberalization, the risks faced by the international financial sector continue to increase, the stability of the financial system has been threatened not only by his country’s economic operation but also by the country’s economic fluctuation, the financial crisis outbreak one after another. Summing up the history of financial crises, we can find that the most important manifestation of the financial crisis is the liquidity black hole, in other words, the main feature of financial crisis is the disappearance of liquidity. Looking at the financial history of the world, a good market liquidity is the basis of the healthy and orderly development of financial markets. So in order to ensure ample liquidity in the market, from the formation of liquidity black holes in financial crisis to find out how to produce the liquidity black hole and the effect of liquidity black hole to the whole economy or even the world economy, it is meaningful for preventing the liquidity black hole of liquidity in financial crisis and improving the liquidity. In view of this, after clarifying the concept of liquidity and liquidity black hole, this paper gives the following researches:
Firstly, at the background of financial crisis, this paper uses other researcher’s model to confirm the theoretical hypothesis that there exist liquidity black holes in financial crisis. And using Markov Regime Switching method and crash model in structural break theory, this paper tests the existence of liquidity black hole in American Anron Event and American Subordinated debt crisis and confirm the regime of liquidity black hole which help the following research.
Secondly, from the perspective of market expectations, this article uses theoretical and empirical methods to explain and research the causes of liquidity black holes. In the theoretical part, combining the Morris and Shin(2003) with Chendengta and Zhouyinggang(2005)’s market microstructure model, this paper adds the expectation into the model to explain the effect of expectation to the liquidity black hole in American Subordinated debt crisis; In the empirical part, this paper uses Tsallis entropy to construct the indicator of market expectation, and compare the effect of market expectation to liquidity before and after the American Subordinated debt crisis, and gets the conclusion that the market expectation has effect on the market liquidity. The results show that in the normal times of market functioning, the effect is insignificant, but in the time of crisis, the same market expectations reduce the market liquidity and market transaction.The difference between normal times and crisis times is caused by the presence of a homogeneous risk control mechanism in financial institutions, Accordingly, this paper puts forward some policy recommendations.
Thirdly, the scope of the financial crisis is not limited to a single financial market, but is spread to all areas of financial markets. So this paper expands the areas of financial markets, and examine the conduction effect between the U.S. mortgage securities markets bank finance market, credit default swaps market and stock market liquidity. Empirical results show that the correlation enhanced in the period of liquidity black holes and confirms the conduction effect in financial crisis. And this paper use the stress testing method to test the effect of conduction to the portfolio strategy based on liquidity. The results show that because the correlation between the liquidity of financial markets increases, the behavior that the investors reduce the holdings of an asset will inevitably lead to reduced liquidity in other markets, and will touch on the liquidity trigger conditions, investors were forced to rebalance the portfolio based on liquidity making the financial market liquidity fall again, promoting the contagion effect of the liquidity black hole.
Finally, the financial crisis is always associated with regional or global economic imbalance, the butterfly effect is shown by the fact that a country’s crisis becomes the root causes of the crisis in other countries. In order to accurately predict the impact of the financial crisis originating in other countries on our country, it is necessary to do qualitative and quantitative research about the contagion effect of financial crisis, and provide the theoretical basis for the policy recommendations. Because the thesis is liquidity black hole in crisis in this paper, we do the theoretical and empirical research from the perspective of liquidity in crisis. In the theoretical part, according to the theory about the contagion of asset price in crisis and the theory about the relationship between asset return and liquidity, this paper provides the assumption that there exists contagion effect of liquidity black holes in financial crisis. In the empirical part, from the perspective of the linkage between the international financial markets, this paper uses copula function to test the contagion effect of liquidity black hole between Europe United States and Asian countries in financial crisis. The empirical results show that the contagion effects do exist during U.S. subprime crisis. In addition, empirical methods also give the causal direction of contagion. Finally, according to the above findings, this paper gives some policy recommendations to improve the liquidity and to ease the liquidity black hole.
首先,本文以金融危机为特定研究背景,结合学者现有的理论模型,运用博弈论的方法证实金融危机中存在流动性黑洞的理论假设,同时,采用Markov状态转移、结构突变理论的崩溃模型等方法实证检验了美国安然事件以及美国次级债危机中流动性黑洞与金融危机之间的共存性,得出金融危机中存在流动性黑洞的结论,并确认金融危机爆发前后的流动性黑洞区制,为下文实证提供了基础。
其次,本文从行为金融学的角度出发,从投资者心理行为变动所形成的市场预期角度,运用理论和实证方法,解释和研究金融危机中流动性黑洞产生的原因。在理论部分,本文借鉴前人的理论研究方法,剖析期望对流动性黑洞形成的促进作用。在实证研究部分,本文主要运用Tsallis熵的方法构建市场预期指标,实证考察次级债危机爆发前后美国和中国市场预期对流动性的影响,验证了市场期望对市场流动性具有影响的结论。实证结果表明,在市场运行良好的正常时期,市场期望的影响并不显著,而在市场处在动荡的危机时期,一致的市场预期减弱了市场的流动性,形成了市场交易的瓶颈。这种平稳时期与危机时期预期对流动性影响的差异是由于在危机时期金融机构存在使预期加速同质的风险控制机制,本文据此结论提出了相关政策建议。
再次,历史上爆发的金融危机影响范围不仅仅局限于单个金融市场,而是波及到金融市场的各个领域,有鉴于此,本文拓展金融市场研究领域,从金融子市场的角度考察美国抵押票据市场、银行融资市场、信用违约互换市场以及股票市场之间的流动性黑洞传导效应。实证结果表明,在危机爆发后的流动性黑洞时期,各金融子市场流动性相关程度明显增强,证实流动性黑洞在危机时期具有传导效应;此外,本文利用压力测试的方法,进一步实证检验流动性黑洞子市场传导效应对基于流动性的投资组合策略影响。实证结果发现,危机时期资产流动性相关程度的显著增强使投资者降低一种资产持有量时,必将造成其他市场流动性的降低,有可能会触及流动性触发条件,迫使投资者对基于流动性的投资组合进行再平衡,造成金融市场流动性的再次下降,最终推动流动性黑洞在各子市场之间的进一步传导。
最后,金融危机总是与区域或全球经济失衡相伴而生的,这种区域性的“蝴蝶效应”表现为一个国家的危机成为导致其他国家危机爆发的根源。为了准确地预测其他国家始发的金融危机对本国产生的影响,有必要对这种具有蝴蝶效应的金融危机国际传染性进行定性和定量的研究,进而为制定应对危机的政策方向和力度提供必要的理论依据。鉴于本文主要研究对象为金融危机中流动性黑洞问题,因此,本文以金融危机中的流动性为主要切入点,进行理论与实证的研究。理论部分根据金融危机中资产收益传染性的相关理论以及资产收益与流动性的关系,提出金融危机中存在流动性黑洞传染性的假设。实证部分主要从国际金融市场联动性的角度出发,采用copula函数的计量方法,考察欧美亚太各国和地区在金融危机中是否存在流动性黑洞的传染效应。实证结果表明,美国次级债危机中国际金融市场的确存在流动性黑洞的传染效应。同时,本文运用Granger因果检验方法,验证了流动性黑洞传染效应中金融市场之间因果关系的存在性和方向性。最后,根据研究结论,提出改善和缓解流动性黑洞传染的政策建议。
Since the 1980’s, with the development of financial globalization and liberalization, the risks faced by the international financial sector continue to increase, the stability of the financial system has been threatened not only by his country’s economic operation but also by the country’s economic fluctuation, the financial crisis outbreak one after another. Summing up the history of financial crises, we can find that the most important manifestation of the financial crisis is the liquidity black hole, in other words, the main feature of financial crisis is the disappearance of liquidity. Looking at the financial history of the world, a good market liquidity is the basis of the healthy and orderly development of financial markets. So in order to ensure ample liquidity in the market, from the formation of liquidity black holes in financial crisis to find out how to produce the liquidity black hole and the effect of liquidity black hole to the whole economy or even the world economy, it is meaningful for preventing the liquidity black hole of liquidity in financial crisis and improving the liquidity. In view of this, after clarifying the concept of liquidity and liquidity black hole, this paper gives the following researches:
Firstly, at the background of financial crisis, this paper uses other researcher’s model to confirm the theoretical hypothesis that there exist liquidity black holes in financial crisis. And using Markov Regime Switching method and crash model in structural break theory, this paper tests the existence of liquidity black hole in American Anron Event and American Subordinated debt crisis and confirm the regime of liquidity black hole which help the following research.
Secondly, from the perspective of market expectations, this article uses theoretical and empirical methods to explain and research the causes of liquidity black holes. In the theoretical part, combining the Morris and Shin(2003) with Chendengta and Zhouyinggang(2005)’s market microstructure model, this paper adds the expectation into the model to explain the effect of expectation to the liquidity black hole in American Subordinated debt crisis; In the empirical part, this paper uses Tsallis entropy to construct the indicator of market expectation, and compare the effect of market expectation to liquidity before and after the American Subordinated debt crisis, and gets the conclusion that the market expectation has effect on the market liquidity. The results show that in the normal times of market functioning, the effect is insignificant, but in the time of crisis, the same market expectations reduce the market liquidity and market transaction.The difference between normal times and crisis times is caused by the presence of a homogeneous risk control mechanism in financial institutions, Accordingly, this paper puts forward some policy recommendations.
Thirdly, the scope of the financial crisis is not limited to a single financial market, but is spread to all areas of financial markets. So this paper expands the areas of financial markets, and examine the conduction effect between the U.S. mortgage securities markets bank finance market, credit default swaps market and stock market liquidity. Empirical results show that the correlation enhanced in the period of liquidity black holes and confirms the conduction effect in financial crisis. And this paper use the stress testing method to test the effect of conduction to the portfolio strategy based on liquidity. The results show that because the correlation between the liquidity of financial markets increases, the behavior that the investors reduce the holdings of an asset will inevitably lead to reduced liquidity in other markets, and will touch on the liquidity trigger conditions, investors were forced to rebalance the portfolio based on liquidity making the financial market liquidity fall again, promoting the contagion effect of the liquidity black hole.
Finally, the financial crisis is always associated with regional or global economic imbalance, the butterfly effect is shown by the fact that a country’s crisis becomes the root causes of the crisis in other countries. In order to accurately predict the impact of the financial crisis originating in other countries on our country, it is necessary to do qualitative and quantitative research about the contagion effect of financial crisis, and provide the theoretical basis for the policy recommendations. Because the thesis is liquidity black hole in crisis in this paper, we do the theoretical and empirical research from the perspective of liquidity in crisis. In the theoretical part, according to the theory about the contagion of asset price in crisis and the theory about the relationship between asset return and liquidity, this paper provides the assumption that there exists contagion effect of liquidity black holes in financial crisis. In the empirical part, from the perspective of the linkage between the international financial markets, this paper uses copula function to test the contagion effect of liquidity black hole between Europe United States and Asian countries in financial crisis. The empirical results show that the contagion effects do exist during U.S. subprime crisis. In addition, empirical methods also give the causal direction of contagion. Finally, according to the above findings, this paper gives some policy recommendations to improve the liquidity and to ease the liquidity black hole.
引文
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