国际金融危机传染的时空机制及对策研究

In the post financial crisis era, investigating and rethinking the contagion of financial crisis is still an important issue. Based on three-generation currency crisis model and Masson’s theory of international contagion mechanism of financial crisis, taking U.S sub-prime mortgage crisis and European debt crisis as the main body, the temporal characteristics (i.e. intensity, duration, feedback effects) of the contagion is first detected using time series analysis. Secondly, an economic and political system space of financial crisis contagion is constructed with the economic freedom index, and the spatial distribution, spatial structure, spatial interaction is examined through exploratory spatial data analyses. Then the study conducted a spatial panel data analysis by organically combining the macroeconomic fundamentals, financial and trade ties, and the similarity between countries to empirically test and analyze the crisis’s main transmission mechanism, spatial dependence, and spatial heterogeneity. Finally, combined with the results of empirical research, the study analyses the causation of contagion form the perspective of China’s current financial system, capital market, economic and political system, puts forward countermeasures and suggestions to prevent and respond to financial crisis.

在后金融危机时期，考察和反思金融危机的传染性仍是一个重要议题。本课题以起源于美国次级贷款的金融危机、继而引发的欧债危机的发生与传染为研究主体，以三代货币危机模型和 Masson的金融危机国际传染机制为理论基础，采用时间序列分析方法研究国际金融危机传染的时间特征（强度、持续时间和反馈机制）；根据世界经济自由度指数构建经济制度空间，并采用探索性空间数据分析揭示金融危机传染的空间分布、空间结构及空间相互影响等方面的特征；采用空间面板数据分析方法，将宏观经济基本面、金融贸易联系、国家间经济制度相似性等有机地结合起来，对金融危机的主要传染机制、空间依赖性和空间异质性进行实证检验；结合实证研究结果，从中国现行的金融体系、资本市场及经济、政治制度等方面解释中国受金融危机传染的原因，并提出应对和防范金融危机传染的相关对策建议。