基于代际叠代模型的金融发展波动研究

The fluctuation of financial development, including the volatility in the financial market, helps to imporve the predict efficiency of financial development trends, and has a significant impact on financial security and sustainable development. However, the complexity of the financial system makes the research on volatility of financial development extremely difficult. The current study focus on short-term timing analysis, which is greatly inconsistent with the feature of finanicial development in reality. In this proposed research, we will use the inter-generational perspective and extend the overlapping generation model to study the complexity of evolution and transmission of financial development fluctuations. More specifically, (1)we propose the concept of the financial development inter-generational fluctuations (FDIGF) and its measuring methods; (2) we formulate overlapping generantion models with multiple factors (including systematic risks and nonsystematic risks) and take into consideration of the inter-sectoral and inter-industry interactions, the government's macro-control and fiscal policies, domenstic and foreign markets. These models will be used to analyze the complx evolution and transimission of financial development fluctuations in individual local systems as well as the global system, respectivly; (3)numerical simulations, empirical tests, statistical analysis will be employed to illustrate our analytical results on the complexity of financial development fluctuations by using the latest international and domestic financial development data. The results can greatly improve the ability to respond to the current and possible future harsh economic environment, can be used to guide establishing the macro-prudential policy framework, the finanical early warning and regulating mechanisms, and help handle the complex changes of the financial system and make forward-looking planning.

金融发展中出现的包括金融市场震荡在内的波动现象，对有效预测金融发展趋势，维护金融安全和可持续发展具有重要意义。但是金融系统的复杂性，使得对金融发展波动的研究成为难题。当前研究主要集中于短期时序中的分析，与现实金融发展波动表现的特征差异较大。本项目通过选取代际视角,扩展代际叠代模型,研究金融发展波动的复杂演化传导机制：（1）提出金融发展代际波动的概念及测度方法；（2）构建包含系统风险和非系统风险的多因素代际叠代模型，包含部门间的以及行业间的替代作用、政府宏观调控及财税政策、金融市场和对外金融联动作用等的多部门代际叠代模型，分别研究金融发展波动的系统演化和全局传导行为；（3）基于最新的国际国内金融发展数据，对金融发展代际波动进行数值模拟和实证检验。研究成果将有助于提高应对当前的恶劣经济环境的能力，促进宏观审慎管理，完善金融预警、监管机制的建立以及应对金融系统未来复杂变化做出前瞻性的策划。

来自系统内外部风险使得金融发展功能偏离预期结果（即金融发展波动），将降低金融系统的稳定性，是宏观经济安全的重大隐患。本项目研究金融发展波动的复杂演化传导机制：（1）金融发展现状分析和波动测度，从功能角度出发构建包含多重市场的金融发展评价指标体系，具体包含银行间市场、证券期货市场和保险市场在内的三大市场。采集2006年至今全国31个省市的时间序列数据，利用主成分分析方法，获得样本区间段内各省市金融发展得分，综合比较分析省际层面金融发展的波动情况。（2）金融发展波动的模拟和实证研究，重点测度金融危机后股指期货推出至今对股票市场波动的影响。通过偏度、峰度值等统计指标分析进行测度，研究了股市的波动集群性。考虑股市高风险高收益特征以及我国股市的特殊情况，通过结合统计分析并构建带有高风险高收益特征的GARCH-M模型，综合测度股指期货的影响。该GARCH-M模型通过将收益率的条件方差作为滞后条件方差项和前期误差平方项的线性函数，同时引入表征股指期货推出的虚拟变量，捕捉收益序列波动在股指期货推出前后的聚集趋势及其结构性变化，并检验新息和旧息与波动性的关系。（3）金融发展波动的建模和复杂行为分析，针对经济发展的特点，从经济周期性波动风险等系统性风险出发，考虑多种非系统性风险，构建多因素波动模型，重点考察带有不确定性环境污染和能源消耗等因素，探讨其对宏观经济的影响。（4）完善金融预警监管机制的政策建议。通过选定特定区域以及特定金融市场，综合现有金融体系特点，构建针对区域性的金融发展测度指标体系、针对特殊市场的波动测度模型、针对特定环境风险的波动传导演化模型，提出具有针对性地提出促进宏观审慎管理，完善金融预警监管机制的政策建议。研究成果将有助于提高应对当前的恶劣经济环境的能力，完善金融预警、监管机制的建立以及应对金融系统未来复杂变化做出前瞻性的策划。