外生于经济基本面的金融危机:基于市场微观结构的视角
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| Title | Financial Crisis Exogenous from Economic Fundamentals:Based on Perspective of Market Microstructure
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| 作者 | 龚刚 魏熙晔 |
| Author | Gong Gang and Wei Xiye |
| 作者单位 | 南开大学经济学院 |
| Organization | School of Economics, Nankai University |
| 作者Email | gongg@nankai.edu.cn；weixiye@163.com |
| 中文关键词 | 金融危机 市场微观结构 羊群行为 短期投机者 长期投资者 |
| Key Words | financial crisis; market microstructure; herd behavior; short-term speculator; long-term investor |
| 内容提要 | 本文基于市场微观结构的视角分析了短期投机者与长期投资者的行为对资产价格动力学的影响，分别为负反馈的不稳定效应与正反馈的稳定效应。本文引入存货与信息冲击扩展并改进了现有HAM模型，证实金融危机受内在不稳定性与外部冲击双重因素影响。模型揭示了金融市场牛市、熊市的转换机制以及不同类型金融危机的发生机制。模拟结果反映了实际金融数据的尖峰厚尾等典型特征化事实，具备良好的统计特征。模型显示的羊群行为特征还可以解释中国股市易暴涨暴跌、波动率较发达市场大的现象。政府应改善投资者结构，对于如人民币和住房等特别重要的资产，政府可直接以基本面投资者身份入市。 |
| Abstract | This paper analyzes the impact on asset price for different types of investors based on market microstructure. Short-term investors play an unstable role with positive feedback while long-term investors provide a stable mechanism with negative feedback. One improved HAM model is proposed with inventory and information shock. It shows that financial crisis is induced by both intrinsic instability and external shock. Our model also reveals the conversion mechanism between bull and bear markets along with the transmission mechanism of various types of financial crisis. Simulation results are consistent with the real stylized facts such as leptokurtosis and fat tails. The herd behavior reflected in the model helps interpret the larger volatility of Chinese stock market relative to developed market. Thus the government is proposed to optimize investor structure. For some important asset market such as RMB or real estate, it is a great strategic significance for the government to enter into asset market as the fundamental investor. |
| 文章编号 | WP490 |
| 登载时间 | 2013-07-09 |
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