金融危机传染渠道与机制研究——以次贷危机为例

Contagion channels and mechanisms of the subprime mortgage crisis in global financial markets

通过识别次贷危机传染存在差异,将美国以外25个国家(地区)分为显著和未显著受传染两组,在此基础上构建代表宏观经济基础、贸易、金融、债务、区域渠道的5类一级、16项二级指标,代入logit二元选择模型论证传染机制.截面数据模型显示区域、金融和债务渠道显著,面板数据模型显示贸易和金融渠道显著.在两模型中,金融渠道的银行资本资产率指标均显著但符号相反,表明短期内危机爆发骤烈,众多资本资产率高的银行也因涉及大规模次级债务、恐慌性挤兑、流动性短缺等破产倒闭,但长期中这一指标越高,抵御危机传染的概率越大.

Based on contagion identification, this paper studies contagion channels and mechanisms of the U.S. subprime mortgage crisis. The securities markets of 25 economies are divided into non-contagious and contagious groups by using the adjusted volatility regression model. The 16 key indicators which represent the five contagion channels including macroeconomic fundamentals, trade, financial, regional and debt are selected to conduct both sectional and panel logit regression. The sectional model finds regional, financial and debt channels determine the probability of contagion. The panel model shows that trade and financial channel are main transmission channels. Bank capital asset ratios are significant but with opposite sign in both models, indicating that in the short term, although with high capital assets rates a number of banks bust due to the rapid crisis broken but in the long term the higher the rates, the greater to resist contagion.