金融危机的成因与机制——基于市场微观结构的视角

The Cause and Mechanism of Financial Crisis——From the Perspective of Market Microstructure

基于市场微观结构视角,在引入存货的基础上建立了一个HAM模型考察金融危机的成因。模型发现:投资者的"动物精神"和心理预期在资产价格形成机制中扮演着重要角色;技术分析者与基本面投资者的交易行为对资产价格分别起到不稳定机制和稳定机制作用,且前者市场力量很强,导致金融系统具有很强的内在不稳定性。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,刻画了真实金融市场尖峰厚尾、剧烈波动等特征,与经验事实一致。

From the visual angle of the market microstructure, we construct a HAM model by introducing the inventory to investigate financial crisis causes. Our model shows that the ＇animal spirit＇ or the psychological expectations of investors have a significant impact on the asset pricing forming mechanism. The transaction behaviors between the technologi- cal analysts and fundamental investors play a role in the instable or stable mechanism respectively. Moreover, the former has a powerful market force, leading to a very powerful intrinsic instability in the financial system. Our model also reveals the conversion mechanism between bull and bear markets along with the forming mechanism of various types of financial crises, delineating that the characteristics such as sharp peaks and fat tails, drastic volatility etc. in the actual financial market are consistent with the empirical facts.