The Studies On Measurement Of External Financial Crisis Contagion Effect To China And Infectious Immune Strategy

For half a century, the spread of financial crisis from one country to others has become normalized and complicated, and always catch us off guard just like infectious diseases. Today the spread of financial crisis is still lurking in financial environment, like virus lurking in sub-health body, could make the global finance system into pathological at any time with new types of financial crisis. In recent years, as the world’s second largest economy, our country has destined to be susceptible in financial crisis contagion:after the subprime crisis, the exchange rate risk and capital market risk continued accumulating in China, the plan of four trillion stimulus issued urgently with the depreciation of dollar caused the property market soaring and inflation; after the European debt crisis, European consumer demand became weak, month-over-month of our exports constantly became negative growth, imported inflation pressure increased with the depreciation of the euro, export-led growth slowed down into "new normal" station. Therefore, under the background of global economic integration and financial integration, along with the further advance of interest rate marketization and RMB internationalization in China, from a global perspective and based on global trade network and global financial network, it becomes more and more urgent to analyze our country’s susceptibility to the epidemic characteristics of financial crisis and establish adaptive immunity mechanism. This will have important theoretical and practical significance to guard against and defuse the infectious risks for China in future.Based on the above realistic background, this article draws on epidemiological theory, combines complex network theory and econometric methods, and studies the measure of contagion of external financial crisis to our country and immune strategy systematically along the research route of "identification of potential source—measurement of infectious about China —strategy of adaptive immunity".In Chapter 2, we summarizes the related research progress of definition, interpretation, transmission and Immunity of financial crisis contagion, fries to build a theoretical framework of financial crisis contagion. We comb and summarize the related research on the reason, transmission channels and preventive measures of financial crisis from three basic steps which consist of the source of infection, the route of infection and susceptible populations and three defense lines which consist of innate immunity, adaptive immunity, and government rescue; we construct a theoretical platform to further analysis the contagion mechanism of random shocks to financial network from the development and application of D-D、A-G and G-K model;we comb the emergence and application of complex network transmission dynamics theory, therefore made the study of theory with financial contagion more systematic more in-depth.In Chapter 3, we identifies the potential infection source in global network from ex-ante perspective. We construct global trade network and global financial network on the basis of trade and financial links between major economies in the world, and find global trade network has the characteristics of power law distribution and characteristics of small world, global financial network has characteristics of unbiased distribution and characteristics of small world. Based on the complex network static characteristic theory, using k-shell, weighted degree centrality, closeness centrality, betweenness centrality, eigenvector centrality and other network centrality index to identify the potential infection source in global trade network and global financial network, we find that not only the United States, China, Britain, Germany, France and other large economies have potentially infectiousness, but also Belgium, Malaysia, Luxembourg and other small economies have a central position in global network, that once these small economies break out financial crisis, the global economy and financial stability will be threatened. In addition, the evolution of dynamic characteristics and potential infection source of the global network should also be concerned continuously.In Chapter 4, we observes the direct shocks from single potential infection source and multiple potential infection sources to China respectively for the case of European debt crisis, based on identifying potential infection source in the network. By constructing trade income effect index to measure contagion through trade channel, constructing foreign exchange market pressure index, financial market pressure index and FDI index to measure contagion through financial channel, utilizing Granger Causality Test and VAR model to analyze the direct contagion effect to output growth of China when European Union acts as infection source, we find that infectivity strength of trade channel is weaker than that of financial channel, but the reaction speed of trade channel is faster. This is related to that the degree of trade dependence between our country and European Union has not changed so much in this period. Furthermore, TVP-VAR model is used to analyze the direct contagion effect to output growth of China when the PUGS act as infection source, and the indicator of economic growth are treated as a proxy for the indicator of output growth to verify the robustness of the model. It turns out that the contagion effects of both trade and financial channels become more and more strong as the European debt crisis becomes more serious, and the shock response of trade channel of the PIIGS is more powerful and longer than financial channel.In Chapter 5, we uses complex network theory and latency SEIR model to observe the characteristics of indirect contagion of potential infection source, which makes up for the neglect of indirect contagion when utilizing econometric methods. In the case of European debt crisis, the empirical simulation indicates that:in the simulation with complex network model, the small world network model matches the structure of global trade network better and the uniform random network model matches the structure of global financial network better; diffusion threshold and crash threshold exist in the contagion of European debt crisis in global trade network and global financial network, the susceptibility of actual network structure in relationship network is lower than the susceptibility in the weighted network, and both of the contagion speed and contagion range in financial weighted network is lower than that in trade weighted network; in contrast with the case of Greece, the joint default of PIIGS will increase the contagion range in the financial network while the shock to trade weighted network is lighter; China’s susceptibility is lower in financial network than that in trade network and this phenomenon becomes more obvious when the incubation period becomes longer.In Chapter 6, we attempts to construct the theoretical framework of the adaptive immunity strategy to deal with financial crisis through analyzing the advances in supervision and regulation of Basel Accords, monetary policy, macro-prudential policy, financial risk pre-warning system and financial soundness system. Monetary policy acts as the primary means to deal with crisis contagion, so this paper uses TVP-VAR model to test the effects of China’s adaptability adjustment during the period of subprime crisis and European debt crisis, and finds that the quantitative monetary policy has less effect than the priced monetary policy. The transmission mechanism of interest rate through monetary channel has more significance and could last longer than the transmission mechanism of RRR through credit channel for the aim of economic stimulus; the transmission mechanism of RRR through credit channel is significant for the aim of deflation prevention while the transmission mechanism of RRR through monetary channel has no effect for this aim. Meanwhile, in order to draw lessons from the experiences of adaptive immunity strategy that developed economies deal with financial crisis, this paper uses VAR model to empirically test the adaptability adjustment of unconventionality monetary policy in Eurozone, USA and Japan during the period of financial crisis, and finds that the monetary policy of Eurozone performed the worst. In addition, this paper compares immunization strategies for crisis contagion in global network through analyzing random immunization, targeted immunization and acquaintance immunization in complex network.Through the above empirical analysis and simulation, it provides supports of the theory and skill to promote the research of financial contagion theory and method, systematize the analysis of immunity to financial crisis, and maintain the financial stability of our country.