The Generalized Multidimensional Economic Spatial Spillover, Aggregation And Evolution Of The Financial Crisis Risk

As the diversity and hierarchy of global economy and financial markets get deeper and the continuous creation of regional economic organizations, there exist remarkable multidimensional spatial effects across the regions, markets and industries and so on between financial markets and real economy. Meanwhile the new research indicates that the excessive virtualization of global financial field leads to serious imbalance between the structures of financial fields and real economy. The complex structure relationship also exacerbates the multidimensional mixed spatial spillover of financial crisis risk between financial markets and real economy. Driven by the spatial effects, the financial crisis risk shows some new characteristics like multidimensional spatial spillover, aggregation and evolution. So with emergence of information network technology and electronic trading, traditional spatial metric methods like ?distance‘ and ?neighbourhood‘ has already couldn‘t measure abstract space of the financial field effectively.How to capture the new characteristics like multidimensional space of the true economic finance data and combine indictors of financial markets and real economy effectively to study the inner mechanism of multidimensional spatial spillover of financial crisis risk has attracted attentions from both domestic and international academic and industrial circles. However, the existing research shows that traditional econometrics and spatial econometrics methods have certain limitations in capturing multidimensional spatial effects of financial fields, measuring abstract space, and realizing the fusion of indictors of financial markets and real economy. These theoretical models may produce the deviations in estimating practical problems.Based on the spatial econometrics theory and financial geography theory, from multidimensional perspectives, merge indictors of financial markets and real economy and to define a new generalized economy measurement distance and gravity spatial weight matrix by using regional economic space gravity effect and space economic theory, then the generalized-multidimensional economic spatial theory is established in this paper. Under the constructed space, according to the laws of risk spatial spillover of financial crisis, analyze the generalized-multidimensional economic space risk spillover path, the short-term aggregation effect and dynamic evolution process, respectively. Capture the inner mechanism of risk spatial spillover of financial crisis, provide a theoretical reference for financial regulation and policy-making. The main content of this paper includes the following four parts:Firstly, this thesis establishs the generalized-multidimensional economic spatial theory, detect the existence of spatial risk spillover effect of financial crisis and then measure it. To deal with the drawbacks of the existing spatial econometrics theory, in this paper, the generalized-multidimensional economic spatial theory which can measure ?abstract space‘ is established by combining the physical distance between regions and the time-varying nonlinear T-copula indictor of financial markets to define generalized economic measurement distance, and merging regional gravity effect and indictors of financial markets and real economy to construct gravity spatial weight matrix. Then construct the generalized-multidimensional spatial autoregressive panel models of S-Va R and S-Co Va R based on this economic space. The empirical results show that the generalized-multidimensional economic spatial theory established in this paper can measure ?abstract space‘ of practical problems in financial field like risk spillover effect of financial crisis effectively; there exists remarkable multidimensional spatial spillover effects from financial crisis risks across the regions, markets and industries, and so on. That is to say, it is necessary and feasible to study the risk contagion of financial crisis from the spatial perspective.Secondly, this thesis analyzes the generalized-multidimensional economic space risk spillover path of financial crisis. In the first part, it has been demonstrated the existence of the generalized-multidimensional economic space risk spillover effect of financial crisis whose spillover path and mode will be analyzed in this part. By introducing the dynamic indictor of spillover path to construct gravity spatial weight matrix, the spatial econometrics panel models of SAR and SEM are built. Based on the background of European debt crisis, the empirical analysis shows the source of risk spatial spillover path in this financial crisis is financial capital, and the risk contagion caused by financial crisis results from bilateral spillover together with indirect spillover among economies.Thirdly, this thesis examines the short-term aggregation effect. According to the above conclusion, further analyze the generalized-multidimensional economic space short-term aggregation effect of financial risk under different spillover ways. By constructing multivariant Spatial- FIAPARCH-DCC model and S-SUR model, study the spatial aggregation effect of financial risk spillover among different regions and real economy industries during different financial crisis stages. The results show that financial risk spillover has prominent region and industry aggregation and hierarchy, which firstly aggregates in real professions like material, energy, industry and telecoms in short term, among which the health is almost immune to this crisis. There exists asymmetry between breadth of real economy shocked by financial risk spillover and the strength of financial markets shocked by this crisis among economies.Lastly, this thesis studies dynamic evolution and to capture inner mechanism of financial crisis risk spillover in the generalized-multidimensional economic space. After forming spatial aggregation among some specific regions, markets and industries, the financial crisis risk will continue to diffuse and evolve with these centers. In this paper, according to the different stages and multidimensional space aggregation effects of financial crisis risk, construct spatial network topology structure of risk spillover with different space-time dimensions and spatial network hierarchical model to analyze the evolution process of spatial correlation coefficients, detect the key spillover node by using the measurement model of weighted Bonacich core node, and simulate the dynamic evolution mechanism of spatial spillover effect by using SIR epidemic model. The results show the spatial structure of global financial system is a dynamic evolution process, financial crisis risk spillover increases in the spatial effect multiplier and when the financial markets with measurement value of core node closer to the top, the whole space structure of financial system would be affected more which help to capture the inner mechanism of multidimensional space spillover of financial crisis risk.