金融不稳定假说的随机微观模型及其拓广

周四清; 张宏羽

金融不稳定假说的随机微观模型及其拓广

引用本文：周四清,张宏羽.金融不稳定假说的随机微观模型及其拓广[J].经济数学,2012,(4):71-78

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作者	单位
周四清,张宏羽	(暨南大学经济学院,广东广州510632)

中文摘要:基于海曼·明斯基的金融不稳定假说和Chiarella和Guilmi的随机微观模型方法，应用跳跃马尔科夫链分析了对冲型、投机型和庞氏型三类企业之间转换速率，通过三类企业占比的随机动态变化过程，从微观角度分析了金融系统不稳定性的生成机制、金融部门冲击实体经济的传递机制，并揭示了金融危机发生的内在原因取决于两个动态变量因素，一个是反映投资者预期和非理性行为的资本积累，另一个是不同类型投资者占比的动态变化.

中文关键词:金融不稳定假说金融危机随机微观模型

Stochastic Microfoundation Model of the Financial Instability Hypothesis and Generalizations

Abstract:Based on Hyman Minsky's financial instability hypothesis and the Chiarella & Guilmi’s Stochastic microscopic model and by using jump Markov chain, this paper analyzed the conversion rate among the hedge, speculative and Pang's enterprises .From the microscopic point, by three class enterprises,this paper accounted for random dynamic process to analyze the generating mechanism of the financial stability and the delivery mechanism of the financial sector shocking the real economy, and find that the inherent cause of the financial crisis depends on two dynamic variables: one is the capital accumulation reflecting the investor expectations and irrational behavior, the other is the dynamic changes of the proportion of different investors.

keywords:financial instability hypothesis financial crisis stochastic micro-foundation model

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