大连海事大学硕士学位论文
摘
要
守住不发生系统性金融风险的底线、增强金融服务实体经济的能力，是党的十九大
报告中所重点强调的内容。在现实生活中，探究系统性金融风险的发生机制和其防范与
应对措施、以及如何维持金融系统稳定性，一直以来都是各国经济金融发展的重要环节。
在学科上，金融风险的酝酿、发生与扩散的机制问题是一个典型的复杂系统问题，系统
性金融风险问题因而也引起了复杂系统学界的高度关注。过去十余年间以 Joseph Stiglitz、
Robert May等为代表的学者开展了大量研究。但就以往的复杂系统研究金融风险而言，
文献大都是集中于研究金融机构之间的拆借关系或者简单的银行与企业间联系，并且这
些文章的研究范式是在构建完金融网络之后，运用外部冲击或设置外生变量给予金融系
统冲击，并没有解释冲击的来源。基于这类模型的研究对于深化人们对风险在金融系统
内部扩散的机制起到了很好的作用，但这些仅把范围限定于金融机构网络内部的研究，
脱离了它所服务的实体经济，这造成了较大局限性。在现实中，金融系统的风险的发生
与传播与金融系统和实体经济系统间的交互往往密不可分，把金融系统与其所支持的实
体系统综合起来加以研究，有助于更为深入地理解金融风险传播的动态机制。
本文以此为出发点，将生产消费循环中的企业和家庭的经济活动纳入到金融系统当
中，来研究实体经济与金融系统间的违约传播机制。以复杂系统动力学的视角构建代理
模型，在前人所构建的银行间拆借关系的网络上，将风险资产投资节点的经济行为设为
另一层关系网络，并通过节点与金融系统之间的借贷和存款行为将对两层关系联系起来，
构建出一个耦合了金融系统与实体经济双层关系的金融风险传播模型。进而，以仿真模
拟的方式将结构中风险的发生、级联和违约等现象展现出来，触及风险冲击的源头，探
索现实中信用违约风险传播的内在机制。
研究发现，金融风险产生的根源是生产消费的萎缩对整体经济体系造成的影响，具
体表现为，风险投资个体在贷款后的还款值的增长率与收入增长率的不匹配（前者大于
后者），所带来的生产消费循环的萎缩，导致了风险资产收益率的下降和流动性危机，
两者共同造成了信用违约风险的传播。金融系统作为经济体系的一部分，本应该服务于
实体经济中的生产消费循环，对聚集的资源进行需求再配置，为经济增长注入动力。但
循环中的个体将贷款来的资源投入到外部资产中，以谋求高风险高回报的收入，从而压
缩了消费来偿还贷款本息，进一步影响生产循环使实体经济萎缩。而名义资产的提高，
并不能为经济带来财富增长，最终造成金融系统的不稳定，引发了信用违约和风险传递。
关键词：系统性金融风险；复杂网络模型；风险传播机制；仿真模拟；生产消费循
环
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考虑生产消费循环的金融风险传播模型研究
Research of financial risk propagation models considering the
production-consumption cycle
Abstract
Guarding the bottom line of no systemic financial risks and enhancing the capacity of
financial services for the real economy are the key elements highlighted in the report of the
19th Party Congress. In real life, exploring the mechanisms of systemic financial risks, their
prevention and response measures, and how to maintain the stability of the financial system
has always been an important part of the economic and financial development of various
countries;
in terms of discipline, the mechanism of the gestation, occurrence and spread of
financial risks is a typical complex systems problem, and the issue of systemic financial risks
has therefore attracted a great deal of attention from the complex systems community. Over
the past decade or so, scholars such as Joseph Stiglitz and Robert May have carried out a lot
of research. However, most of the previous complex systems research on financial risk has
focused on the study of lending and borrowing relationships between financial institutions or
simple bank-firm linkages, and the paradigm of these articles is to apply external shocks or
exogenous variables to the financial system after the construction of the financial network,
without explaining the source of the shocks. Studies based on such models have been useful
in deepening the understanding of the mechanisms of risk diffusion within the financial
system, but these studies, which limit their scope only to within the network of financial
institutions, are detached from the real economy it serves, which creates a greater limitation.
In reality, the occurrence and propagation of risk in the financial system is often inextricably
linked to the interaction between the financial system and the real economic system, and
studying the financial system and the real system it supports in an integrated manner can
contribute toa deeperunderstanding ofthe dynamicmechanisms of financialrisk
propagation.
With this in mind, this thesis examines the mechanisms of default propagation between
the real economy and the financial system by incorporating the economic activities of firms
and households in the production-consumption cycle into the financial system. An agent
model is constructed from the perspective of complex system dynamics. On top of the
network of inter-bank lending relationships constructed by previous authors, the economic
behavior of the nodes investing in risky assets is set as another layer of the relationship
network, and the two layers of relationships are linked through the lending and deposit
behavior between the nodes and the financial system, so as to construct a financial risk
propagation model that couples the two layers of relationships between the financial system
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大连海事大学硕士学位论文
and the real economy. Further, the phenomena of risk occurrence, cascading and default in the
structure are presented in a simulation to touch upon the source of risk shocks and explore the
underlying mechanism of credit default risk contagion in reality.
The study found that the root cause of financial risk generation is the impact of the
contraction of production and consumption on the overall economic system, as evidenced by
the mismatch between the growth rate of the repayment value of individual loans to venture
capitalists and the growth rate of income (the former is greater than the latter), the resulting
contraction of the production and consumption cycle, which leads to a decline in the rate of
return on risky assets and a liquidity crisis, both of which together cause the transmission of
credit default risk. The financial system, as part of the economic system, is supposed to serve
the production-consumption cycle in the real economy by reallocating demand for the
resources gathered to fuel economic growth, but individuals in the cycle invest resources from
loans in external assets in search of high-risk, high-return income,thereby squeezing
consumption to repay loan principal and interest, further affecting the production cycle to
shrink the real economy, while nominal assets do not generate wealth growth for the economy,
ultimately causing instability in the financial system and triggering credit defaults and risk
transmission.
Key Words: Systemic Risk; Complex Network Model; Risk Contagion Mechanism;
Simulation; The production-consumption cycle
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