国际金融市场联动与风险传染的微观机制及其模拟研究

金融动荡的全球蔓延是当今国际金融市场的突出特征。已有研究多利用加总数据、侧重于宏观的经济与金融关联机制、研究对象也基本限定于国际、国家或者市场等宏观层面，对于全球金融市场联动与风险传染的微观经济基础或者微观机制仍知之甚少。本项目旨在探寻宏观上联动与传染现象的微观基础，具体而言：本项目将基于公司数据研究金融传染的微观经济特征，有效识别不同传染渠道的异质性影响；基于投资者行为模式与关联关系研究金融传染的微观机制和微观渠道；在此基础上，拓展基于Agent的多市场多主体模拟模型使之成为适合分析金融市场联动与风险传染的人工实验平台，和实证分析相互补充、相互发展，深入、全面考察国际金融风险扩散和传染的微观动力学机制并衍生相关的政策建议。本项目将为市场参与各方理解和应对国际金融风险提供更为宽广、更为深入的理论和实证依据，并为金融监管政策与市场稳定性操作提供理论指引和政策分析工具。

Global spread of financial turbulence is a prominent feature of international financial markets. Existing literatures often use aggregated data, focus on the macro economic and financial transmission mechanisms, and basically limited to the macro-level targets, e.g. international markets, national economy or asset markets. Little is known about the microeconomic foundation or microscopic mechanism of the global financial market co-movement and risk contagion. Our project aims to explore the micro-foundation of the macro co-movement and contagion. In particular, the project will disclose the micro-economic characteristics of financial contagion, and will effectively identify the heterogeneous effects of different transmission channels based on firm-level data. From the points of investor behavior pattern and interaction, this project can disclose the microscopic mechanisms and micro channels of financial contagion. On the other hand, the project will expand the agent-based multi-markets multi-agents simulation model to make it suitable for the analysis of financial markets co-movement and contagion. The simulation analysis, making up for deficiencies of empirical research, could give more comprehensive investigation into international financial risk spread and the microscopic dynamics mechanism of contagion, and derive relevant policy recommendations. Our research plan will provide more broadly, more thoroughly theoretical and empirical basis for market participants to understand and to cope with the international financial risk, and put forward theoretical guidance and policy analysis tools for financial regulatory policy and market stability practice.