Research On The Financial Crisis Spatial Contagion And Early Warning

On March 5, 2015, at the twelfth session of the third session of National People’s Congress, the State Council Premier Li Keqiang pointed out by the government work report, "We should improve financial supervision and firmly hold the bottom line of regional systemic risk." Facing such complex and challenging international financial environment, the study on the financial crisis and early warning will not only help to prevent the harm from financial crises, but also help to maintain our financial system soundness and our economic and social stability, which is the inherent requirements of promoting the country’s financial security.In such a background, this paper will combine the IMF Global Projection Model with system dynamics to establish a global economic simulation platform in order to get some useful conclusions on the research of the financial crisis spatial contagion and early warning along with spatial econometrics. The main research contents are as follows:First, with global economic monthly monitor data from the World Bank, using spatial dynamic nonparametric Durbin model with fixed effects, we make a study on the financial crisis spatial contagion mechanism and there are significant nonlinear financial spillover effects during financial crisis spatial contagion.Second, we make a forecast of Asian emerging countries economic trends with the Global Projection Model GPM6 by the global economic model team of IMF. Then we set up the Global Projection Model GPMplus based on the prediction results, the Global Projection Model GPM6 and previous studies. After that, we make a forecast on China economic trend, and make an analysis of the impact of "currency war" to China’s economy in 2015.Third, based on the Global Projection Model of GPM6 and GPMplus, combined with system dynamics, using the system dynamics software Anylogic 7, we establish a global economic simulation platform and apply it to simulate various economic phenomena, especially the simulation of the financial crisis shock.Fourth, based on the previous results, we make some improvements on the financial crisis early warning mechanism from financial crisis monitors, macroeconomic framework and economic simulation with relevant policy suggestions.The improvement measures are as follows, first, we should establish the financial crisis early warning index system facing the world; second, we should make early warning under the framework of the global economic model;third, we should make early warning by the method of simulation; finally, we should promote the harmonization of financial crisis early warning mechanism.Comparing to the existing studies, the main contributions of this dissertation can be summarized in the following aspects: first, it makes a study on the financial crisis spatial contagion mechanism with spatial dynamic panel models and finds there are significant nonlinear financial spillover effects during financial crisis spatial contagion, which verifies the nonlinear financial crisis spatial contagion mechanism of financial channels among different countries; secondly, it establishes two new spatial dynamic panel models, spatial dynamic Durbin model with fixed effects and spatial dynamic nonparametric Durbin model with fixed effects, along with the corresponding estimation and testing method; then, it establishes the Global Projection Model GPM+ for China and applies it to forecast the trend of China’s economy; finally, it establishes a global economic simulation platform and applies it to simulate financial crisis shocks simulation, which provides a new perspective on the financial crisis contagion and early warning research.