跨境证券投资网络与金融危机指标
Cross-border Portfolio Investment Networks and Indicators for Financial Crises
摘要：
本报告分析了2002年至2012年期间的跨境股票和长期债务证券证券投资网络，涵盖2008年全球金融危机。它们分别作为衡量全球金融体系稳健性和金融市场相互依存性的网络代理。确定了两个金融危机预警指标：首先，作为结构稳健性的衡量标准，股票证券网络的代数连通性在2005年已经下降到接近零，而在与这一观察结果最相关的国家中，高度离岸金融中心的代表性过高，建议就全球金融体系的结构稳定性对这些节点进行调查。其次，使用现象学模型，发现债务证券网络的边缘密度可以描述甚至预测几种场外交易金融衍生品（最突出的是信用违约互换）的扩散，使人们能够检测潜在的危险水平市场相互依赖性和系统性风险。
英文摘要：
Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial system and the interdependence of financial markets, respectively. Two early-warning indicators for financial crises are identified: First, the algebraic connectivity of the equity securities network, as a measure for structural robustness, drops close to zero already in 2005, while there is an over-representation of high-degree off-shore financial centres among the countries most-related to this observation, suggesting an investigation of such nodes with respect to the structural stability of the global financial system. Second, using a phenomenological model, the edge density of the debt securities network is found to describe, and even forecast, the proliferation of several over-the-counter-traded financial derivatives, most prominently credit default swaps, enabling one to detect potentially dangerous levels of market interdependence and systemic risk.
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