太有活力了，不能失败。明斯基金融不稳定假说自催化模型的实证支持
Too dynamic to fail. Empirical support for an autocatalytic model of Minsky's financial instability hypothesis
摘要：
Solomon和Golo [1]最近提出了一个自催化（自我强化）反馈模型，该模型将宏观系统参数（利率），微观参数（衡量个体代理的状态分布（陷入财务困境的公司数量））和点对点网络效应（供应链融资的传染）耦合起来。在这个模型中，每个金融代理人的特点是其弹性的利率。当利率超过一定值时，公司的财务成本所产生的利息超过了公司的收益，公司就很容易破产（庞氏骗局）。当利率水平低于某一阈值时，企业的贷款规模小于其收益，企业成为“套期保值”企业。在本文中，我们将历史数据（2002-2009年）的利率数据拟合到我们的模型中，以预测庞氏公司的数量。我们比较预测的数据，从一个大的面板的意大利公司在9年的时间。然后，我们使用贸易信用联系来讨论庞氏密度和网络渗透之间的联系。我们发现，“自上而下”-“自下而上”的正反馈回路占了明斯基危机加速器动态的大部分。P2P庞氏公司的传染只有在危机的最后阶段，当庞氏密度超过临界值时才变得显著。此外，庞氏骗局的蔓延仅限于那些缺乏足够活力、无法用新客户取代陷入困境的客户的公司。在这方面的数据支持这样一种观点，即经济的成功取决于用一个相互作用的动态代理人来取代静态的“供应网络”。
英文摘要：
Solomon and Golo [1] have recently proposed an autocatalytic (self-reinforcing) feedback model which couples a macroscopic system parameter (the interest rate), a microscopic parameter that measures the distribution of the states of the individual agents (the number of firms in financial difficulty) and a peer-to-peer network effect (contagion across supply chain financing). In this model, each financial agent is characterized by its resilience to the interest rate. Above a certain rate the interest due on the firm's financial costs exceeds its earnings and the firm becomes susceptible to failure (ponzi). For the interest rate levels under a certain threshold level, the firm loans are smaller then its earnings and the firm becomes 'hedge.' In this paper, we fit the historical data (2002-2009) on interest rate data into our model, in order to predict the number of the ponzi firms. We compare the prediction with the data taken from a large panel of Italian firms over a period of 9 years. We then use trade credit linkages to discuss the connection between the ponzi density and the network percolation. We find that the 'top-down'-'bottom-up' positive feedback loop accounts for most of the Minsky crisis accelerator dynamics. The peer-to-peer ponzi companies contagion becomes significant only in the last stage of the crisis when the ponzi density is above a critical value. Moreover the ponzi contagion is limited only to the companies that were not dynamic enough to substitute their distressed clients with new ones. In this respect the data support a view in which the success of the economy depends on substituting the static 'supply-network' picture with an interacting dynamic agents one.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
