国际金融系统风险的放大与传导:对冲基金在金融风暴中的作用

作为国际热钱的代表,对冲基金在2007～2008年金融风暴中究竟起了怎样的作用?本文首先分析了对冲基金在危机中去杠杆化操作的原因及后果;通过构造1171家美国上市银行加权平均投资组合,以其月度收益率作为美国银行业代理变量,采用1994～2008年对冲基金月度数据进行经验论证。研究发现:第一,对冲基金去杠杆化放大了系统风险;第二,对冲基金全行业具有杠杆效应的一致性;第三,对冲基金的收益水平与美国银行业紧密相关,因此,对冲基金的行动是资本市场剧烈波动的影响因素,向美国银行业传导了系统风险,推动了金融风暴的形成。最后,本文提出加强对冲基金监管的思路。

Amplification and Conduction of Global Financial Risk:Role of Hedge Funds in Financial Storm

Hedge funds have increased dramatically in last decade to be a main force of international financial market. What role did hedge funds play during the 2007-08 financial storm?The authors firstly analyze the reason why hedge funds deleverage during the crisis and the outcomes of these actions.Secondly,through constructing a weighted portfolio of American listed commercial banks which can be used as a proxy of American banking industry,the authors empirically examine the relationship between hedge-fund indust...