CAJ | 학술논문

基于市场微观结构视角，在引入存货的基础上建立了一个HAM模型考察金融危机的成因。模型发现：投资者的“动物精神”和心理预期在资产价格形成机帑】中扮演着重要角色；技术分析者与基本面投资者的交易行为对资产价格分别起到不稳定机制和稳定机制作用，且前者市场力量很强，导致金融系统具有很强的内在不稳定性。模型揭示了金融市场牛市、熊市的转换机制以及不同类型金融危机的发生机制，刻画了真实金融市场尖峰厚尾、剧烈波动等特征，与经验事实一致。
기우시장미관결구시각，재인입존화적기출상건립료일개HAM모형고찰금융위궤적성인。모형발현：투자자적“동물정신”화심리예기재자산개격형성궤탕】중분연착중요각색；기술분석자여기본면투자자적교역행위대자산개격분별기도불은정궤제화은정궤제작용，차전자시장역량흔강，도치금융계통구유흔강적내재불은정성。모형게시료금융시장우시、웅시적전환궤제이급불동류형금융위궤적발생궤제，각화료진실금융시장첨봉후미、극렬파동등특정，여경험사실일치。
From the visual angle of the market microstructure, we construct a HAM model by introducing the inventory to investigate financial crisis causes. Our model shows that the ＇animal spirit＇ or the psychological expectations of investors have a significant impact on the asset pricing forming mechanism. The transaction behaviors between the technologi- cal analysts and fundamental investors play a role in the instable or stable mechanism respectively. Moreover, the former has a powerful market force, leading to a very powerful intrinsic instability in the financial system. Our model also reveals the conversion mechanism between bull and bear markets along with the forming mechanism of various types of financial crises, delineating that the characteristics such as sharp peaks and fat tails, drastic volatility etc. in the actual financial market are consistent with the empirical facts.