Макрофинансы II: модель пузырей и кризисов

Экономический журнал Высшей школы экономики. 2010. Т. 141. № 4. С. 401–439.

Smirnov A. D.

Proposed a model of financial bubbles and crises based upon the methodology of complex systems analysis. It was shown how the procedures (slice and dice) of a CDO synthesis generated the excess growth of the securitized assets value. The latter being coupled with the high leverage might produce the total collapse of a financial system. On a macrolevel of a system its behaviour was modeled by a differential equation depending on three parameters. The irrationality of financial investors, as it was well known, had been empirically explained by «the greater fool theory». This process, in modern terms, was represented as the autocatalytic process leading to a system's singularity. Such an outcome was explained on the system's microlevel as a process of financial percolation which was modeled, quite surprisingly, by the same equation of a Bernoulli type. Invariant constants of percolation were used to estimate different parameters of a model. The model application to the study of 2007-2010 credit crunch has given rise to the impressively coherent results in terms of probabilities and the return time periods of critical events that took place on the global financial markets.

Keywords: макроэкономика, финансовый рынок, макромоделирование, financial bubble, финансовый пузырь, percolation, singularity, макрофинансы, теория перколации, сингулярность, международные финансы