voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2008-10-4-31voprecotest-1357Research ArticleГЛОБАЛЬНАЯ ФИНАНСОВАЯ НЕСТАБИЛЬНОСТЬGLOBAL FINANCIAL INSTABILITYКредитный «пузырь» и перколация финансового рынкаCredit Bubble and Percolation of Financial MarketsСмирновА.SmirnovA.

доктор экономических наук, заслуженный деятель науки РФ, профессор, действительный член РАЕН

ГУ-ВШЭРоссияState University - Higher School of EconomicsRussian Federation200820102008010431Copyright © Voprosy Ekonomiki, NP, 20082008Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/1357

Продолжающийся более года кризис на глобальных рынках кредитов усиливает значимость исследования механизмов, причин и последствий подобных экстремальных явлений. В статье предлагается модель финансового «пузыря», который предшествует кризису ликвидности и развивается благодаря массовой практике возмещения существующих долгов новыми, а его неизбежная сингулярность происходит из-за перерождения (перколации) финансового рынка. В модели объясняется, как движущие силы кредитного кризиса 2007-2008 гг. - секьюритизация активов и финансовые нововведения - способны привести глобальные финансы к катастрофе. Для степенного распределения вероятностей глобального долга рассчитываются его объемы, а также время, оставшееся до возможной катастрофы.

In the article a simple model of stochastic credit bubble is proposed that has been growing over the recent years as a result of the global excess liquidity. That has given rise to formation of a random sequence of debt buyers clusters due to widespread practice of loan repayments with new debt issuance. Greatly increased positive feedbacks in the global market speed up the debt growth via structured financial instruments, and the debt bubble bursts at the critical value of global liquidity. The percolation process demonstrates how asset securitization and financial innovations might direct global system towards collapse. The model makes it possible to estimate the power law probability and time to a global collapse.

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The authors declare that there are no conflicts of interest present.