基于马田系统的金融危机预警指标选择研究

发布时间：2018-01-01 02:29

本文关键词：基于马田系统的金融危机预警指标选择研究　出处：《财贸经济》2011年11期 　论文类型：期刊论文

【摘要】：金融危机产生的严重后果及其深远影响已为世人所知。美国次贷危机的爆发使人们对金融危机的研究再次成为热点。预警模型是金融危机预测的主要方法,而变量的选择是模型构造的关键。因此,选择合理的经济变量作为预警指标,对于金融危机的有效预测具有重要的现实意义。本文以51个国家数据作为样本,选取了代表宏观经济不同侧面的12个经济指标,利用多元变量系统诊断技术对马田系统进行分析,在保持或不降低预警模型预测能力的情况下,有效地减少了预测指标的数量,这对提高模型的预测水平和减轻前期数据收集工作具有重要意义。
[Abstract]:The serious consequences of the financial crisis and its far-reaching impact have been known to the world. The outbreak of the sub-prime mortgage crisis in the United States has made the study of financial crisis become a hot topic again. Early warning model is the main method of financial crisis prediction. The choice of variables is the key to model construction. Therefore, the selection of reasonable economic variables as early warning indicators has an important practical significance for the effective prediction of financial crisis. This paper takes 51 national data as a sample. Selected 12 economic indicators representing different aspects of the macro economy, using the multi-variable system diagnosis technology to analyze the Matian system, in the case of maintaining or not reducing the forecasting ability of the early warning model. It can effectively reduce the number of prediction indicators, which is of great significance to improve the prediction level of the model and reduce the data collection in the early stage.
【作者单位】：山西财经大学财政金融学院;
【基金】：国家自然科学基金项目(编号:70873078,71173140)的资助
【分类号】：F831.59;F224
【正文快照】： 一、引言长期以来,人们一直在探索金融危机预警问题,在美国次贷危机尚未走远的今天,人们在金融危机预测研究的道路上依旧步伐坚定。现在,次贷危机引发的世界性金融危机仍然在影响着国际经济和金融秩序,形成了系统性金融风险问题,各国政府和金融监管机构仍然在寻求有效的危机

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