基于马尔科夫区制转移模型的中国金融风险预警研究

发布时间：2018-03-14 23:02

本文选题：金融风险预警　切入点：传染渠道　出处：《金融研究》2014年09期 　论文类型：期刊论文

【摘要】：立足于国际金融危机传染渠道的新视角,构建具有实时性、针对性和国际视野的金融风险预警指标体系,并从外汇市场、银行业以及股票市场三个维度合成符合我国国情的金融压力指数。基于马尔科夫区制转移模型的中国金融风险预警的实证表明,M2/G-DP增长率、股市波动率和外贸依存度与当前我国金融风险呈正向关系;股市收益率和外汇储备/GDP则与金融风险成反向关系;我国金融风险主要来源于应对危机时过度宽松的货币政策、股票市场及其监管体系的不完善。预测显示,2014~2015年我国将处于低金融风险状态。
[Abstract]:Based on the new perspective of the international financial crisis contagion channel, the paper sets up a real-time, targeted and international financial risk warning index system, and from the foreign exchange market, The three dimensions of banking and stock market synthesize the financial pressure index according to the situation of our country. The empirical analysis of China's financial risk early warning based on Markov regional system transfer model shows that M2 / G-DP growth rate is higher than that of M2 / G-DP. The volatility of stock market and the degree of dependence on foreign trade are positively related to the current financial risks in China; the stock market returns and the ratio of GDP of foreign exchange reserves are inversely related to financial risks; the financial risks in China mainly come from the excessively loose monetary policies in response to the crisis. The stock market and its supervision system are imperfect. The forecast shows that China will be in a low financial risk state from 2014 to 2015.
【作者单位】：东北财经大学统计学院;
【基金】：2014年度教育部人文社会科学研究项目“基于复杂网络理论的金融危机传染与系统性风险关系研究”(14YJA910001)资助
【分类号】：F832

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