我国金融系统性风险测度模型的构建和检验

发布时间：2018-01-11 01:15

本文关键词：我国金融系统性风险测度模型的构建和检验　出处：《广东商学院》2012年硕士论文　论文类型：学位论文

【摘要】：金融危机给全世界带来的警醒让我们意识到关注金融系统性风险的重要性，相关研究也在各个层面得到深化，但金融系统性风险释义和度量等问题依然是一个开放性话题。在各类监管策略中，宏观审慎监管的监管方法以其全面性和细致性得到了广泛的认可，宏观审慎监管的操作策略要求我们能够建立统一的金融系统性风险的度量口径和监管边界。虽然国际学者从诸多不同角度对金融系统性风险的测度等相关问题展开了研究，也得出了很多重要的结论，但我国的金融系统性风险理论研究才刚刚起步，特别是在金融体系系统性风险相关指标构建方面，所以探讨我国金融系统性风险测度方法和监管方法十分必要。本文将实体经济和金融系统两者的系统级别风险结合起来考虑，，运用扩展的VAR结构和动态因子模型建立联合动态方程，建立我国金融系统性风险度量模型，对金融系统性风险相关指标GDPaR和FSaR进行测度。实证表明我国金融系统性风险测度模型方法能够对我国金融系统性风险做出较好的预警，也基于实证结果和宏观审慎的监管视角，对转型与开放条件下我国金融系统性风险监管提出了相应的政策建议。
[Abstract]:The alarm brought by the financial crisis to the world has made us realize the importance of paying attention to the systemic risk of finance, and the related research has been deepened at all levels. However, financial systemic risk interpretation and measurement is still an open topic. In all kinds of regulatory strategies, macro-prudential supervision method has been widely accepted for its comprehensiveness and meticulous nature. The operational strategy of macro-prudential supervision requires us to establish a unified measurement of financial systemic risk and regulatory boundaries. Although international scholars from many different perspectives on the measurement of financial systemic risk and other related issues. I started research. Many important conclusions have been drawn, but the theoretical study of financial systemic risk in China has just started, especially in the financial system systemic risk related indicators. Therefore, it is necessary to discuss the measurement method and supervision method of financial systemic risk in our country. This paper combines the real economy and the financial system to consider the system-level risk. The extended VAR structure and the dynamic factor model are used to establish the joint dynamic equation and the financial systemic risk measurement model in China. The empirical results show that the method of financial systemic risk measurement model can make a good early warning to the financial systemic risk of our country. Based on the empirical results and macro-prudential supervision perspective, this paper puts forward the corresponding policy recommendations on the supervision of financial systemic risk under the conditions of transition and opening.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832;F224

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