我国金融风险预警实证研究

发布时间：2018-03-21 09:26

本文选题：金融风险预警　切入点：传染渠道　出处：《东北财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：20世纪90年代以来,金融危机频频爆发,全球金融市场的自由化和市场化加快了金融危机的传播速度,扩大了危机影响的深度与广度。此次欧洲债务危机呈长期化趋势,经济增长放缓已在全球范围内蔓延。2012年我国金融改革开始提速,最具标志性的事件是今年6月初,央行降息的同时宣布小幅开放存贷利率的浮动区间,这意味着银行在存贷款利率方面将拥有更大的自由,利率市场化的脚步加快。而且,近年来,企业债券发行的审批流程加快,银行资产证券化重启,资本账户的管制开始放松,这一系列的变化说明我国正进入全面的金融改革时期。在国际金融风险加大,国内金融改革加速的特殊时期,金融风险预警研究十分的必要,及时有效的金融预警可以避免或者减少金融危机带来的经济损失。而国内研究主要通过整合历史文献中的指标构建预警指标体系,指标往往缺乏时效性和针对性。另一方面,我国金融市场化程度以及金融创新程度并不高,自身爆发危机的几率较小,却深受国际金融危机的影响,国内研究对国际金融危机的传染效应并没有给予足够的关注。对此,本文从国际金融危机传染渠道出发构建我国金融风险预警指标体系,同时考虑了当前国内外的潜在金融风险。本文主要回答三个问题：在欧洲债务危机和国内金融改革交织的背景下,2012年下半年我国金融风险状况会是怎样?过去十多年我国金融风险又发生了哪些变化?我国金融风险主要来源于哪些方面?本文总结历史文献中金融预警指标的局限性,基于我国实际金融状况,从国际金融危机传染渠道出发,构造具有实时性、针对性和国际视野的预警指标体系,并通过马尔科夫转移模型描述近年来我国金融风险的变化,最后结合ARMA模型预测我国2012年下半年的金融风险。研究表明,2012年下半年我国将处于低金融风险状态,过去十多年我国的金融风险主要来源于银行业和股票市场。全文共分为六章：第一章,导言。主要介绍本文的选题背景以及选题意义,定义文章中核心概念,并给出论文的简要架构。第二章,文献综述。该部分主要回顾金融危机理论,总结金融危机预警指标体系的构建方法、介绍常用的金融危机预警模型,并给予评述。第三章,我国金融风险预警指标体系的构建。该章总结国际金融危机传染渠道,分析不同渠道内危机传染的原理；解析当前国内外潜在金融风险,包括欧债危机给我国带来的风险和全面金融改革时期我国银行业的潜在风险。最后从金融危机传染渠道和国内外金融风险出发构造我国金融风险预警指标体系。第四章,金融压力指数的构建与测度。借鉴IMF出版的《世界经济展望报告2009》中提出的针对新兴市场国家的金融压力指数(EM-FSI)的构建方法,并结合我国实际金融状况予以改进,从外汇市场、银行业、股票市场三个层面构造我国金融压力指数,并测算我国近十多年的金融压力状况。第五章,金融风险预警的实证研究。在简要介绍马尔科夫转移模型和预警指标检验的基础上,通过马尔科夫转移模型测度我国近年来金融风险的变化,并通过ARMA模型预测2012年下半年预警指标的数值,进一步利用马尔科夫模型预测2012年下半年我国金融风险状况。第六章,结论与政策建议。总结实证部分的结论,据此提出政策建议,并提炼出论文的创新点和不足。本文主要创新点在于：首先,构建我国金融风险预警指标体系时,从国际金融危机的传染渠道出发,充分考虑了我国的具体金融现状,即受国际金融风险传染的可能性较大；其次,充分考虑当前国内外金融背景,即欧洲债务危机的不确定性和国内金融改革的复杂性,使预警指标的设计更具时效性。本文不足之处在于：首先,预警指标的选择不可避免的存在一定主观性,部分反映我国经济结构、金融发展阶段、政治环境状况等重要指标并没有考虑,主要是受论文的侧重点以及数据可得性的限制。其次,对缺失数据的补齐方法以及季度数据的频率转换方法并没有做深入的考量。这两方面的不足都可能影响最终的预警结果。
[Abstract]:Since 1990s, the financial crisis, the global financial market liberalization and market to accelerate the financial crisis spread, expand the depth and breadth of the impact of the crisis. The European debt crisis presents a long-term trend, the slowdown in economic growth has spread worldwide.2012 years of financial reform in China began to accelerate, most signs the event is at the beginning of June this year, the central bank cut interest rates also announced the floating range of deposit and loan interest rates slightly open, which means that banks will have more freedom in the deposit and loan interest rate, the interest rate market to speed up the pace. But, in recent years, corporate bond issuance approval process is accelerated, the bank asset securitization restart capital the control of the account began to relax, this series of changes that China is entering a comprehensive financial reform period.
The increase in international financial risk, the special period of domestic financial reform accelerated, the necessity to study the financial risk early warning is the timely and effective financial early warning can avoid or reduce the economic losses caused by financial crisis. But the domestic research mainly through the integration of historical literature index early-warning index system is constructed, the index is lack of timeliness and pertinence. On the other hand, the degree of China's financial markets and financial innovation level is not high, its crisis less likely, but by the impact of the international financial crisis, the contagion effect of the domestic research on the international financial crisis has not been given enough attention. In this regard, the international financial crisis contagion of financial warning index system the risk of China, considering the potential financial risks at home and abroad.
This paper mainly answers three questions: in the interweaving of the European debt crisis and domestic financial reform under the background of the second half of 2012, China's financial risk status will be how? In the past more than 10 years, China's financial risk and what has changed? China's financial risk mainly from what aspects? This paper summarizes the limitations of the financial early-warning index of history in the literature, based on China's actual financial situation, starting from the transmission channels of the international financial crisis, constructing early-warning index system with real-time, targeted and international vision, and through the Markoff transfer model to describe the change of financial risk in our country in recent years, combining with ARMA model prediction in China in the second half of 2012 financial risks. The research shows that the second half of 2012, China will be in a state of low financial risk, in the past more than 10 years, China's financial risks mainly from the banking and stock market. This paper is divided into The six chapter:
The first chapter, introduction, mainly introduces the background and significance of this paper, defines the core concepts in the article, and gives a brief framework of the paper.
The second chapter is literature review. This part mainly reviews the theory of financial crisis, summarizes the construction methods of financial crisis early warning index system, and introduces the commonly used financial crisis early warning models, and gives comments.
The third chapter constructs the risk early-warning index system of Finance in China. This chapter summarizes the international financial crisis contagion channels, analysis of different channels in the principle of contagion; analyzes the potential financial risks, including the European debt crisis to the potential risks of China's banking industry risks and comprehensive financial reform finally from the period. The financial crisis contagion channels and the domestic and foreign financial risk early warning index system of construction of financial risk in our country.
The fourth chapter, the construction and measurement of financial stress index. According to IMF published "world economic outlook for emerging market countries financial pressure index report in 2009> (EM-FSI) construction method, combined with China's actual financial situation be improved, from the foreign exchange market, the banking industry, the stock market in three aspects of constructing financial pressure China's financial condition index, pressure and measure in China in the past more than 10 years.
The fifth chapter, the empirical research of financial risk early warning. After a brief introduction of Markoff base model and early warning index test, through the Markoff transfer model to measure the change of our financial risk in recent years, and through the ARMA model to forecast the number of the first half of 2012 the value of early warning indicators, then uses the Markoff model to predict the second half of 2012 China's financial risk situation.
The sixth chapter, conclusion and policy recommendations, summarize the conclusions of the empirical part, put forward the policy recommendations, and refine the innovation and deficiency of the paper.
The main innovation of this paper is: firstly, construct the warning index system of financial risk in our country, starting from the international financial crisis transmission channels, give full consideration to the specific financial situation in our country, namely the possibility of international financial contagion greatly; secondly, considering the background of the current domestic and international finance, the complexity of the European debt crisis is not the uncertainty and the domestic financial reform, make the design of early warning indicators more timely.
The inadequacies of this article lies in: first, there are some inevitable subjectivity of the choice of early warning indicators, partly reflects China's economic structure, financial development stage, an important indicator of political environment and are not considered, mainly due to the emphasis and the availability of data. Secondly, filling method of missing data and quarterly data the frequency conversion method did not do in-depth consideration. These two problems are likely to affect the final warning results.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832

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