系统性金融风险评估监测研究

发布时间：2018-05-02 11:53

本文选题：系统性金融风险 + 评估监测　；参考：《湖南大学》2014年硕士论文

【摘要】：本文以中国系统性金融风险的评估监测为研究对象,根据中国金融市场运行的具体现状,在对国内外关于系统性金融风险评估监测研究总结的基础之上,从国内外研究对系统性金融风险的定义出发，结合相关理论，界定系统性金融风险的内涵；然后，对系统性金融风险评估理论进行分析，界定评估标准；从影响系统性金融风险的因素出发，选取影响中国系统性金融风险的指标变量,构建指标体系,采用KLR信号分析法进行系统性金融风险评估监测的模型构建,对中国系统性金融风险进行评估监测。论文主要研究内容包括如下三个方面：首先，对国内外关于系统性金融风险评估监测的研究进行文献概述。国内的文献研究偏重于理论层面指标的选取，国外的研究中更多的是监测模型理论的建立和改进。对于指标的选取方面可以概括为五个类别的：宏观经济总体运行指标，如GDP增长率，通货膨胀率等；银行坏账累积型风险指标，如不良贷款率等；泡沫经济风险指标，如股市平均市盈率等；债务风险指标，如短期外债/外债总额；外部冲击风险指标，如利率汇率的变动等。其次，对中国系统性金融风险进行界定。因国内外对系统性金融风险的研究还不是很成熟，对其定义尚无统一的界定。本文在文献学习基础之上认为，系统性金融风险是指单个事件通过系统各部分之间传导导致整个金融体系崩溃或丧失功能的可能性。在这里，金融系统可以理解为国家级别的宏观金融风险，也可以具体指一个特定的地区或区域。最后，选取指标并进行KLR信号分析。本文选取GDP增长率、平减通货膨胀、固定资产投资额/GDP、新增贷款/GDP、国内外实际利率偏差、实际利率上升率、贷款利率/存款利率、不良贷款/全部贷款、经常项目差额/GDP、短期外债/外债余额、外债余额/GDP、短期外债余额/外汇储备12个指标变量，模型显示，联合运行系统性金融风险指标体系，，对系统性金融风险的监测预警具有较高的价值。
[Abstract]:This paper takes the evaluation and monitoring of China's systemic financial risk as the research object, according to the specific situation of the operation of Chinese financial market, on the basis of the summary of the domestic and foreign research on the systematic financial risk assessment and monitoring. Starting from the definition of systemic financial risk at home and abroad and combining with relevant theories, it defines the connotation of systemic financial risk, and then analyzes the theory of systemic financial risk assessment and defines the evaluation criteria. Based on the factors affecting the systemic financial risk, this paper selects the index variables that affect the systemic financial risk in China, constructs the index system, and uses KLR signal analysis method to construct the model of systematic financial risk assessment and monitoring. To assess and monitor the systemic financial risks in China. The main contents of this thesis are as follows: First of all, the domestic and foreign research on systematic financial risk assessment and monitoring are summarized. Domestic literature studies focus on the selection of theoretical indicators, and the establishment and improvement of monitoring model theory are more important in foreign research. For the selection of indicators can be summarized into five categories: macroeconomic overall operation indicators, such as GDP growth rate, inflation rate, bank bad debt cumulative risk indicators, such as non-performing loan ratio, bubble economic risk indicators, Such as stock market average price-earnings ratio; debt risk indicators, such as short-term external debt / total foreign debt; external shocks risk indicators, such as interest rate exchange rate changes. Secondly, define the systemic financial risk in China. Because the research on systemic financial risk is not very mature at home and abroad, there is no uniform definition of systemic financial risk. On the basis of literature study, this paper holds that systemic financial risk refers to the possibility that a single event leads to the collapse or loss of function of the entire financial system through the transmission between parts of the system. In this case, the financial system can be understood as a national level of macro financial risk, but also specific to a specific region or region. Finally, the index is selected and the KLR signal is analyzed. This paper selects GDP growth rate, deflator inflation, fixed asset investment / GDP, new loan, domestic and foreign real interest rate deviation, real interest rate increase rate, loan interest rate / deposit interest rate, non-performing loan / total loan, Current account balance / GDP, short-term external debt / foreign debt balance, external debt balance / foreign debt balance, short-term external debt balance / foreign exchange reserve, 12 index variables. The model shows that the system of systemic financial risk indicators is run jointly. The monitoring and warning of systemic financial risk is of high value.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832

【参考文献】