金融压力指数构建及其有效性检验——基于中国数据的实证分析

发布时间：2018-06-27 15:52

本文选题：金融压力 + 指数构建　；参考：《管理工程学报》2012年03期

【摘要】：金融压力指数能较好地实时反映一国金融体系承受风险的压力状况,帮助决策者和市场参与各方及时准确地前瞻性评估潜在风险来临时可能承受的金融压力水平。根据各市场对整个金融体系的影响程度,利用CDF-信用加总权重法确定各指标权重,构建了包括银行、股票、外汇、保险四大市场的我国金融压力指数测度模型体系。实证研究表明,我国金融压力的阶段性特征明显,在国际金融危机发生时,往往伴随着高的金融压力;我国金融压力主要来自于银行部门,随着近年来我国银行治理水平提高和资本市场发展,银行部门压力指数正缓慢下降,股票市场压力却逐渐上升;外汇市场和保险市场压力指数长期保持在低位运行。有效性检验表明,来自我国FSI的冲击在滞后6个季度会对宏观经济产生显著的不利影响。
[Abstract]:The financial stress index can reflect the risk stress of a country's financial system in real time, and help the decision makers and market participants to evaluate the financial pressure level when the potential risk comes in time and accurately. According to the influence of each market on the whole financial system, this paper uses CDF- credit sum weight method to determine the weight of each index, and constructs the financial pressure index measurement model system of four markets, including bank, stock, foreign exchange and insurance. The empirical study shows that the phase characteristics of financial pressure in China are obvious. When the international financial crisis occurs, it is often accompanied by high financial pressure, which mainly comes from the banking sector. With the improvement of bank governance and the development of capital market in recent years, the pressure index of banking sector is decreasing slowly, but the pressure of stock market is gradually rising, and the pressure index of foreign exchange market and insurance market has been kept low for a long time. The validity test shows that the impact from FSI in China will have a significant negative impact on the macro economy in six quarters.
【作者单位】：东南大学经济管理学院;南开大学商学院;
【基金】：国家自然科学基金资助项目(70973028,70903013) 东南大学重大科学研究引导基金资助项目(SKYD20110006)
【分类号】：F832.5;F224

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