金融与实体风险测量及联动性分析

发布时间：2018-04-14 17:32

本文选题：金融指数 + 银行指数　；参考：《经济问题探索》2017年06期

【摘要】：本文依据Semi-APARCH模型,对金融和实体经济的风险进行了测量,同时利用相关系数分析了金融和实体风险之间的联动性状况,并提出利用尺度函数上限作为预警信号的风险管理方法。研究结果表明:第一,Semi-APARCH模型能够较为准确地模拟风险波动情况,特别是将长期风险和短期风险分离可以有效提高风险监测效率;第二,2015年金融和实体经济的风险再度攀升,尤其是实体经济的风险明显高于2007年金融危机期间的风险水平,国家采取的财政刺激政策和宽松的货币政策对缓解风险起到了积极效果;第三,在APARCH-t分布假设下,研究对象普遍存在显著的厚尾特征,出现极端风险的可能性较高,而且上证指数和工业指数的杠杆效应明显;第四,金融和实体之间风险的联动性较强,实体经济萎靡将直接波及金融行业,而金融风险的加大,又将影响其支持实体经济能力的发挥。
[Abstract]:Based on the Semi-APARCH model, this paper measures the risks of finance and real economy, analyzes the linkage between financial and real risks by using correlation coefficient, and puts forward a risk management method using the upper limit of scale function as early warning signal.The results show that: first, Semi-APARCH model can accurately simulate risk volatility, especially the separation of long-term risk and short-term risk can effectively improve the efficiency of risk monitoring; second, the financial and real economy risks rise again in 2015.Especially, the risk of real economy is obviously higher than that during the financial crisis in 2007. The fiscal stimulus policy and loose monetary policy adopted by the state have played a positive role in mitigating the risk. Thirdly, under the assumption of APARCH-t distribution,There are significant thick-tailed characteristics in the study subjects, the probability of extreme risk is high, and the leverage effect of Shanghai Stock Exchange Index and Industrial Index is obvious. Fourth, the linkage between financial and entity risks is strong.The real economy malaise will directly affect the financial industry, and the increase of financial risk will affect its ability to support the real economy.
【作者单位】：清华大学PPP研究中心;河北金融学院;
【基金】：河北省高等学校人文社科重点研究基地开放基金项目“河北省民间融资管控研究和制度设计”(JDKF2015001),项目负责人:鲍静海河北金融学院科研基金项目“金融与实体风险测量及其联动性分析”(JY201605),项目负责人:宋文娟河北省金融学重点学科经费支持项目
【分类号】：F224;F424;F832

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