系统性压力综合指数的有效性研究

发布时间：2018-05-15 18:02

  本文选题：金融系统 + 金融稳定　； 参考：《统计与决策》2017年02期

【摘要】：文章基于美国的金融市场数据,对欧洲央行提出的系统性压力综合指数(CISS)的应用效果进行了实证分析。所构建的CISS综合了四个子市场的12个金融指标,借鉴标准组合理论的思路,基于指标间交叉相关性计算,用于反映美国系统性风险状况。实证结果表明,CISS对压力事件具备较强的识别能力,且构建的TVAR模型表明,CISS具有显著的门限效应,能够区分高压力和低压力区制,并且对经济活动有较好的前瞻作用。CISS和堪萨斯州金融压力指数(KCFSI)、国家金融状态指数(NFCI)的赛马结果显示,NFCI排名第一,而CISS排名最后,表明CISS尚具有改进的空间。
[Abstract]:Based on the financial market data of the United States, this paper makes an empirical analysis of the application effect of the European Central Bank's systematic pressure composite index (CISS). The constructed CISS synthesizes 12 financial indicators of four sub-markets, and uses the idea of standard combination theory for reference, based on the calculation of cross-correlation between indicators, to reflect the situation of systemic risk in the United States. The empirical results show that Ciss has a strong ability to identify stress events, and the constructed TVAR model shows that it has a significant threshold effect and can distinguish between high and low pressure zones. And it has a good foresight for economic activity. CISS and Kansas financial stress index KCFSI, the national financial state index shows that the NFCIs rank first, while the CISS ranks last, indicating that there is still room for improvement in CISS.
【作者单位】： 中国人民大学财政金融学院;
【基金】：中国人民大学科学研究基金(中央高校基本科研业务费专项资金资助)项目(16XNH006)
【分类号】：F831
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本文编号：1893352