我国系统性金融风险测度研究

发布时间：2018-07-12 17:11

本文选题：系统性金融风险 + 风险检测　；参考：《东北农业大学》2017年硕士论文

【摘要】：当前中国处于经济新常态下,随着供给侧结构性改革的深入,各实体经济面临严峻考验并向金融系统渗透,系统性金融风险对我国整个金融体系的平稳和整个实体经济的发展将产生更加显著的影响。因此,对系统性金融风险的准确测度,有利于我们对整体金融状况建立直观的了解,对防范我国的系统性金融风险甚至对我国进行供给侧结构性改革并顺利跨过中等收入陷阱都有理论和现实意义。本文首先运用综合指标法,从金融机构风险、股票、债券、货币市场风险、外汇市场风险、房地产市场风险及宏观经济风险7个维度出发,通过对2007-2016年的相关数据进行分析得出系统性金融风险综合指数。主要方法包括运用主成分分析法以及显著性检验对众多基础指标进行筛选,运用均方差法来计算各维度的权重向量,并合成系统性金融风险综合指数CIFSR,其次运用阈值法对系统性金融风险进行识别并应用ARIMA模型对2017年系统性金融风险进行预测CIFSR。最后本文通过吸取相关国际经验提出了我国系统性金融风险防范的建议。本文以综合指标法为基本方法,以我国金融体系作为研究对象,对系统性金融风险进行了测度。研究表明,从2007-2016年的10年间,我国系统性金融风险基本处于中低度风险状态,只有2015年4-10月份我国系统性金融风险处于高风险状态,并预测2017年的我国系统性金融风险处于中度风险状态。本文对我国系统性金融风险测度方法的研究具有一定的理论和实践价值。
[Abstract]:At present, China is in the new normal state of economy. With the deepening of supply-side structural reform, the real economy is facing a severe test and infiltrating into the financial system. Systemic financial risk will have a more significant impact on the stability of the whole financial system and the development of the real economy. Therefore, the accurate measurement of systemic financial risk is helpful for us to establish an intuitive understanding of the overall financial situation. It is of theoretical and practical significance to prevent the systemic financial risk in China and even to carry out supply-side structural reform and successfully cross the middle-income trap. This paper first uses the comprehensive index method, from the financial institution risk, the stock, the bond, the money market risk, the foreign exchange market risk, the real estate market risk and the macroeconomic risk seven dimensions. Through the analysis of the relevant data from 2007-2016, the comprehensive index of systemic financial risk is obtained. The main methods include the use of principal component analysis and significance test to screen a number of basic indicators, the use of the mean square error method to calculate the weight vectors of each dimension. The systemic financial risk index CIFSRs are synthesized, and then the threshold method is used to identify the systemic financial risks and the Arima model is used to predict the systemic financial risks in 2017. Finally, the paper puts forward some suggestions on how to prevent the systemic financial risk by drawing on the relevant international experience. This paper measures the systemic financial risk by taking the comprehensive index method as the basic method and the financial system of our country as the research object. The study shows that from 2007 to 2016, China's systemic financial risk is basically in the state of moderate and low risk, and only from April to October 2015, China's systemic financial risk is in the state of high risk. And forecast 2017 our country systemic financial risk is in medium risk state. This paper has certain theoretical and practical value for the study of the measurement method of systemic financial risk in China.
【学位授予单位】：东北农业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832

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