金融压力指数的构建及其对实体经济的影响分析
发布时间：2018-08-26 12:28
【摘要】：上世纪90年代是一个危机频发的时期,这些金融或经济危机给危机发生国家带来了巨大的灾难,其中包括1998年的俄罗斯金融危机、1999年的巴西危机、阿根廷危机、2007年的美国次贷危机、最近发生的欧洲债务危机等全球性、区域性的金融危机无疑给当事国都带来了严重的经济损失,也间接影响到我国的经济发展。维护金融系统稳定、防患金融危机的发生,对于一国的经济安全具有重要意义,而正确地测度系统性金融风险则是基本前提。因此,国内外学者越来越重视对系统性金融风险的定量研究。以国际货币基金组织为代表的众多国际机构和一些国家的监管部门,围绕金融体系的脆弱性这一重大问题,进行了深入的研究,并取得了一些成果。欧洲中央银行的研究员在2014年的一篇研究报告中,利用面板向量自回归及脉冲响应函数的方法,去估计实际产出,得出如下结论:银行危机和债务危机是相关的,比较典型的是两者都领先于货币危机,但是反过来却不成立。从整体产出损失的角度来说,银行危机是代价最大的危机。产出的恢复需要大约六年的时间。银行危机的持久性较强。特别是,银行危机自他发生以来在接下来的六个季度内仍会持续的概率高达50%。银行危机的平均累积损失在危机发生六年后达到了 GDP总量的6%。本文主要依据Kaminsky、Lizondo和Reinhart三人提出的信号分析法(1998)以及Mark Illing和Liu Ying(2003)提出的金融压力概念及其构造方法,结合我国金融体系和金融中介机构现阶段的情况,选择变量,构造我国的金融压力指数(Financial Stress Index)。FSI的建立,为金融系统运行状况提供了一个可以量化的指标,作为一个连续的变量,极端值的出现被称为金融危机,FSI数值的变化可以刻画压力是在上升还是下降,还可以用来刻画极端事件的持续时间。本文在参考现有的国内外文献的基础上,对已有的金融压力的测度方法及应用进行了梳理,鉴于数据可得性和连贯性,选择2007年7月到2015年12月的月度数据进行分析,选取的指标来自银行部门、股票市场、证券市场和外汇市场,采用三种不同的加权方法,合成中国的金融压力指数。本文的结构如下:第一部分是导言,主要阐述的是本文的写作背景、国内外文献综述、研究意义;第二部分为金融压力指数的理论分析及计量方法介绍;第三部分是中国金融压力指数的构建,包括变量选取的依据、数据来源、数据处理方法、综合指标FSI的构造方法;第四部分是金融压力对实体经济的影响分析,选择物价、GDP增长率和制造业采购经理人指数做为衡量宏观经济形势的变量,利用VAR模型的脉冲响应函数进行定量分析;第五部分是本文的结论、相关的政策建议,以及创新与不足。本文实证分析表明,2007年12月到2008年10月,受到美国次贷危机的影响,中国的系统性金融压力处于较高值;2009年开始,金融压力出现回落,但是随着利率市场化改革进程的加速,从2013年6月起,金融压力处于上升趋势,银行间拆借市场上"钱荒"现象的出现,体现了银行体系内短期流动性紧张的问题。2015年以来,我国经济下行压力比较明显,钢铁、水泥等行业出现严重的产能过剩,需要政府以更大的力度去调整经济结构。本文研究表明,银行部门是我国金融压力的主要来源,其次是股票市场,自2005年7月我国启动汇率制度改革以来,外汇市场上的压力也在不断的增加,波动性也值得加以关注;选用物价、GDP增长率、制造业采购经理人指数作为实体经济的代理变量,利用格兰杰因果关系分析金融压力与实体经济之间的因果关系,结果表明金融压力是实体经济变化的格兰杰原因,反之则不成立。并利用VAR模型的脉冲响应函数,进行定量分析,结果表明,当金融压力上升时,对实体经济的影响就会特别明显,PMI的值在压力上升后的第二个月变化量比较大,这种负冲击一直持续到第五个月。当金融压力上升时,GDP增长率在滞后第一个季度内会迅速下降,滞后四个季度时达到最大值-0.43,随着政策的调整,大约在三年后回到冲击前的系统状态。通货膨胀在前两期受到的冲击最大,而且是正向的冲击,在滞后一期即达到最大值0.13,分析表明,系统性金融压力与通货膨胀的近期相关性比较高,在通货膨胀的短期预测中,是一个有用的工具。最后,针对目前中国的金融体系运行情况,提出了相应的政策建议。
[Abstract]:The 1990s was a period of frequent crises, and these financial or economic crises brought great disaster to countries in crisis, including the Russian financial crisis in 1998, the Brazilian crisis in 1999, the Argentine crisis, the American subprime mortgage crisis in 2007, the recent European debt crisis and other global and regional financial crisis. The crisis has undoubtedly brought serious economic losses to all the countries concerned, and indirectly affected the economic development of our country. It is of great significance for a country's economic security to maintain the stability of the financial system and prevent the occurrence of financial crises. Quantitative research on unified financial risks. Many international institutions represented by the International Monetary Fund and the regulatory authorities of some countries have conducted in-depth studies on the major issue of financial system vulnerability, and have achieved some results. Researchers at the European Central Bank used panels in a 2014 study Vector Autoregression and Impulse Response Function are used to estimate the actual output, and the following conclusions are drawn: the banking crisis and debt crisis are related, typically both are ahead of the monetary crisis, but the reverse is not true. About six years. The banking crisis is more persistent. In particular, the probability that the banking crisis will continue in the next six quarters since it happened is as high as 50%. The average cumulative losses from the banking crisis reached 6% of GDP six years after the crisis. This paper is based on the letters from Kaminsky, Lizondo and Reinhart. The concept of financial pressure and its construction method proposed by Mark Illing and Liu Ying (1998) and Mark Illing (2003) are combined with the current situation of China's financial system and financial intermediaries. Variables are selected to construct China's financial stress index. The establishment of FSI provides a measurable quantity for the operation of the financial system. As a continuous variable, the emergence of extreme value is called financial crisis. The change of FSI value can describe whether the pressure is rising or falling, and can also be used to describe the duration of extreme events. In view of the availability and consistency of the data, this paper selects the monthly data from July 2007 to December 2015 for analysis. The selected indicators come from the banking sector, the stock market, the securities market and the foreign exchange market. Three different weighting methods are used to synthesize China's financial pressure index. The second part is the theoretical analysis and measurement methods of financial stress index; the third part is the construction of China's financial stress index, including the basis of variable selection, data sources, data processing methods, comprehensive index FSI construction method; the fourth part is gold The impact of financial pressure on the real economy is analyzed by choosing price, GDP growth rate and purchasing managers index as variables to measure the macroeconomic situation, and using the impulse response function of VAR model to make quantitative analysis; the fifth part is the conclusion of this paper, relevant policy recommendations, and innovation and deficiencies. From December to October 2008, China's systemic financial pressure was at a high level because of the subprime mortgage crisis in the United States. Since 2009, financial pressure has fallen, but with the acceleration of the reform process of interest rate marketization, financial pressure has been on the rise since June 2013. The appearance of "money shortage" in the interbank lending market reflects the phenomenon. Short-term liquidity shortage in the banking system. Since 2015, China's economic downward pressure is more obvious, iron and steel, cement and other industries have serious overcapacity, the need for greater efforts to adjust the economic structure of the government. This study shows that the banking sector is the main source of financial pressure in China, followed by the stock market, since 2005. Since our country started the exchange rate system reform in July, the pressure in the foreign exchange market is also increasing, and the volatility is also worth paying attention to; choose price, GDP growth rate, Manufacturing Purchasing Managers Index as the proxy variables of the real economy, use Granger causality to analyze the causality between financial pressure and the real economy, the result table The results show that when the financial pressure rises, the impact on the real economy will be particularly obvious. The value of PMI changes greatly in the second month after the pressure rises, and this negative impact has been maintained. When financial pressures rise, GDP growth falls sharply in the first quarter, lagging by four quarters to a maximum of - 0.43. With the adjustment of policy, it returns to the pre-shock system in about three years. The analysis shows that systemic financial pressure is highly correlated with inflation in the near future, and it is a useful tool in the short-term forecast of inflation. Finally, according to the current operation of China's financial system, the corresponding policy recommendations are put forward.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832
[Abstract]:The 1990s was a period of frequent crises, and these financial or economic crises brought great disaster to countries in crisis, including the Russian financial crisis in 1998, the Brazilian crisis in 1999, the Argentine crisis, the American subprime mortgage crisis in 2007, the recent European debt crisis and other global and regional financial crisis. The crisis has undoubtedly brought serious economic losses to all the countries concerned, and indirectly affected the economic development of our country. It is of great significance for a country's economic security to maintain the stability of the financial system and prevent the occurrence of financial crises. Quantitative research on unified financial risks. Many international institutions represented by the International Monetary Fund and the regulatory authorities of some countries have conducted in-depth studies on the major issue of financial system vulnerability, and have achieved some results. Researchers at the European Central Bank used panels in a 2014 study Vector Autoregression and Impulse Response Function are used to estimate the actual output, and the following conclusions are drawn: the banking crisis and debt crisis are related, typically both are ahead of the monetary crisis, but the reverse is not true. About six years. The banking crisis is more persistent. In particular, the probability that the banking crisis will continue in the next six quarters since it happened is as high as 50%. The average cumulative losses from the banking crisis reached 6% of GDP six years after the crisis. This paper is based on the letters from Kaminsky, Lizondo and Reinhart. The concept of financial pressure and its construction method proposed by Mark Illing and Liu Ying (1998) and Mark Illing (2003) are combined with the current situation of China's financial system and financial intermediaries. Variables are selected to construct China's financial stress index. The establishment of FSI provides a measurable quantity for the operation of the financial system. As a continuous variable, the emergence of extreme value is called financial crisis. The change of FSI value can describe whether the pressure is rising or falling, and can also be used to describe the duration of extreme events. In view of the availability and consistency of the data, this paper selects the monthly data from July 2007 to December 2015 for analysis. The selected indicators come from the banking sector, the stock market, the securities market and the foreign exchange market. Three different weighting methods are used to synthesize China's financial pressure index. The second part is the theoretical analysis and measurement methods of financial stress index; the third part is the construction of China's financial stress index, including the basis of variable selection, data sources, data processing methods, comprehensive index FSI construction method; the fourth part is gold The impact of financial pressure on the real economy is analyzed by choosing price, GDP growth rate and purchasing managers index as variables to measure the macroeconomic situation, and using the impulse response function of VAR model to make quantitative analysis; the fifth part is the conclusion of this paper, relevant policy recommendations, and innovation and deficiencies. From December to October 2008, China's systemic financial pressure was at a high level because of the subprime mortgage crisis in the United States. Since 2009, financial pressure has fallen, but with the acceleration of the reform process of interest rate marketization, financial pressure has been on the rise since June 2013. The appearance of "money shortage" in the interbank lending market reflects the phenomenon. Short-term liquidity shortage in the banking system. Since 2015, China's economic downward pressure is more obvious, iron and steel, cement and other industries have serious overcapacity, the need for greater efforts to adjust the economic structure of the government. This study shows that the banking sector is the main source of financial pressure in China, followed by the stock market, since 2005. Since our country started the exchange rate system reform in July, the pressure in the foreign exchange market is also increasing, and the volatility is also worth paying attention to; choose price, GDP growth rate, Manufacturing Purchasing Managers Index as the proxy variables of the real economy, use Granger causality to analyze the causality between financial pressure and the real economy, the result table The results show that when the financial pressure rises, the impact on the real economy will be particularly obvious. The value of PMI changes greatly in the second month after the pressure rises, and this negative impact has been maintained. When financial pressures rise, GDP growth falls sharply in the first quarter, lagging by four quarters to a maximum of - 0.43. With the adjustment of policy, it returns to the pre-shock system in about three years. The analysis shows that systemic financial pressure is highly correlated with inflation in the near future, and it is a useful tool in the short-term forecast of inflation. Finally, according to the current operation of China's financial system, the corresponding policy recommendations are put forward.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832
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