关于金融压力及其对实体经济影响的研究述评

发布时间：2018-01-16 02:18

本文关键词：关于金融压力及其对实体经济影响的研究述评　出处：《吉林大学》2015年硕士论文　论文类型：学位论文

【摘要】：对于金融系统性风险的测度，学者们的研究从由单一市场指标逐渐趋向于构建多市场综合指数。本文是对受广泛认可的测度金融系统性风险的新兴方法——金融压力指数的一个综合述评。本文通过对以往文献的梳理，介绍了金融压力的经典定义和为学者所广泛接受的特征。金融压力是金融市场运行中可能承受的一种负能量，它使金融市场内部结构变得脆弱，或者容易受到外部冲击的影响，从而导致其正常的功能被破坏，甚至影响实体经济运行。金融压力发展到极端情况，就是“金融危机”。而金融压力的产生，，往往都伴随着资产基础价值、投资者行为的不确定性以及信息不对称的增加。同时，“安全性投资转移”、“流动性投资转移”也是金融压力发生的主要特征。在具体的指数构建方面，学者们用来构建指数的指标，多是从银行、债券、股票、外汇市场中选取的，也有学者采用了创新性的指标，例如经济基本面、外债等。在选取指标之后，如何将各指标整合成一个综合的指数，学者们采用的方法也不尽相同，等方差权重法、主成分分析法、CDF转换法、以及CDF-信用权重法是最常使用的。金融压力指数是否真的能识别金融系统的非健康状态，甚至拟合危机时期？学者们利用FSI与压力时期的对比、马尔科夫转移自回归模型、门限模型，从不同角度评估了金融压力指数的拟合及预测能力。金融压力通过增加金融资产价格和未来经济前景的不确定性、提高企业融资与家庭金融消费的成本，以及提高银行提高信用标准等渠道影响扰乱实体经济的发展。学者们利用二元分析、格兰杰因果检验、脉冲反应分析等工具，具体研究了金融压力对实体经济的影响。金融压力的一大特质，就是其传染性很强。学者们最后分析了金融压力在不同国别以及国内各市场间的传导。一个金融子系统内产生的金融压力会扩散到整个金融市场，甚至扰乱整个经济的正常运行；某一经济产生的压力会通过政治、贸易、资产重组及共同冲击等渠道传导到其他经济体，严重时会爆发全球性的金融危机。如何制定风险隔离制度，目前尚未有详尽的研究。
[Abstract]:The measurement of financial systemic risk. From single market index to multi-market comprehensive index, this paper is a comprehensive review of widely accepted financial pressure index, which is a new method to measure financial systemic risk. This paper introduces the classical definition of financial pressure and the characteristics widely accepted by scholars by combing the previous literature. Financial pressure is a possible negative energy in the operation of financial markets. It makes the internal structure of the financial market become fragile or vulnerable to external shocks, resulting in its normal function is destroyed, and even affects the real economy operation. The emergence of financial pressure is often accompanied by the value of the asset base, the uncertainty of investors' behavior and the increase of information asymmetry. At the same time, the "safe investment transfer" is the same. Liquidity investment transfer is also the main characteristic of financial pressure. In the specific index construction, scholars used to construct the index, mostly from the banks, bonds, stocks, foreign exchange market selected, but also some scholars used innovative indicators, such as economic fundamentals. Foreign debt and so on. After selecting indicators, how to integrate each index into a comprehensive index, scholars adopt different methods, equal variance weight method, principal component analysis method CDF conversion method. And the CDF- credit weighting method is the most commonly used. Does the financial stress index really recognize the unhealthy state of the financial system or even fit into a crisis? Using the comparison between FSI and stress period, Markov shift autoregressive model and threshold model, the authors evaluate the ability of fitting and predicting financial pressure index from different angles. Financial pressure increases the cost of corporate financing and household financial consumption by increasing the uncertainty of financial asset prices and future economic prospects. And improve the credit standards of banks and other channels to disrupt the development of the real economy. Scholars use dual analysis, Granger causality test, impulse response analysis and other tools. The impact of financial pressure on the real economy is studied in detail. A major feature of financial stress. It is very contagious. Finally, scholars analyze the transmission of financial pressure in different countries and domestic markets. The financial pressure in a financial subsystem will spread to the entire financial market. Even disrupt the normal operation of the entire economy; The pressure generated by an economy will be transmitted to other economies through the channels of politics, trade, asset restructuring and joint shocks. In severe cases, there will be a global financial crisis. How to establish a risk isolation system. No detailed study has yet been conducted.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832;F124

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