量化分析宏观金融风险的非线性演变速度与机制被引量：17

Measuring the Non - Linearity in the Accumulation and Transmission of Macro - financial Risk

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摘要本文利用未定权益分析方法(CCA),基于我国2000～2008年系统性宏观金融存量数据,深入探讨了宏观金融风险的演变速度与机制。在明晰了主要风险因子及其波动原因的基础上,本文首先量化分析并直观演示了国民经济机构部门层面宏观金融风险积增的非线性速度和轨迹;进而研究了同样具有危害性的部门间非线性风险传染机制和速度。论文旨在为增强宏观金融审慎监管的可操作性提供理论和实证支持。 This paper is to quantify and analyze the non - linearity characteristic for the accumulation and trans- mission of risk in the macro - financial system with CCA approach and data from the risk - adjusted balance sheets of China＇s main sectors. Sector - level market leverage, market value of implied assets and asset volatility are highlighted as key factors that drive rapid increase in macro - financial risk and risk transmission between interlinked sectors. We illustrate how risk indicators, like EL, PD and DD, had evolved as the key factors change for the period of 2000Q1--2008Q4. We have also conducted sensitivity analysis to examine the effect of multi - factors on the above - mentioned risk indicators.

作者宫晓琳杨淑振

机构地区山东大学经济学院山东大学数学院

出处《金融研究》 CSSCI 北大核心 2013年第4期99-111,共13页 Journal of Financial Research

基金国家社科基金重大招标项目--系统性金融风险防范与监管协调机制研究(批准号:12&ZD069)的资助

关键词宏观金融风险非线性风险积增和传染 Macro - financial risk, Non - linearity, Risk accumulation and transmission

分类号 F224 [经济管理—国民经济] F830 [经济管理—金融学]

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参考文献17

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