摘要
立足于国际金融危机传染渠道的新视角，构建具有实时性、针对性和国际视野的金融风险预警指标体系，并从外汇市场、银行业以及股票市场三个维度合成符合我国国情的金融压力指数。基于马尔科夫区制转移模型的中国金融风险预警的实证表明，M2／GDP增长率、股市波动率和外贸依存度与当前我国金融风险呈正向关系；股市收益率和外汇储备／GDP则与金融风险成反向关系；我国金融风险主要来源于应对危机时过度宽松的货币政策、股票市场及其监管体系的不完善。预测显示，2014～2015年我国将处于低金融风险状态。
Based on the new perspective of transmission channels of global financial crisis, this paper builds an early - warning system of financial risk, and synthesizes the financial pressure index which suited to China＇s national conditions in three levels--the foreign exchange market, the banking sector and the stock market. Based on the Markov regime - switching model which is used to describe the changes of financial risk and forecast the financial risk, the results indicate that M2/GDP growth rate, stock volatility and the degree of dependence on foreign trade have positive relationship with China＇s financial risk; while stock yields and foreign exchange reserves/GDP have negative relationship with the financial risk; the main source of financial risk in China is excessively loose monetary policy which was used to deal with the crisis, and the imperfection of stock market and its supervision system; we predict that China will be in a state of low financial risk in 2014 ~ 2015.
出处
《金融研究》
CSSCI
北大核心
2014年第9期99-114,共16页
Journal of Financial Research
基金
2014年度教育部人文社会科学研究项目"基于复杂网络理论的金融危机传染与系统性风险关系研究"(14YJA910001)资助
关键词
金融风险预警
传染渠道
马尔科夫区制转移模型
Early - warning of financial risk, Transmission channel, Markov regime - switching model
