摘要
本文采用指标法,选取银行业β系数与风险利差、无风险收益期限利差、股票市场波动性和汇率波动性等指标,构建金融压力指数,逐季测算我国系统性金融风险水平,研究表明在样本期内有三个阶段系统性金融风险压力较大;选取四大类25个指标利用主成分分析法的实证结果表明,我国系统性金融风险的影响因素按重要性依次为经济脆弱性、宏观经济热度、经济运行稳健性、证券市场发育状况、证券市场投机程度、经济增长动力和实际经济增速。
With an indicator-based approach, this paper develops an financial stress index （FSI） by using five compo- nents, such as banking sector 13, financial bonds yield spread, Treasury bill bid-offer spread, stock market volatility and exchange rate volatility. Using the FSI, this paper measures the level of Chinese systemic financial risk quarter by quarter. The study shows there are 3 phases in the sample period that the financial systemic risk is significantly higher than normal. This paper adopts principal component analysis by selecting 25 indexes which are included in 4 categories to investigate the influence factors of Chinese systemic financial risk. According to importance, these influence factors can be ranked as ： eeo- nomic frailties, macro-economic boom, robustness of economic system, the development degree of securities market, degree of speculation of securities market, the driver of economic growth and the real economic growth rate.
出处
《商业研究》
CSSCI
北大核心
2016年第2期73-80,共8页
Commercial Research
基金
国家自然科学基金项目"交易型开放式指数证券投资基金组合套利投资中的动态市场风险测度及其最优动态资产配置策略"
项目编号:71171155
国家社会科学基金项目"新常态下的货币政策转型问题研究"
项目编号:15BJY157
关键词
系统性金融风险
金融压力指数
主成分分析
systemic financial risk
index of financial stress
principal component analysis
