中国金融风险指标体系构建与预警研究
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摘要
伴随着经济全球化,中国经济与世界经济的联系越来越紧密,在分享经济全球化和金融深化带来巨大利益的同时,也会面临着来自国外金融海啸的冲击。因此,构建金融危机预警系统是涉及到我国经济健康发展、金融市场稳定和金融监管的重大课题,建立符合我国国情的金融风险预警系统,将对我国的经济发展、金融安全起到至关重要的作用。
本文系统综述了现代金融危机理论、金融危机传染理论和金融风险预警模型。基于理论研究和美国次贷危机的现实考察,从宏观经济、金融体系、资产泡沫风险和全球经济四个方面选取了23个预警指标构建了我国的金融风险监测指标体系。论文改进了货币危机压力指数的合成方法,并基于构建货币危机压力指数的方法,分别合成了银行危机压力指数和资产泡沫危机压力指数刻画我国的金融风险情况。通过比较研究以往金融危机预警指标的选取方法,论文提出了基于定量分析和定性分析相结合的方法选取了对压力指数反应敏感的预警指标。论文应用非线性MS-VAR模型分别构建了货币危机、银行危机和资产泡沫危机三个分市场金融风险预警模型,考察我国金融风险的区制状态。论文在上述分市场研究的基础上进一步运用SWARCH模型综合考察了我国金融市场的总体风险状况,并对未来金融风险进行预警。研究结果表明,本文构建的金融风险预警模型能够很好的刻画我国金融风险变化的区制状态,其预警结果符合我国现实情况。
The repeated occurrence of financial crises and major economic events since the 1990s pointed to the basic fact: There is no financial security without the economic security and there is also no national security without the economic security. Therefore, the prevention of financial crises is in the dominant position in all countries.
The impact of the proliferation of subprime mortgage crisis on the real economy continued to deepen since 2008 and the world economy growth slowed down significantly. The subprime mortgage crisis has evolved into a global financial crisis, which brought about the increased volatility of global financial markets and further spread to the real economy. Along with economic globalization, China's economy ties with the world economy more closely. Sharing the enormous financial interests of economic globalization and financial deepening, our country is also in the face of the greater financial risks from home and abroad at the meantime and China's financial markets will inevitably suffer from the influence and shock of the international financial markets. Therefore, the study of the impact of the subprime mortgage crisis on China's economy and the study of generation mechanism of financial crisis and exploration of the reasons for the deterioration of financial risks and the establishment of a flexible and effective early warning system of financial crises lend some support to the prepare to dealing with the financial crisis in advance and enhance the anti-risk ability to withstand the international financial crisis and promote economic development and safeguard social stability. This study is of important theoretical and practical significance.
This article constructs the early warning system from the currency crisis, banking crisis and asset bubble crisis respectively, exploring the microstructure of our financial risks. On the basis of the above sub-markets, the article also analyze comprehensively the overall risk profile of China's financial market and provide the early warning of financial risks. Specifically, the financial risk early warning system mainly consists of the excavation of the alert source, monitoring index system of financial crisis, early warning models of sub-markets and overall risk model of the financial system. The specific contents are listed as follows:
ChapterⅠis the introduction,which introduces the background and significance of the research topics,defines some basic concepts, list the overall research concepts and point out the research methods and innovations.
ChapterⅡprovides the financial crisis theory and research summary. The paper explores the development track and main research results of the four-generation financial crisis theory as well as reviewing financial crises transmission theory and traditional and innovative early warning models of financial crisis. The article outlines the inadequacies of the previous studies at home and abroad and draws a conclusion that the focus of improving the early warning system must been put on the thought, the selection of indicators and a comprehensive selection of financial risk models.
ChapterⅢinvestigates the contagion of U.S. subprime mortgage crisis to China. This chapter initially studies the root reason of the U.S. subprime mortgage crisis, and then based on the VAR model series, applies the empirical test to the infection possibility of the United States subprime mortgage crisis to China's economy from the angle of trade channels and transmission channels. Finally this paper will sum up the enlightenment that U.S. subprime mortgage crisis brought to China and this paper.
ChapterⅣfocuses on the early-warning indicator system and the building of pressure index. This chapter improves the previous synthetic methods of pressure index, namely, constructs the currency crisis pressure index, banking crisis pressure index and asset bubble crisis pressure index to describe the financial risk. This article builds a broad system of early warning and monitoring indicators system and combines with Granger causality test method to select the sensitive index. Based on the MS-VAR model, ChapterⅤintroduces the China's financial crisis early warning model. This chapter takes advantage of the MS-VAR model to build the early warning model of China's financial risk. At first, the article discusses the merits of MS-VAR model, in contrast to the traditional early-warning modes, and then constructs early warning models of the currency crisis, banking crisis and asset bubbles crisis respectively to describe the of financial risks situations of sub-markets. Finally, this chapter gives the future risk situation of Chinese financial markets.
ChapterⅥdeals with China's financial vulnerability index and overall risk early warning. On the ground of the selected indicators that involved in the currency crisis, banking crisis and the asset bubble crisis and the factor analysis, this chapter synthesizes the financial vulnerability index. Then the application of SWARCH Model leads to the construction of early warning models, which can describe the overall risk situation and predict the future risks.
The conclusions of this article are as follows: Through the study of four generations of the financial crisis, this paper finds that causes of financial crisis are complex. The deterioration of macroeconomic factors, the collapse of the banking system and the attack of monetary system will lead to the financial crisis. Therefore, exploring the potential factors of causing the financial crises, analyzing the inherent vulnerability in Chinese financial system and constructing a multi-level and integrated financial crisis early warning system are of practical significance.
On the basis of the comparative study of traditional financial crisis early-warning models, this paper finds that the early warning indicator of exist financial risks models are limited. The subjective selection of threshold causes the man-made crisis. And the Markov District model system can overcome the traditional problems.
This paper gives a in-depth study of the causes of American subprime mortgage crisis. This paper argues that the main reason is the loose monetary policy and the real estate market asset securitization delivers risks to the entire financial system. The rise of interest rates and decline in housing prices eventually led to the outbreak of the crisis.
Based on the VAR model series, this chapter applies the empirical test to the infection possibility of the United States subprime mortgage crisis to China's economy from the angle of trade channels and transmission channels. The study comes to a conclusion that the U.S. subprime mortgage crisis will spread through the channels of trade channel to China and subprime mortgage crisis can also be transmitted through the stock market.
This paper provides a comprehensive summary of financial crisis early-warning indicator system involved in the academic research literature. Draw on previous studies, this article chooses 23 indicators deriving from the macro-economy, financial system, asset bubbles risk and the global economy to construct the China's financial risk monitoring indicators.
The article improves the previous methods of synthesizing the pressure index and establishes the pressure index of currency crisis, banking crisis, asset bubble crisis respectively. According to the comparative study of signal noise ratio and single-variable regression method, this paper argues that the applicability of the two methods is not strong and thinks the Granger causality test methods will do some good to our early warning systems.
In this paper, MSI (3)-VAR (1) model has been determined to establish early warning models of the currency crisis, banking crisis and asset bubbles crisis respectively. Early warning models of three markets exhibit the satisfactory simulation results and early warning signals occurs in a reasonable time. This article finds that in the second half of 2008 in China, currency crisis, banking crisis and asset bubble crisis are in a low risk state, which are in line with the actual situation.
Combined with the selected indicators in currency crisis, banking crisis and asset bubble crisis, with the help of factor analysis, this article utilizes the SWARCH model to establish the financial risks early warning models, which can describe the overall risk situation and predict the future situations. The outcomes show that the possibility of the outbreak the large-scale financial risk is really slight in the second half of 2008 in China.
The results of the study broaden the scope of financial crisis early warning systems and deepen its research. In the context of the deepening U.S. financial crisis, the research outcomes provide useful lessons and are of important practical significance.
本文系统综述了现代金融危机理论、金融危机传染理论和金融风险预警模型。基于理论研究和美国次贷危机的现实考察,从宏观经济、金融体系、资产泡沫风险和全球经济四个方面选取了23个预警指标构建了我国的金融风险监测指标体系。论文改进了货币危机压力指数的合成方法,并基于构建货币危机压力指数的方法,分别合成了银行危机压力指数和资产泡沫危机压力指数刻画我国的金融风险情况。通过比较研究以往金融危机预警指标的选取方法,论文提出了基于定量分析和定性分析相结合的方法选取了对压力指数反应敏感的预警指标。论文应用非线性MS-VAR模型分别构建了货币危机、银行危机和资产泡沫危机三个分市场金融风险预警模型,考察我国金融风险的区制状态。论文在上述分市场研究的基础上进一步运用SWARCH模型综合考察了我国金融市场的总体风险状况,并对未来金融风险进行预警。研究结果表明,本文构建的金融风险预警模型能够很好的刻画我国金融风险变化的区制状态,其预警结果符合我国现实情况。
The repeated occurrence of financial crises and major economic events since the 1990s pointed to the basic fact: There is no financial security without the economic security and there is also no national security without the economic security. Therefore, the prevention of financial crises is in the dominant position in all countries.
The impact of the proliferation of subprime mortgage crisis on the real economy continued to deepen since 2008 and the world economy growth slowed down significantly. The subprime mortgage crisis has evolved into a global financial crisis, which brought about the increased volatility of global financial markets and further spread to the real economy. Along with economic globalization, China's economy ties with the world economy more closely. Sharing the enormous financial interests of economic globalization and financial deepening, our country is also in the face of the greater financial risks from home and abroad at the meantime and China's financial markets will inevitably suffer from the influence and shock of the international financial markets. Therefore, the study of the impact of the subprime mortgage crisis on China's economy and the study of generation mechanism of financial crisis and exploration of the reasons for the deterioration of financial risks and the establishment of a flexible and effective early warning system of financial crises lend some support to the prepare to dealing with the financial crisis in advance and enhance the anti-risk ability to withstand the international financial crisis and promote economic development and safeguard social stability. This study is of important theoretical and practical significance.
This article constructs the early warning system from the currency crisis, banking crisis and asset bubble crisis respectively, exploring the microstructure of our financial risks. On the basis of the above sub-markets, the article also analyze comprehensively the overall risk profile of China's financial market and provide the early warning of financial risks. Specifically, the financial risk early warning system mainly consists of the excavation of the alert source, monitoring index system of financial crisis, early warning models of sub-markets and overall risk model of the financial system. The specific contents are listed as follows:
ChapterⅠis the introduction,which introduces the background and significance of the research topics,defines some basic concepts, list the overall research concepts and point out the research methods and innovations.
ChapterⅡprovides the financial crisis theory and research summary. The paper explores the development track and main research results of the four-generation financial crisis theory as well as reviewing financial crises transmission theory and traditional and innovative early warning models of financial crisis. The article outlines the inadequacies of the previous studies at home and abroad and draws a conclusion that the focus of improving the early warning system must been put on the thought, the selection of indicators and a comprehensive selection of financial risk models.
ChapterⅢinvestigates the contagion of U.S. subprime mortgage crisis to China. This chapter initially studies the root reason of the U.S. subprime mortgage crisis, and then based on the VAR model series, applies the empirical test to the infection possibility of the United States subprime mortgage crisis to China's economy from the angle of trade channels and transmission channels. Finally this paper will sum up the enlightenment that U.S. subprime mortgage crisis brought to China and this paper.
ChapterⅣfocuses on the early-warning indicator system and the building of pressure index. This chapter improves the previous synthetic methods of pressure index, namely, constructs the currency crisis pressure index, banking crisis pressure index and asset bubble crisis pressure index to describe the financial risk. This article builds a broad system of early warning and monitoring indicators system and combines with Granger causality test method to select the sensitive index. Based on the MS-VAR model, ChapterⅤintroduces the China's financial crisis early warning model. This chapter takes advantage of the MS-VAR model to build the early warning model of China's financial risk. At first, the article discusses the merits of MS-VAR model, in contrast to the traditional early-warning modes, and then constructs early warning models of the currency crisis, banking crisis and asset bubbles crisis respectively to describe the of financial risks situations of sub-markets. Finally, this chapter gives the future risk situation of Chinese financial markets.
ChapterⅥdeals with China's financial vulnerability index and overall risk early warning. On the ground of the selected indicators that involved in the currency crisis, banking crisis and the asset bubble crisis and the factor analysis, this chapter synthesizes the financial vulnerability index. Then the application of SWARCH Model leads to the construction of early warning models, which can describe the overall risk situation and predict the future risks.
The conclusions of this article are as follows: Through the study of four generations of the financial crisis, this paper finds that causes of financial crisis are complex. The deterioration of macroeconomic factors, the collapse of the banking system and the attack of monetary system will lead to the financial crisis. Therefore, exploring the potential factors of causing the financial crises, analyzing the inherent vulnerability in Chinese financial system and constructing a multi-level and integrated financial crisis early warning system are of practical significance.
On the basis of the comparative study of traditional financial crisis early-warning models, this paper finds that the early warning indicator of exist financial risks models are limited. The subjective selection of threshold causes the man-made crisis. And the Markov District model system can overcome the traditional problems.
This paper gives a in-depth study of the causes of American subprime mortgage crisis. This paper argues that the main reason is the loose monetary policy and the real estate market asset securitization delivers risks to the entire financial system. The rise of interest rates and decline in housing prices eventually led to the outbreak of the crisis.
Based on the VAR model series, this chapter applies the empirical test to the infection possibility of the United States subprime mortgage crisis to China's economy from the angle of trade channels and transmission channels. The study comes to a conclusion that the U.S. subprime mortgage crisis will spread through the channels of trade channel to China and subprime mortgage crisis can also be transmitted through the stock market.
This paper provides a comprehensive summary of financial crisis early-warning indicator system involved in the academic research literature. Draw on previous studies, this article chooses 23 indicators deriving from the macro-economy, financial system, asset bubbles risk and the global economy to construct the China's financial risk monitoring indicators.
The article improves the previous methods of synthesizing the pressure index and establishes the pressure index of currency crisis, banking crisis, asset bubble crisis respectively. According to the comparative study of signal noise ratio and single-variable regression method, this paper argues that the applicability of the two methods is not strong and thinks the Granger causality test methods will do some good to our early warning systems.
In this paper, MSI (3)-VAR (1) model has been determined to establish early warning models of the currency crisis, banking crisis and asset bubbles crisis respectively. Early warning models of three markets exhibit the satisfactory simulation results and early warning signals occurs in a reasonable time. This article finds that in the second half of 2008 in China, currency crisis, banking crisis and asset bubble crisis are in a low risk state, which are in line with the actual situation.
Combined with the selected indicators in currency crisis, banking crisis and asset bubble crisis, with the help of factor analysis, this article utilizes the SWARCH model to establish the financial risks early warning models, which can describe the overall risk situation and predict the future situations. The outcomes show that the possibility of the outbreak the large-scale financial risk is really slight in the second half of 2008 in China.
The results of the study broaden the scope of financial crisis early warning systems and deepen its research. In the context of the deepening U.S. financial crisis, the research outcomes provide useful lessons and are of important practical significance.
引文
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2陈守东,马辉,穆春舟.中国金融风险预警的MS-VAR模型与区制状态研究[J].吉林大学社会科学学报,2009(1)。
3有关于MS-VAR模型的详细内容介绍参见Krolzig(1997)和Bellone(2005);于震博士论文中亦有详细介绍(于震.中国金融发展对经济增长作用的途径与机制研究[D].吉林大学博士论文,2007.)。
4王叙果.汇率制度安排与国家金融安全[M].北京:经济科学出版社,2006年版.
5郑建明,桑百川,李文锋.中国外汇储备过多的风险及管理对策[R],第四届中国金融学年会论文,2008。
6本部分主要参考:谢平.国有商业银行改革三部曲:从经营到产权[N]. 21世纪经济报道,2008-12-27;郑鸣.金融脆弱性论[M].北京:中国金融出版社,2007年版.
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7国际货币基金组织将金融危机分为货币危机、银行业危机、债务危机和系统性金融危机等几种,该分类得到了大多数学者的认可,但其分类并没有包括资本市场危机。IMF:“World Economic Outlook”, May 1998, vol.45, no.1.
8董小君.金融风险预警机制研究[M].北京:经济管理出版社,2004年版.
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3有关金融危机的传染理论的详细文献综述参见:金洪飞.新兴市场货币危机理论研究[D].清华大学博士论文,2002;张志波.金融危机传染与国家经济安全[M].上海:上海社会科学出版社,2007年版。
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1 Carmen M. Reinhart and Kenneth S. Rogoff. Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison [J]. The American Economics Review, 2008a, 98: 339-344.
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8 Baily, Martin Neil., Douglas W. Elmendorf and Robert E. Litan. The great credit squeeze: How it happened, How to Prevent another [J]. Brookings Institution Discussion paper, 2008, May 21.
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10本节参考了吴莹等人的部分研究成果:吴莹,张一,等.中国进出口贸易预测与分析[M].北京:科学出版社,2005年版。
11资料来源:中华人民共和国商务部.中国对外贸易形势报告(2008年秋季)[R]. 2008-11-17.
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15 International Monetary Fund. The Recent Financial Turmoil—Initial Assessment, Policy Lessons, and Implications for Fund Surveillance [R]. www.imf.org, April, 2008.
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9 Demirg??-Kunt and Detragiache. The Determinants of Banking Crises in Developing and Developed Countries [R]. IMF Staff Paper, 1998, Vol.45, No.1, 81-109.
13 Mishkin, Federic S.. The Transmission Mechanism and the Role of Asset Prices in Monetary Policy [R]. NBER, Working Paper, NO.867, 2001.
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2陈守东,马辉,穆春舟.中国金融风险预警的MS-VAR模型与区制状态研究[J].吉林大学社会科学学报,2009(1)。
3有关于MS-VAR模型的详细内容介绍参见Krolzig(1997)和Bellone(2005);于震博士论文中亦有详细介绍(于震.中国金融发展对经济增长作用的途径与机制研究[D].吉林大学博士论文,2007.)。
4王叙果.汇率制度安排与国家金融安全[M].北京:经济科学出版社,2006年版.
5郑建明,桑百川,李文锋.中国外汇储备过多的风险及管理对策[R],第四届中国金融学年会论文,2008。
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