基于综合压力指数的贫困地区金融风险测度研究——以陕西省商洛市为例
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摘要
本文以贫困地区金融风险为研究对象,选取区域经济指标、金融机构风险指标、房地产市场指标、制度环境等基础指标,采用主成分分析方法构建了金融综合压力指数,并使用误差修正模型(VEC)和脉冲响应函数对GDP增长对金融综合压力指数的冲击路径进行了有效性检验。该指数表明了金融压力状况主要受到经济增长动力、经济增长稳健性和社会脆弱性影响,贫困地区金融风险与经济增速回落、地方债务风险、贫困人口占比较大等因素密切相关。实证研究表明,GDP增长率对金融风险有一定的预测作用,能够作为金融风险预测的先行指标。
This paper takes regional financial risks as the research object, selecting basic indicators such as regional economic indicators, financial institution risk indicators, real estate market indicators and institutional environment of Shangluo, and uses principal component analysis method to construct regional financial comprehensive pressure index.Unit root test, Johansen co-integration test and other methods were used to process the data, and error correction model(VEC) and impulse response function were used to simulate the impact path of GDP growth on the comprehensive financial pressure index. The stress index shows that the financial stress is mainly affected by the economic growth momentum, the robustness of economic growth and the social vulnerability, which is basically consistent with the macroeconomic reality in poor areas. The stress index shows also show that financial risks in poor areas are closely related to the slowdown in economic growth, local debt risks and the large proportion of poor people. Empirical research shows that GDP growth rate has a certain predictive effect on financial risk and can be used as a leading indicator of financial risk prediction.
This paper takes regional financial risks as the research object, selecting basic indicators such as regional economic indicators, financial institution risk indicators, real estate market indicators and institutional environment of Shangluo, and uses principal component analysis method to construct regional financial comprehensive pressure index.Unit root test, Johansen co-integration test and other methods were used to process the data, and error correction model(VEC) and impulse response function were used to simulate the impact path of GDP growth on the comprehensive financial pressure index. The stress index shows that the financial stress is mainly affected by the economic growth momentum, the robustness of economic growth and the social vulnerability, which is basically consistent with the macroeconomic reality in poor areas. The stress index shows also show that financial risks in poor areas are closely related to the slowdown in economic growth, local debt risks and the large proportion of poor people. Empirical research shows that GDP growth rate has a certain predictive effect on financial risk and can be used as a leading indicator of financial risk prediction.
引文
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[2]戴步斌,何文举.中国金融压力指数构建与经济预警的实证研究[J].财经理论与实践,2018,39(01):27-32.
[3]陶玲,朱迎.系统性金融风险的监测和度量—基于中国金融体系的研究[J].金融研究,2016,(06):18-36.
[4]王春丽,胡玲.基于马尔科夫区制转移模型的中国金融风险预警研究[J].金融研究,2014,(9):99-114.
[5]徐国祥,李波.中国金融压力指数的构建及动态传导效应研究[J].统计研究,2017,34(04):59-71.
[6]仲文娜,朱保华.中国金融体系压力指数构建及有效性检验[J].上海金融,2018(09):15-22.