我国金融市场双向风险的动态测量与实证分析
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摘要
分别构造动态测量我国外汇市场汇率风险、货币市场流动性风险和股票市场股指风险的压力指数,能够刻画人民币升值与贬值、流动性过剩与短缺、股指暴涨与暴跌的双向风险。在三个市场压力指数的基础上,应用改进的主成分分析法建立了动态测量整体金融市场系统性风险的综合压力指数,从而反映金融市场上行和下行的双向风险。进一步提出了基于滚动时间窗口的高中低三类风险程度的动态判定方法。使用1997年1月至2015年9月我国金融数据实际测量了各市场双向风险出现的类型与程度,并剖析了这一时期金融风险和危机发生的原因及背景事件。金融市场综合压力指数的测量结果表明,2015年9月我国整体金融市场处于下行的高风险,主要受人民币贬值和股指暴跌影响,但整体风险可控。
In order to measure the main risks' level of the foreign exchange market,monetary market and stock market in bio-direction from the perspective of appreciation and depreciation of the RMB,surplus and shortage of currency liquidity,sharply rise and drop of the stock indices,this paper constructs pressure indices of the exchange rate risk,liquidity risk and stock index risk respectively.On the basis of three pressure indices,we use the improved principal component analysis(PCA)to establish a comprehensive pressure index of systemic risk of the overall financial market,which can describe the upside and downside risks.Moreover,we put forward the dynamic judgment method of high,medium and low degree of risk by rolling time windows.Using China's financial data from January 1997 and September 2015,we can clarify the type and degree of each market's risk,as well as in-depth analyzing the reasons and background of the crisis event in history.The comprehensive pressure index of overall financial market shows that the overall risk of financial market in China in September 2015 is at the level of downside high risk,mainly affected by the RMB depreciation and sharp fall of stock indices.However,the overall risk is under control.
In order to measure the main risks' level of the foreign exchange market,monetary market and stock market in bio-direction from the perspective of appreciation and depreciation of the RMB,surplus and shortage of currency liquidity,sharply rise and drop of the stock indices,this paper constructs pressure indices of the exchange rate risk,liquidity risk and stock index risk respectively.On the basis of three pressure indices,we use the improved principal component analysis(PCA)to establish a comprehensive pressure index of systemic risk of the overall financial market,which can describe the upside and downside risks.Moreover,we put forward the dynamic judgment method of high,medium and low degree of risk by rolling time windows.Using China's financial data from January 1997 and September 2015,we can clarify the type and degree of each market's risk,as well as in-depth analyzing the reasons and background of the crisis event in history.The comprehensive pressure index of overall financial market shows that the overall risk of financial market in China in September 2015 is at the level of downside high risk,mainly affected by the RMB depreciation and sharp fall of stock indices.However,the overall risk is under control.
引文
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[2]周孝华,李强,张保帅.基于Copula-ASV-GPD的我国多元外汇储币组合的风险度量[J].系统工程,2012,30(11):1~8.
[3]Eichengreen B,et al.Exchange market mayhem:the antecedents and aftermath of speculative attacks[J].Economic Policy,1995,10(21):99~153.
[4]Kaminsky G L.Leading indicators of currency crises[J].IMF Staff Papers-International Monetary Fund,1998,45(1):1~48.
[5]Sevim C,et al.Developing an early warning system to predict currency crises[J].European Journal of Operational Research,2014,237(3):1095~1104.
[6]Bussiere M,Fratzscher M.Towards a new early warning system of financial crises[J].Journal of International Money and Finance,2006,25(6):953~973.
[7]Kamin S B,Schindler J,Samuel S.The contribution of domestic and external factors to emerging market currency crises:An early warning systems approach[J].International Journal of Finance&Economics,2007,12(3):317~336.
[8]Von Hagen J,Ho T K.Money market pressure and the determinants of banking crises[J].Journal of Money,Credit and Banking,2007,39(5):1037~1066.
[9]荆中博,杨海珍,杨晓光.基于货币市场压力指数的银行危机预警研究[J].金融研究,2012,(5):45~55.
[10]Zouaoui M,Nouyrigat G,Beer F.How does investor sentiment affect stock market crises?Evidence from panel data[J].The Financial Review,2011,46(4):723~747.
[11]Illing M,Liu Y.Measuring financial stress in a developed country:An application to Canada[J].Journal of Financial Stability,2006,2(3):243~265.
[12]刘晓星,方磊.金融压力指数构建及其有效性检验——基于中国数据的实证分析[J].管理工程学报,2012,26(3):1~6.
[13]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.
[14]Baker M,Wurgler J.Investor sentiment and the cross-section of stock returns[J].The Journal of Finance,2006,61(4):1645~1680.
[15]Baker M,et al.Global,local,and contagious investor sentiment[J].Journal of Financial Economics,2012,104(2):272~287.
[16]易志高,茅宁.中国股市投资者情绪测量研究:CICSI的构建[J].金融研究,2009,(11):174~184.