中国金融风险评估与风险预警研究
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摘要
金融风险是金融市场和金融活动的内在属性,是金融经济活动的必然伴生物。在分享金融全球化和金融深化带来的巨大利益的同时,我国也面临着来自国内和国际的更大的金融风险,这些风险大大增加了我国发生金融危机的可能性。因此,对金融风险的识别和早期防范成为确保国家经济稳健运行和持续发展的关键,建立一个灵活、有效的金融危机预警系统,对于增强我国金融的抗风险能力,抵御国际金融危机的冲击,促进我国经济发展和维护社会稳定具有重大现实意义。
首先,本文运用Logit模型分别建立宏观经济危机预警模型、金融市场预警模型(包括货币危机预警模型和银行危机预警模型)和资产泡沫预警模型,都获得较好的拟合效果。其次,采用ARIMA模型对各个危机预警指标进行未来一年的短期预测,结果显示2008年宏观经济、金融市场运行状况良好,危机发生概率很小。而以股票市场和房地产市场为主要载体的资产泡沫风险虽相比2007年有所下降,但仍在高位运行,需要谨慎关注。最后,通过因子综合得分合成我国金融风险危机指数,并通过预警信号灯系统推测2008年我国金融风险处于趋热阶段。
Modern financial industry has edged into the core sector and leading industry of the social economy. The inherent characteristics of high debt management make financial industry a high-risk industry. Accompanied by the deepening of economic liberalization and economic globalization, mutual dependence of the world economy is increasingly high which makes the susceptibility, interactive and destructiveness of financial crisis become more and more evident. The outbreak of financial crises gives not only a serious blow to the country but also an incalculable impact to global financial market and the development of the world economy since the 1930s. Although China has not been involved in these major financial crises, the inherent economic vulnerability still exists and the potential pressure of financial risks should not be overlooked. Therefore, the establishment, analysis and monitoring of early warning indicators as well as the building of early-warning financial risk model which suites China's actual situation will lend a hand to strengthen risk-resisting ability of our financial industry, resist the impact of the international financial crisis, and promote China's economic development and safeguard social stability.
The full text is divided into five chapters and specific structure is outlined as follows:
Chapter I outlines the foreword which introduces the background and significance of topics, the structure, research methods and innovation.
Chapter II gives a brief review of the fruits of researches at home and abroad which will lubricates the following in-depth research. There is a reservoir of study concerning the modern theory of financial crisis and early warning model. Many fruitful results which are accumulated through years provide a lot of useful lessons to us, but they still can not skip shortcomings, we serve a review of previous studies and literature.
Chapter III establishes the quantitative model and outlines the corresponding empirical analysis. First of all, this chapter expounds on the framework of early warning system. Then an illustration of early warning indicators has been given which is followed by the introduction of early warning model and other related measures.
Chapters IV must be given prime priority. First of all, this chapter establishes early warning systems for sub-markets-----macroeconomic market, financial market (which is further broke down into currency crisis and the banking crisis) and asset bubble risk. Secondly,taking advantage of the early- warning crisis index, this paper provide a definition of the critical value and simulate the historical information of crisis and employ ARIMA to forecast the financial risks in 2008. Finally, we interpret the general factor score as financial crisis index which can successfully portray the fluctuations of China's financial risks and output early warning indicator system the to reflect the coldness and hotness of our economy.
Chapter V explores the conclusions. This paper has initially set up an early warning crisis model which is able to mirror China's actual situation and draws some meaningful conclusions. The drawbacks can be offseted in the furure by virtue of our endeavor step by step and the multi-level dynamic crisis early warning system is guaranteed.
On the grounds of domestic and international economic theory and empirical research, this paper investigates status quo and features of China's financial risks from the perspective of various aspects. Some meaningful conclusions have been arrived at in this paper:
1. Empirical analysis shows that in the macro-economy early warning model, crisis signals surfaced in 1994 and 1995 on account of the high CPI while certain fluctuations also revealing in the period from 1996 to 1997 as a result of that early warning indicators possess a recovery period. After that macro-economy keeps a sustained stable trend; in the currency crisis early warning model, from 1994 to 1995 crisis signals have been found, Implementation of devaluation policy in 1994 made it possible for exchange rate to drop nearly 50 percent. Since then, the foreign exchange market pressure index run at a relatively low level with little volatility and China's foreign exchange market remained stable. In banking crisis early warning model, From December 1998 to June 2000 issued the first warning signal and from October 2003 to June 2004 issued a second warning signal. China has witnessed many collapses of financial institutions and bank run events in both stages. Asset bubble early warning model simulated totally four crises from March 1994 to December 1994, from July 1995 to March 1997, from November 2001 to August 2002 and from May 2006 to November 2007 in which phases the stock market and real estate market were prosperous.
2. Applying Logit models to establish the early warning system which consists of macroeconomic crisis model, financial crisis model (including currency crisis early warning model and banking crisis early warning model) and asset bubble early warning model. Satisfactory fitting effects have been captured. By means of ARIMA model, we perform a short-term forecast for early warning indicators in the next year. The outcomes declares that in 2008, macro-economy market and financial market are in perfect condition along with the small probability of crisis, whereas the stock market and real estate market still harbor potential uncertainty which demand cautious concern in spite of a decrease in crisis compared to 2007.
3.This paper attempts to study the root causes of China's financial risks through factor analysis. Four common factors which are integrated from 23 original indexes reflect, respectively, financial market risks, macro-economy risks, asset bubble risks and global economy. Its contribution rate of variance showed that financial markets and macro-economy market play the most important role in China's financial risks which should be given the top priority.
4. The fact that the asset bubble risk, to some extent, dominates our country's overall economic situation compels us to show more concern on it. In our country, in order to prevent the bubble economy and eliminate the bubble economy, the equilibrium of total value and structure between real property (including services) and market have to be maintained. In addition, strengthening the building of legal system and improving the capital market can not be taken slightly.
5. Changes in the global economy also have an impact on China's financial development. Therefore, as an effective barrier to guard against financial risks, China must actively promote international monetary cooperation and policy coordination and establish efficient mechanism for handling the crisis and set up multilateral intervention and assistance mechanisms which are concurred in enhancing the overall capacity to defense and avoid risks.
6. Making use of comprehensive factor score to integrate China's financial risk index, cyclical fluctuations are preferable imitated. The overall financial risk drops a little in 2008 as opposed to 2007, but still in hazard zone.
7. The output of early warning signal system proves that China's financial risks in 2008 lies in the yellow zone (vigorous region). Growth rate of industrial added value, inflation rate and the price - earnings ratio of stock market and the ratio of deposits to M2 and fluctuations of the stock price in 2008 are in the red zone (overheating region) which will be the potential risks. They need dominant monitoring. M2/GDP, house prices index, growth rate of foreign exchange reserves, and growth rate of GDP, M2 multiplier and the ratio of fiscal revenue to GDP are at the yellow light area (vigorous region). This shows that risk control emphasis should be put on bank credit system, macro-economy and financial bubble areas in 2008. The remaining indicators stay in green areas (normal region) which in the coming year will maintain a stable growth trend.
This paper has initially set up an early warning system which can reflect China's actual situation and verify some meaningful conclusions, but a variety of deficiencies still can not be evaded. Limited to the availability of data indicators and the imperfect financial markets, this paper only study macro-economy market, monetary market, banking system and the asset bubble, failing to consider other markets. Associated by the continuous development of financial market and continuing deepening of reforms, more and more micro indicators which represent the internal operation of financial institutions will be injected in the model in the foreseeable future. We will also gradually improve the multi-level dynamic crisis early warning system and broaden study sphere to other markets so as to establish a more effective early warning system of financial risks which is bound to play a proactive role. Failing to issue any warning signals does not follow that there is no possibility of potential financial crisis. Early warning system is still indispensable to China.
首先,本文运用Logit模型分别建立宏观经济危机预警模型、金融市场预警模型(包括货币危机预警模型和银行危机预警模型)和资产泡沫预警模型,都获得较好的拟合效果。其次,采用ARIMA模型对各个危机预警指标进行未来一年的短期预测,结果显示2008年宏观经济、金融市场运行状况良好,危机发生概率很小。而以股票市场和房地产市场为主要载体的资产泡沫风险虽相比2007年有所下降,但仍在高位运行,需要谨慎关注。最后,通过因子综合得分合成我国金融风险危机指数,并通过预警信号灯系统推测2008年我国金融风险处于趋热阶段。
Modern financial industry has edged into the core sector and leading industry of the social economy. The inherent characteristics of high debt management make financial industry a high-risk industry. Accompanied by the deepening of economic liberalization and economic globalization, mutual dependence of the world economy is increasingly high which makes the susceptibility, interactive and destructiveness of financial crisis become more and more evident. The outbreak of financial crises gives not only a serious blow to the country but also an incalculable impact to global financial market and the development of the world economy since the 1930s. Although China has not been involved in these major financial crises, the inherent economic vulnerability still exists and the potential pressure of financial risks should not be overlooked. Therefore, the establishment, analysis and monitoring of early warning indicators as well as the building of early-warning financial risk model which suites China's actual situation will lend a hand to strengthen risk-resisting ability of our financial industry, resist the impact of the international financial crisis, and promote China's economic development and safeguard social stability.
The full text is divided into five chapters and specific structure is outlined as follows:
Chapter I outlines the foreword which introduces the background and significance of topics, the structure, research methods and innovation.
Chapter II gives a brief review of the fruits of researches at home and abroad which will lubricates the following in-depth research. There is a reservoir of study concerning the modern theory of financial crisis and early warning model. Many fruitful results which are accumulated through years provide a lot of useful lessons to us, but they still can not skip shortcomings, we serve a review of previous studies and literature.
Chapter III establishes the quantitative model and outlines the corresponding empirical analysis. First of all, this chapter expounds on the framework of early warning system. Then an illustration of early warning indicators has been given which is followed by the introduction of early warning model and other related measures.
Chapters IV must be given prime priority. First of all, this chapter establishes early warning systems for sub-markets-----macroeconomic market, financial market (which is further broke down into currency crisis and the banking crisis) and asset bubble risk. Secondly,taking advantage of the early- warning crisis index, this paper provide a definition of the critical value and simulate the historical information of crisis and employ ARIMA to forecast the financial risks in 2008. Finally, we interpret the general factor score as financial crisis index which can successfully portray the fluctuations of China's financial risks and output early warning indicator system the to reflect the coldness and hotness of our economy.
Chapter V explores the conclusions. This paper has initially set up an early warning crisis model which is able to mirror China's actual situation and draws some meaningful conclusions. The drawbacks can be offseted in the furure by virtue of our endeavor step by step and the multi-level dynamic crisis early warning system is guaranteed.
On the grounds of domestic and international economic theory and empirical research, this paper investigates status quo and features of China's financial risks from the perspective of various aspects. Some meaningful conclusions have been arrived at in this paper:
1. Empirical analysis shows that in the macro-economy early warning model, crisis signals surfaced in 1994 and 1995 on account of the high CPI while certain fluctuations also revealing in the period from 1996 to 1997 as a result of that early warning indicators possess a recovery period. After that macro-economy keeps a sustained stable trend; in the currency crisis early warning model, from 1994 to 1995 crisis signals have been found, Implementation of devaluation policy in 1994 made it possible for exchange rate to drop nearly 50 percent. Since then, the foreign exchange market pressure index run at a relatively low level with little volatility and China's foreign exchange market remained stable. In banking crisis early warning model, From December 1998 to June 2000 issued the first warning signal and from October 2003 to June 2004 issued a second warning signal. China has witnessed many collapses of financial institutions and bank run events in both stages. Asset bubble early warning model simulated totally four crises from March 1994 to December 1994, from July 1995 to March 1997, from November 2001 to August 2002 and from May 2006 to November 2007 in which phases the stock market and real estate market were prosperous.
2. Applying Logit models to establish the early warning system which consists of macroeconomic crisis model, financial crisis model (including currency crisis early warning model and banking crisis early warning model) and asset bubble early warning model. Satisfactory fitting effects have been captured. By means of ARIMA model, we perform a short-term forecast for early warning indicators in the next year. The outcomes declares that in 2008, macro-economy market and financial market are in perfect condition along with the small probability of crisis, whereas the stock market and real estate market still harbor potential uncertainty which demand cautious concern in spite of a decrease in crisis compared to 2007.
3.This paper attempts to study the root causes of China's financial risks through factor analysis. Four common factors which are integrated from 23 original indexes reflect, respectively, financial market risks, macro-economy risks, asset bubble risks and global economy. Its contribution rate of variance showed that financial markets and macro-economy market play the most important role in China's financial risks which should be given the top priority.
4. The fact that the asset bubble risk, to some extent, dominates our country's overall economic situation compels us to show more concern on it. In our country, in order to prevent the bubble economy and eliminate the bubble economy, the equilibrium of total value and structure between real property (including services) and market have to be maintained. In addition, strengthening the building of legal system and improving the capital market can not be taken slightly.
5. Changes in the global economy also have an impact on China's financial development. Therefore, as an effective barrier to guard against financial risks, China must actively promote international monetary cooperation and policy coordination and establish efficient mechanism for handling the crisis and set up multilateral intervention and assistance mechanisms which are concurred in enhancing the overall capacity to defense and avoid risks.
6. Making use of comprehensive factor score to integrate China's financial risk index, cyclical fluctuations are preferable imitated. The overall financial risk drops a little in 2008 as opposed to 2007, but still in hazard zone.
7. The output of early warning signal system proves that China's financial risks in 2008 lies in the yellow zone (vigorous region). Growth rate of industrial added value, inflation rate and the price - earnings ratio of stock market and the ratio of deposits to M2 and fluctuations of the stock price in 2008 are in the red zone (overheating region) which will be the potential risks. They need dominant monitoring. M2/GDP, house prices index, growth rate of foreign exchange reserves, and growth rate of GDP, M2 multiplier and the ratio of fiscal revenue to GDP are at the yellow light area (vigorous region). This shows that risk control emphasis should be put on bank credit system, macro-economy and financial bubble areas in 2008. The remaining indicators stay in green areas (normal region) which in the coming year will maintain a stable growth trend.
This paper has initially set up an early warning system which can reflect China's actual situation and verify some meaningful conclusions, but a variety of deficiencies still can not be evaded. Limited to the availability of data indicators and the imperfect financial markets, this paper only study macro-economy market, monetary market, banking system and the asset bubble, failing to consider other markets. Associated by the continuous development of financial market and continuing deepening of reforms, more and more micro indicators which represent the internal operation of financial institutions will be injected in the model in the foreseeable future. We will also gradually improve the multi-level dynamic crisis early warning system and broaden study sphere to other markets so as to establish a more effective early warning system of financial risks which is bound to play a proactive role. Failing to issue any warning signals does not follow that there is no possibility of potential financial crisis. Early warning system is still indispensable to China.
引文
① 《新帕尔格雷夫经济学大辞典》,中文版,第二卷,P362,北京,经济科学出版社,1996。
② 郭清马,《开放经济下货币危机的形成、演进与防控机制研究》,中共中央党校博士论文,2006 年。
① 刘园、王达学,《金融危机的防范与管理》,P44,北京大学出版社 1999 年版。
② 根据 IMF 在《世界经济展望 1998》中的分类,金融危机大致可以分为以下四大类:货币危机、银行危机、外国债务危机和系统性金融危机。
① 亚洲开发银行编著,《金融危机早期预警系统及其在东亚地区的运用》,中国金融出版社,2006 年。
① 乔桂明,货币危机预警理论及实证比较研究——兼对中国的模拟分析及启示,财经研究,2006(11)。
① 冯芸、吴冲锋:货币危机早期预警系统,系统上程理论方法应用,2002(11)。
① 金融风险是金融活动中普遍存在的,只要有金融活动就存在金融风险。金融风险具有引发、积累为金融危机的可能性,金融危机是金融风险的“极限效应”。金融风险具有转化为金融危机的可能性,但不具有必然性。中国改革开放以来并没有爆发过金融危机,因此下文主要讨论中国近年来的金融风险状况。
② 董小君,李宇航,《中国金融体系脆弱性与系统性金融风险》,国家行政学院学报,2006(5)。
① 邱丕群,《金融预警系统初探》,《统计与信息论坛》,1997(2)。
① 闻岳春,严谷军,《论金融危机预警系统的构建》,浙江大学学报(人文社会科学版),2000年10月,第30卷第5期。
① 牟晓云,《外汇危机预警模型及在我国的实证研究》,吉林大学硕士论文,2004(5)。
① 伍志文,《中国金融脆弱性:综合判断及对策建议》,《国际金融研究》,2002(8),P9-17。
① 王劲松,韩克勇,《泡沫经济与经济危机》,《理论学刊》,2005 年 5 月。
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[69] 高铁梅主编,《计量经济分析方法与建模》,清华大学出版社,2006 年。
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[71] 亚洲开发银行编著,《金融危机早期预警系统及其在东亚地区的运用》,中国金融出版社,2006 年。
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[88] 任兆璋,《金融风险防范与控制》,社会科学文献出版社,2001 年第 1 版。
[89] 南旭光,孟卫东,《基于等比例危险模型的金融危机预警》,重庆大学学报(自然科学版),2007 年 5 月,P138-142。
[90] 赵振全,刘柏,《基于国际收支的宏观经济景气预警研究》,《吉林大学社会科学学报》,2007 年 5 月,P99-105。
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[92] 刘园、王达学,《金融危机的防范与管理》,P44,北京大学出版社 1999 年版。
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[95] 伍志文,《中国金融脆弱性:综合判断及对策建议》,《国际金融研究》,2002(8),P9-17。
[96] 王雯珺,汪成豪,高鹏,董纪昌, 《2008 年我国房地产市场预测》,《战略与决策研究》,2008 年第 23 卷第 1 期, P43-49。
[97] 王劲松,韩克勇,《泡沫经济与经济危机》,《理论学刊》,2005 年 5 月。
[98] 牟晓云,《外汇危机预警模型及在我国的实证研究》,吉林大学硕士论文,2004(5)
[100] 邱丕群,《金融预警系统初探》,《统计与信息论坛》,1997(2)。
② 郭清马,《开放经济下货币危机的形成、演进与防控机制研究》,中共中央党校博士论文,2006 年。
① 刘园、王达学,《金融危机的防范与管理》,P44,北京大学出版社 1999 年版。
② 根据 IMF 在《世界经济展望 1998》中的分类,金融危机大致可以分为以下四大类:货币危机、银行危机、外国债务危机和系统性金融危机。
① 亚洲开发银行编著,《金融危机早期预警系统及其在东亚地区的运用》,中国金融出版社,2006 年。
① 乔桂明,货币危机预警理论及实证比较研究——兼对中国的模拟分析及启示,财经研究,2006(11)。
① 冯芸、吴冲锋:货币危机早期预警系统,系统上程理论方法应用,2002(11)。
① 金融风险是金融活动中普遍存在的,只要有金融活动就存在金融风险。金融风险具有引发、积累为金融危机的可能性,金融危机是金融风险的“极限效应”。金融风险具有转化为金融危机的可能性,但不具有必然性。中国改革开放以来并没有爆发过金融危机,因此下文主要讨论中国近年来的金融风险状况。
② 董小君,李宇航,《中国金融体系脆弱性与系统性金融风险》,国家行政学院学报,2006(5)。
① 邱丕群,《金融预警系统初探》,《统计与信息论坛》,1997(2)。
① 闻岳春,严谷军,《论金融危机预警系统的构建》,浙江大学学报(人文社会科学版),2000年10月,第30卷第5期。
① 牟晓云,《外汇危机预警模型及在我国的实证研究》,吉林大学硕士论文,2004(5)。
① 伍志文,《中国金融脆弱性:综合判断及对策建议》,《国际金融研究》,2002(8),P9-17。
① 王劲松,韩克勇,《泡沫经济与经济危机》,《理论学刊》,2005 年 5 月。
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