我国金融脆弱性区制状态划分及经济政策取向  

The Division of State of Financial Fragility in China and the Orientation of Economic Policy

作　　者：刘慧悦[1] 罗月灵[2] 

机构地区：[1]暨南大学深圳旅游学院 [2]珠海市地方税务局

出　　处：《社会科学》2017年第9期54-65,共12页Journal of Social Sciences

基　　金：国家社会科学基金青年项目"流动性结构失衡背景下的我国金融脆弱性与金融风险管理"(项目编号:14CJY004);国家社科基金重点项目"我国经济发展新常态的形成机理;趋势性特征和经济政策取向研究"(项目编号:15AZD001);国家社科基金重大项目"引领经济发展新常态的市场基础;体制机制和发展方式研究"(项目编号:15ZDC008);中央高校基本科研业务费专项资金(项目编号:22614817)的阶段性成果

摘　　要：在对我国系统性金融脆弱性指数重构的基础上,应用Markov区制转移模型对金融脆弱性的区制状态进行划分。估计和检验说明Markov区制转移模型能够更好地说明金融脆弱性指数的内生转移机制,更为准确的刻画金融脆弱性指数的生成过程。我国系统性金融脆弱性指数动态路径与国家宏观政策密切相关。在经济运行过程中,"强刺激"的宏观经济政策会为金融风险监管带来难度,要谨慎使用各种宏观调控手段,保障经济中长期健康稳定发展。On the basis of the reconstruction of systemic financial fragility index in China, simula- tion analysis is carried out on the dynamic path of financial fragility through Markov regime switching model. Estimation and test show that Markov regime switching model can better explain the endoge- nous switching mechanism of financial fragility index and more accurately describe the generation pro- cess of financial fragility index. The dynamic path of systemic financial fragility index in China is closely related to the national macro policy. In the process of economic operation, the macroeconomic policy with ＂strong stimulation＂ will bring difficulties to financial risk supervision. It is vital to careful- ly use various means of macroeconomic regulation and control and ensure the medium and long-term healthy and stable economic development.

关 键 词：金融脆弱性 主成分分析法 MARKOV区制转移模型 平滑概率 

分 类 号：F832.1[经济管理—金融学]