山东省系统性金融风险的测度及防范研究  

Research on the measurement and prevention of systematic financial risk in Shandong Province

作　　者：刘丽 郭春梅 杨继梅[2] LIU li;GUO Chun-mei;YANG Ji-mei(Audit office,Qingdao University of Science&Technology,Qingdao 266061,China;College of Economics and Management,Qingdao University of Science&Technology,Qingdao 266061,China)

机构地区：[1]青岛科技大学审计处,山东青岛266061 [2]青岛科技大学经济与管理学院,山东青岛266061

出　　处：《青岛科技大学学报（社会科学版）》2019年第3期59-67,共9页Journal of Qingdao University of Science and Technology(Social Sciences)

基　　金：山东省人文社会科学课题（18-ZZ-JJ-04）

摘　　要：以山东省2013—2018年的月度数据为基础,利用CRITIC赋权法构建金融压力指数模型,结合银行业市场、房地产市场、股票市场及外部金融市场四个市场对山东省系统性金融风险进行测度。结果显示:2013年的金融压力指数波动幅度比较大,2014年的金融压力指数呈下降的趋势,2015年1月至2016年7月金融压力指数再次出现波动,2016年7月以后的金融压力指数波动趋于平缓。四个市场压力指数的权重占比相差不多,股票市场相对来说对金融系统的影响最大。用压力指数均值的2倍标准差作为临界值,对山东省系统性金融风险级别进行判断,只有2013年6月金融压力识别指数大于0,金融风险较大,其他时间的金融风险都在可控水平。据此,山东省应在建立精准的金融信息统计机制、加强金融机构内部的监管、促进实体经济健康发展等方面采取措施,以防范系统性金融风险。Based on the monthly data of 2013-2018 in Shandong Province,the CRITIC empowerment method is used to construct the financial stress index model,which combines the four markets of the banking market,the real estate market,the stock market and the external financial market to measure the systemic financial risk of Shandong Province.The results show that the financial pressure index fluctuated greatly in 2013,and declined in 2014.From January 2015 to July 2016,the financial pressure index fluctuated again,and the financial pressure index fluctuated gradually after July 2016.The weights of the four market stress indexes are similar,and the stock market has the greatest impact on the financial system.Taking 2 times standard deviation of the mean pressure index as the critical value,the level of systematic financial risk in Shandong Province was judged.Only in June 2013,when the financial pressure identification index was greater than 0,the financial risk was relatively large,and the financial risk in other times was at a controllable level.According to this,Shandong Province should establish accurate financial information statistics mechanism,strengthen the supervision of financial institutions,and promote the healthy development of real economy and other measures to prevent systemic financial risks.

关 键 词：金融压力指数 CRITIC赋权法 系统性金融风险 

分 类 号：F832.7[经济管理—金融学]