系统性金融风险测度的指标体系及评价  

Index System and Evaluation of Systematic Financial Risk Measurement

作　　者：洪健 雷汉云[1] HONG Jian;LEI HanYun(School of Finance,Xinjiang University of Finance and Economics,Urumqi,Xinjiang 83000,Chian)

机构地区：[1]新疆财经大学金融学院,新疆乌鲁木齐830000

出　　处：《金融教育研究》2020年第3期34-41,共8页Research of Finance and Education

基　　金：国家社科基金项目“新常态下边疆地区普惠金融发展模式研究”(15BJY167)。

摘　　要：历史上由系统性金融风险引发的金融危机对整个国家经济发展和社会稳定都造成了严重的危害,且危机会扩散至整个世界。基于国内外学者系统性金融风险的研究,从宏观、中观、微观三个方面选取27个指标构建系统性金融风险度量指标体系,通过因子分析提取五个公共因子,并计算各年份公共因子的得分,然后运用熵值法对五个因子进行客观赋权,最终得出我国2011年第一季度至2018年第四季度系统性金融风险综合指数,实证结果较好反映了我国各个阶段系统性金融风险变化的趋势。Historically,the financial crisis triggered by systemic financial risks has caused serious harm to the economic development and social stability of the entire country,and the crisis will spread to the whole world.Based on the research of systematic financial risk by domestic and foreign scholars,this paper selects 27 indicators from macro,meso and micro aspects to construct an index system of systematic financial risk measurement,extracts 5 common factors through factor analysis,and calculates the score.The score of the common factor is then objectively weighted by the entropy method.Finally,the comprehensive index of systemic financial risk in China in 2011 Q1-2018Q4 is obtained.The empirical results reflect the system of each stage in China.The trend of changes in financial risks.

关 键 词：系统性金融风险 因子分析 熵值法 综合指数 

分 类 号：F832.59[经济管理—金融学]