中国金融压力的测度和时变特征研究——基于MIMIC和MS-AR模型的分析  

Research on the Measurement and Time-varying Characteristics of China’s Financial Pressure——Based on the Analysis of MIMIC and MS-AR Models

作　　者：苗子清 Miao Ziqing

机构地区：[1]中国社会科学院大学(研究生院)

出　　处：《价格理论与实践》2020年第9期102-106,共5页Price:Theory & Practice

摘　　要：金融压力反映金融体系的系统性风险,有效测度金融压力对于维持金融体系稳定具有重要意义。本文在系统分析金融压力影响因素和表现特征的基础上,运用多指标多因素(MIMIC)模型测算得到反映中国金融压力水平的金融压力指数,并运用马尔科夫区制转移(MS-AR)模型识别金融压力的时变特征。研究表明:模型测算得到的金融压力指数能够较好地反映中国的金融压力状况,对样本期内发生的极端风险事件均准确进行了响应;中国金融压力较难实现不同区制间的转换,低压力区制的持续性更强;中国金融压力水平的变化主要源于内部经济状况和外部经济形势的联动影响。针对模型结果,本文提出了相关政策建议。Financial pressure reflects the systemic risks of the financial system, and effective measurement of financial pressure is of great significance for maintaining the stability of the financial system. Based on the systematic analysis of the influencing factors and performance characteristics of financial stress, this paper uses the multi-indicator and multi-factor(MIMIC) model to calculate China’s financial stress index and ?the Markov Regime Transfer(MS-AR) model to identify the time Change characteristics of financial stress. Research shows that the financial stress index calculated by the model can better reflect China’s financial stress situation and accurately respond to extreme risk events that occurred during the sample period;China’s financial stress is difficult to achieve conversion between different zoning systems. The pressure zone system is more sustainable;the changes in the level of financial pressure in China are mainly due to the linkage effects of internal economic conditions and external economic conditions. In response to the model results, this article puts forward relevant policy recommendations.

关 键 词：金融压力测度 时变特征 MIMIC模型 MS-AR模型 

分 类 号：F832[经济管理—金融学] F224