基于资金流量表的我国系统性金融风险指数测度研究  

Measurement of Systemic Financial Risk Index in China Based on Flow of Funds Accounts

作　　者：田龙鹏[1] 李珊 Tian Longpeng;Li Shan(The People's Bank of China,hunan provincial branch)

机构地区：[1]中国人民银行湖南省分行

出　　处：《金融经济》2023年第8期66-77,共12页Finance Economy

摘　　要：本文基于我国2001-2020年资金流量表数据,使用风险传染网络模型方法,对我国部门间金融风险传染效应进行分析,并测度了我国系统性金融风险指数。研究发现,金融部门是我国部门间金融风险传染的主要承担者;我国宏观金融网络的稳健性在党的十九大后明显增强,各部门引发的风险传染总损失效应整体呈震荡波动态势,但2018年以来总损失效应明显低于之前的平均水平;本文测算出的系统性金融风险指数与M2/GDP的走势在多个时间点较为吻合,其对于防范化解系统性金融风险具有前瞻性预警作用。基于此,本文从加强对金融部门的风险监测与管理,加强对政府部门和国外部门的风险监测,进一步完善宏观审慎政策框架等方面提出政策建议。This paper analyzes the inter-sectoral financial risk contagion effects in China using the risk contagion network model based on the flow of funds accounts data from 2001 to 2020.The systemic financial risk index for China is measured.The study finds that:The financial sector is the main bearer of inter-sectoral financial risk contagion in China;The robustness of China's macro financial network has been significantly enhanced after the 19th National Congress of the CPC.The total loss effect of risk contagion triggered by various sectors shows an overall volatile trend,but the total loss effect since 2018 has been significantly lower than the previous average level;The systemic financial risk index calculated in this paper is relatively consistent with the M2/GDP ratio at multiple time points,and it has a forward-looking early warning effect on preventing and defusing systemic financial risks.Based on this,policy recommendations are put forward from strengthening risk monitoring and management of the financial sector,enhancing risk monitoring of government and foreign sectors,further improving the macro-prudential policy framework.

关 键 词：资金流量表 金融风险传染 系统性金融风险指数 

分 类 号：F832[经济管理—金融学]