基于风险差异性的我国系统性金融风险度量及预警研究  

Research on Measurement and Early Warning of Systemic Financial Risk in China Based on Risk Difference

作　　者：杨磊[1] 李志民[1] 王斌[1] YANG Lei;LI Zhimin;WANG Bin(School of Mathematics,Physics and Finance,Anhui Polytechnic University,Wuhu Anhui 241000,China)

机构地区：[1]安徽工程大学数理与金融学院,安徽芜湖241000

出　　处：《萍乡学院学报》2024年第2期30-35,共6页Journal of Pingxiang University

基　　金：国家自然科学基金面上项目“基于半马尔科夫链的随机耦合竞争合作多智能体系统的协同控制研究”(61873294);安徽省高校自然科学研究重大项目“基于分数布朗运动驱动的银行货币存贮网络模型系统风险和最优控制的研究”(KJ2019ZD16)。

摘　　要：根据风险来源,系统性金融风险可划分为实体经济风险、泡沫经济风险、银行风险、外部风险与决策风险五个维度风险,基于风险差异性通过CRITIC权重法合成我国系统性金融风险指数,同时对比分析不考虑风险差异性情况下我国系统性金融风险指数。实证中考虑了风险差异性包含维度风险差异性和时间风险差异性,结果表明:考虑风险差异性情况时对准确度量系统性金融风险影响较大,且该指数更加吻合现实情况;在数据时段2007年1月—2022年6月,我国系统性金融风险指数屡次上升,整体处于中高风险区域,面临严峻考验;基于风险差异性的系统性金融风险预警模型能够反映系统性金融风险所在风险区域,同时识别风险拐点、预测风险变化趋势,实现预警功能。在实践中出现系统性金融风险事件时要牢牢控制决策风险,谨慎制定相关政策,在稳定时期提升对银行风险的警惕,实行稳健的货币政策。According to risk sources,systemic financial risk is divided into five dimensions:real economy risk,bubble economy risk,bank risk,external risk and decision risk.Based on the risk difference,we synthesize the systematic financial risk index of our country by the weight method of CRITIC,and compare and analyze the systematic financial risk index of our country without considering the risk difference.In the empirical study,we considered the risk difference,including dimensional risk difference and temporal risk difference.The results show that considering the risk diversity has a greater impact on the accurate measurement of systemic financial risk,and the index is more consistent with the reality.In the data period from January 2007 to June 2022,China's systemic financial risk index has repeatedly increased,and the overall area is in a medium-high risk area,facing severe test.The early-warning model of systemic financial risk based on risk difference can reflect the risk region where systemic financial risks are located,identify risk inflection points,predict risk trends,and realize the early-warning function.In practice,when systemic financial risk events occur,it is necessary to firmly control decision-making risks,prudently formulate relevant policies,enhance vigilance against bank risks in a stable period,and implement prudent monetary policies.

关 键 词：系统性金融风险 风险差异性 CRITIC权重法 

分 类 号：F832[经济管理—金融学]