系统性金融风险早期预警指数的构建及实证运用——基于AUROC评估和政策制定者损失函数  

Construction and Empirical Application of an Early Warning Index for Systemic Financial Risk:Based on AUROC Evaluation and Policymaker Loss Functions

作　　者：陈双[1] 向易 邓芳 CHEN Shuang;XIANG Yi;DENG Fang(People's Bank of China Hunan Provincial Branch;People's Bank of China Huaihua Municipal Branch;People's Bank of China Yongzhou Municipal Branch)

机构地区：[1]中国人民银行湖南省分行 [2]中国人民银行怀化市分行 [3]中国人民银行永州市分行

出　　处：《金融经济》2024年第10期18-30,共13页Finance Economy

摘　　要：加强系统性金融风险监测、评估与预警能力,对防范化解金融风险和维护金融稳定具有重大意义。本文以欧央行国内系统性金融风险指数(d-SRI)的构建方法为基础,结合我国金融系统的实际,通过增加“构建FSI识别金融高压力期”“运用AUROC确定脆弱期”等关键步骤,制定我国系统性金融风险早期预警指数构建方法,由此拟合出我国的早期预警指数,并运用该指数对我国各期金融风险进行预警分析。研究表明,本文构建的预警指数平均提早22个月对高压力期发出预警信息,能为宏观审慎管理提供及时有益的参考;预警指数预测我国本轮金融系统高压力状态将持续至2024年初;居民部门杠杆率较长时间过度上涨是导致我国金融系统压力攀升的最基本因素。Enhancing the capability to monitor,assess,and provide early warnings of systemic financial risks is crucial for preventing and mitigating financial risks and maintaining financial stability.This paper develops a methodology for constructing an early warning index for systemic financial risk in China,based on the European Central Bank's domestic Systemic Risk Indicator(d-SRI).The methodology is tailored to China's financial system by incorporating key steps such as identifying high-stress periods using the Financial Stress Index(FSI)and determining vulnerability periods through AUROC evaluation.The resulting early warning index is applied to analyze financial risks across different periods in China.The findings indicate that the constructed index provides early warnings of high-stress periods on average 22 months in advance,offering timely and valuable reference for macroprudential management.The index also accurately predicts the current period of high financial system stress in China,with prolonged excessive increases in household leverage identified as the primary factor driving the rise in financial system pressure.

关 键 词：系统性金融风险 早期预警 状态空间模型 AUROC性能评估 损失函数 相对有效性 

分 类 号：F832.5[经济管理—金融学]