我国金融基础设施风险的测度与区制特征识别  

Measurement of Financial Infrastructure Risk in China and Identification of District System Characteristics

作　　者：张梦实 葛新权[3,4] 孙府 Zhang Mengshi;Ge Xinquan;Sun Fu(Post-doctoral Research Station,China Central Depository and Clearing Corporation,Beijing 100033,China;Post-doctoral Mobile Station,Institute of Finance,the People's Bank of China,Beijing 100033,China;School of Economics and Management,Beijing Information Science and Technology University,Beijing 100192,China;School of Economics,University of Chinese Academy of Social Sciences,Beijing 102488,China;School of Economics and Management,North China Electric Power University,Beijing 102206,China)

机构地区：[1]中央国债登记结算有限责任公司博士后科研工作站,北京100033 [2]中国人民银行金融研究所博士后流动站,北京100033 [3]北京信息科技大学经济管理学院,北京100192 [4]中国社会科学院大学经济学院,北京102488 [5]华北电力大学经济与管理学院,北京102206

出　　处：《金融发展研究》2024年第11期3-15,共13页Journal Of Financial Development Research

基　　金：国家社会科学基金项目“多源数据融合下数字金融风险监测与防范机制研究”(23BGL091)。

摘　　要：金融基础设施是金融市场运行的核心支撑,其安全性与金融市场的安全稳定紧密相关,对金融基础设施的风险进行量化分析具有重要的理论和实际意义。本文从系统性风险、信用风险、流动性风险、外部市场风险维度选取30项具体指标,搭建了金融基础设施风险指标体系,运用主成分分析法构建了总体与子类别层面的金融基础设施风险指数。进一步建立马尔可夫区制转换模型,对我国金融基础设施风险指数的循环波动成分进行区制识别。研究结果显示,2013年以来我国金融基础设施风险的长期趋势呈下降态势,同时受宏观经济形势、外部市场因素等影响表现出短期频繁波动特征,短期波动在风险上行区制的持续时间更长,且各子类别金融基础设施的风险特征呈现显著的差异性。Financial infrastructure is the core support for the operation of the financial market,and its security is closely related to the security and stability of the financial market,and the quantitative analysis of the risk of financial infrastructure has important theoretical and practical significance.In this paper,30 specific indicators are selected from the dimensions of systemic risk,credit risk,liquidity risk,and external market risk to build a financial infrastructure risk indicator system,and a financial infrastructure risk index is constructed at the level of the overall and subcategories by using principal component analysis.A Markov Zone Transformation Model is further developed to identify the zones of the cyclical volatility component of China's financial infrastructure risk index.The results of the study show that the long-term trend of China's financial infrastructure risk has been declining since 2013,and at the same time by the macroeconomic situation,external market factors and other influences show short-term frequent fluctuation characteristics,short-term fluctuations in the risk of upward zoning system lasts longer,and the risk characteristics of the various subcategories of financial infrastructure show significant differences.

关 键 词：金融基础设施风险 指标体系 风险波动识别 主成分分析 马尔可夫区制转换模型 

分 类 号：F830[经济管理—金融学]