中国金融压力指数的测度——基于AHM-EWM-GM(1,N)耦合下中国金融压力指数的测度  

The Measurement of Financial Stress Index in China—Measurement of China’s Financial Stress Index Based on AHM-EWM-GM(1,N) Coupling

作　　者：王艺静 

机构地区：[1]山西财经大学金融学院,山西 太原

出　　处：《金融》2023年第5期984-996,共13页Finance

摘　　要：当前,全球金融市场动荡不安,我国经济的发展进入新的历史阶段,中央在多次会议上提出“靠靠守住不发生系统性金融风险的底线”,因此建立风险测度、预警和防范机制至关重要。本文从银行市场,宏观金融,债券与保险市场,股票市场,外部市场,房地产市场6个金融子市场方面选取指标,基于AHM (Attribute Hierarchy Model)-EWM (Entropy Weight Method)模型,构建中国金融压力指数,并利用GM(1,N)模型进行检验。研究结果表明:AHM (Attribute Hierarchy Model)-EWM (Entropy Weight Method)模型可以较好拟合中国金融市场压力值并能较好地对风险进行拟合;同时表明银行市场和股票市场对我国金融系统的风险贡献最大,监管部门要继续加强对子市场的监管。At present, the global financial market is in turmoil. At the same time, China’s economic develop-ment has entered a new historical stage. The Central Committee has proposed in many meetings that “the bottom line of no systemic financial risks should be maintained”. Therefore, it is of great importance to establish risk measurement, early warning and prevention mechanisms. In this paper, indicators are selected from six financial sub-markets: bank market, macro-finance, bond and insurance market, stock market, external market and real estate market. Based on the AHM (Attribute Hierarchy Model)-EWM (Entropy Weight Method) model, The financial stress index of China is constructed and tested by the GM(1,N) model. The results show that the AHM (Attribute Hierarchy Model)-Entropy Weight Method (Entropy Weight Method) model can fit the stress value of China’s financial market well and can match the risk well. At the same time, it shows that the bank market and the stock market contribute the most to the risk of our financial system, and the supervision department should continue to strengthen the supervision of these sub-markets.

关 键 词：AHM-EWM模型 GM(1 N) 金融压力指数 金融风险 

分 类 号：F83[经济管理—金融学]