本文關(guān)鍵詞：我國金融系統(tǒng)性風(fēng)險測度模型的構(gòu)建和檢驗　出處：《廣東商學(xué)院》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 金融系統(tǒng)性風(fēng)險 實體經(jīng)濟(jì) 宏觀審慎監(jiān)管 動態(tài)因子模型

【摘要】：金融危機(jī)給全世界帶來的警醒讓我們意識到關(guān)注金融系統(tǒng)性風(fēng)險的重要性，相關(guān)研究也在各個層面得到深化，但金融系統(tǒng)性風(fēng)險釋義和度量等問題依然是一個開放性話題。在各類監(jiān)管策略中，宏觀審慎監(jiān)管的監(jiān)管方法以其全面性和細(xì)致性得到了廣泛的認(rèn)可，宏觀審慎監(jiān)管的操作策略要求我們能夠建立統(tǒng)一的金融系統(tǒng)性風(fēng)險的度量口徑和監(jiān)管邊界。雖然國際學(xué)者從諸多不同角度對金融系統(tǒng)性風(fēng)險的測度等相關(guān)問題展開了研究，也得出了很多重要的結(jié)論，但我國的金融系統(tǒng)性風(fēng)險理論研究才剛剛起步，特別是在金融體系系統(tǒng)性風(fēng)險相關(guān)指標(biāo)構(gòu)建方面，所以探討我國金融系統(tǒng)性風(fēng)險測度方法和監(jiān)管方法十分必要。本文將實體經(jīng)濟(jì)和金融系統(tǒng)兩者的系統(tǒng)級別風(fēng)險結(jié)合起來考慮，，運(yùn)用擴(kuò)展的VAR結(jié)構(gòu)和動態(tài)因子模型建立聯(lián)合動態(tài)方程，建立我國金融系統(tǒng)性風(fēng)險度量模型，對金融系統(tǒng)性風(fēng)險相關(guān)指標(biāo)GDPaR和FSaR進(jìn)行測度。實證表明我國金融系統(tǒng)性風(fēng)險測度模型方法能夠?qū)ξ覈鹑谙到y(tǒng)性風(fēng)險做出較好的預(yù)警，也基于實證結(jié)果和宏觀審慎的監(jiān)管視角，對轉(zhuǎn)型與開放條件下我國金融系統(tǒng)性風(fēng)險監(jiān)管提出了相應(yīng)的政策建議。
[Abstract]:The alarm brought by the financial crisis to the world has made us realize the importance of paying attention to the systemic risk of finance, and the related research has been deepened at all levels. However, financial systemic risk interpretation and measurement is still an open topic. In all kinds of regulatory strategies, macro-prudential supervision method has been widely accepted for its comprehensiveness and meticulous nature. The operational strategy of macro-prudential supervision requires us to establish a unified measurement of financial systemic risk and regulatory boundaries. Although international scholars from many different perspectives on the measurement of financial systemic risk and other related issues. I started research. Many important conclusions have been drawn, but the theoretical study of financial systemic risk in China has just started, especially in the financial system systemic risk related indicators. Therefore, it is necessary to discuss the measurement method and supervision method of financial systemic risk in our country. This paper combines the real economy and the financial system to consider the system-level risk. The extended VAR structure and the dynamic factor model are used to establish the joint dynamic equation and the financial systemic risk measurement model in China. The empirical results show that the method of financial systemic risk measurement model can make a good early warning to the financial systemic risk of our country. Based on the empirical results and macro-prudential supervision perspective, this paper puts forward the corresponding policy recommendations on the supervision of financial systemic risk under the conditions of transition and opening.
【學(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832;F224

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