本文關(guān)鍵詞： 系統(tǒng)性金融風(fēng)險(xiǎn) 金融壓力指數(shù) 極值理論 Logit模型 KLR信號(hào)法 宏觀審慎監(jiān)管　出處：《華中科技大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

【摘要】：完善的金融市場(chǎng)是一個(gè)發(fā)達(dá)國(guó)家的具體體現(xiàn),資金資源的合理轉(zhuǎn)移和分配能有效提高實(shí)體經(jīng)濟(jì)的運(yùn)轉(zhuǎn)效率。但依托資金與信用的金融體系有其固有的風(fēng)險(xiǎn),金融市場(chǎng)一旦崩潰,對(duì)實(shí)體經(jīng)濟(jì)將產(chǎn)生不可估量的損失。由于嚴(yán)格的監(jiān)控和管制,我國(guó)目前為止沒有爆發(fā)過大規(guī)模的系統(tǒng)性金融危機(jī),但隨著國(guó)際金融市場(chǎng)的聯(lián)動(dòng)性日益增強(qiáng),國(guó)內(nèi)金融市場(chǎng)的改革逐步深化,金融創(chuàng)新日新月異,針對(duì)我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)的識(shí)別、預(yù)警和防范進(jìn)行研究具備十分重要的意義。本文以系統(tǒng)性金融風(fēng)險(xiǎn)的識(shí)別、預(yù)警與防范為核心研究對(duì)象,首先介紹了系統(tǒng)性金融風(fēng)險(xiǎn)的基本理論,然后歸納整理了國(guó)內(nèi)外學(xué)者的研究成果,重點(diǎn)在于對(duì)系統(tǒng)性金融風(fēng)險(xiǎn)的測(cè)度與識(shí)別,預(yù)警與防范。實(shí)證研究中,本文從銀行業(yè)壓力、資產(chǎn)泡沫、外匯市場(chǎng)壓力三個(gè)維度構(gòu)建中國(guó)金融壓力指數(shù)FSI,并基于極值理論、廣義帕累托分布對(duì)我國(guó)的金融風(fēng)險(xiǎn)期進(jìn)行了識(shí)別。以FSI同期二元風(fēng)險(xiǎn)變量為基礎(chǔ)構(gòu)造因變量,從國(guó)內(nèi)宏觀經(jīng)濟(jì)層面、國(guó)內(nèi)金融系統(tǒng)層面、經(jīng)常賬戶-國(guó)際貿(mào)易、資本賬戶-國(guó)際金融四個(gè)層面選取了21個(gè)變量作為系統(tǒng)性金融風(fēng)險(xiǎn)的備選預(yù)警指標(biāo),通過ADF平穩(wěn)性檢驗(yàn)、Granger因果關(guān)系檢驗(yàn)、因子分析法從備選預(yù)警指標(biāo)體系中篩選出平穩(wěn)的,與FSI具有格蘭杰因果關(guān)系的變量,并最終提取出5個(gè)公共因子作為自變量,運(yùn)用Logit模型預(yù)測(cè)了系統(tǒng)性金融風(fēng)險(xiǎn)概率,進(jìn)一步驗(yàn)證了Logit模型樣本內(nèi)、樣本外的預(yù)測(cè)效果。此外,本文還利用KLR信號(hào)法確定了危機(jī)發(fā)生的概率閾值。最后,本文從宏觀審慎監(jiān)管的角度論述了我國(guó)對(duì)系統(tǒng)性金融風(fēng)險(xiǎn)的防范工作。本文研究結(jié)果表明:FSI指數(shù)能較好地?cái)M合我國(guó)金融市場(chǎng)的壓力狀況,2003年、2007年、2008年、2009年、2010年是我國(guó)金融市場(chǎng)壓力較大,風(fēng)險(xiǎn)爆發(fā)可能性較大的年份。因子分析法顯示宏觀實(shí)體經(jīng)濟(jì)、外匯貿(mào)易、利率變化、通貨膨脹和資產(chǎn)市場(chǎng)泡沫是我國(guó)金融市場(chǎng)壓力的主要來源。根據(jù)KLR噪音信號(hào)比法確定的風(fēng)險(xiǎn)概率閾值是34%,Logit模型預(yù)備較好的樣本外預(yù)測(cè)能力。從宏觀審慎監(jiān)管的角度來看,加強(qiáng)央行、銀監(jiān)局、保監(jiān)局、證監(jiān)局的協(xié)同監(jiān)管作用;區(qū)分監(jiān)管與扶持的分界點(diǎn),深化存款保險(xiǎn)制度;信息透明化,加大對(duì)金融產(chǎn)品風(fēng)險(xiǎn)收益的信息披露;加強(qiáng)對(duì)影子銀行的風(fēng)險(xiǎn)監(jiān)管是防范金融危機(jī)的必要舉措。
[Abstract]:The perfect financial market is the concrete embodiment of a developed country, the rational transfer and distribution of capital resources can effectively improve the efficiency of the real economy, but the financial system relying on funds and credit has its inherent risks. Once the financial market collapses, there will be inestimable losses to the real economy. Due to strict monitoring and control, China has not broken out a large-scale systemic financial crisis so far. However, with the increasing interaction of international financial markets, the reform of domestic financial markets is gradually deepening, and financial innovation is changing with each passing day, aiming at the identification of systemic financial risks in China. The research on early warning and prevention is of great significance. This paper focuses on the identification, early warning and prevention of systemic financial risk. Firstly, it introduces the basic theory of systemic financial risk. Then summarized the domestic and foreign scholars' research results, focusing on the measurement and identification of systemic financial risks, early warning and prevention. Empirical research, this paper from the banking pressure, asset bubbles. The foreign exchange market pressure three dimensions construct the Chinese financial pressure index FSIs, and based on the extreme value theory. The generalized Pareto distribution identifies the financial risk period in China. Based on the dual risk variables of FSI, the structural dependent variables are from the domestic macroeconomic level and the domestic financial system level. Current account-international trade, capital account-international finance four levels of the selection of 21 variables as an alternative early warning indicators of systemic financial risk, through the ADF smoothness test. Granger causality test, factor analysis from the alternative early warning index system to screen out the stable and FSI with Granger causality variables. Finally, five common factors are extracted as independent variables, and the probability of systemic financial risk is predicted by using Logit model, which further verifies the prediction effect in and outside the sample of Logit model. This paper also uses the KLR signal method to determine the probability threshold of the crisis. Finally. This paper discusses the prevention of systemic financial risks in China from the perspective of macro-prudential supervision. The research results show that the ratio FSI index can better fit the pressure situation of China's financial market, 2003. 2007, 2008, 2009, 2009 is the year that our country financial market pressure is big, risk burst possibility is bigger. Factor analysis shows macroscopical real economy, foreign exchange trade. Interest rate change, inflation and asset market bubble are the main sources of financial market pressure in China. The risk probability threshold determined by KLR noise signal ratio method is 34%. From the point of view of macro-prudential supervision, strengthen the cooperative supervision role of the central bank, the bank supervision bureau, the insurance bureau and the securities bureau; Distinguish between supervision and support, deepen deposit insurance system; Transparency of information to increase the disclosure of financial product risk returns; Strengthening the risk supervision of shadow banks is a necessary measure to prevent financial crisis.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832

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