本文選題：金融風(fēng)險(xiǎn)預(yù)警　切入點(diǎn)：傳染渠道　出處：《東北財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：20世紀(jì)90年代以來(lái),金融危機(jī)頻頻爆發(fā),全球金融市場(chǎng)的自由化和市場(chǎng)化加快了金融危機(jī)的傳播速度,擴(kuò)大了危機(jī)影響的深度與廣度。此次歐洲債務(wù)危機(jī)呈長(zhǎng)期化趨勢(shì),經(jīng)濟(jì)增長(zhǎng)放緩已在全球范圍內(nèi)蔓延。2012年我國(guó)金融改革開始提速,最具標(biāo)志性的事件是今年6月初,央行降息的同時(shí)宣布小幅開放存貸利率的浮動(dòng)區(qū)間,這意味著銀行在存貸款利率方面將擁有更大的自由,利率市場(chǎng)化的腳步加快。而且,近年來(lái),企業(yè)債券發(fā)行的審批流程加快,銀行資產(chǎn)證券化重啟,資本賬戶的管制開始放松,這一系列的變化說(shuō)明我國(guó)正進(jìn)入全面的金融改革時(shí)期。 在國(guó)際金融風(fēng)險(xiǎn)加大,國(guó)內(nèi)金融改革加速的特殊時(shí)期,金融風(fēng)險(xiǎn)預(yù)警研究十分的必要,及時(shí)有效的金融預(yù)警可以避免或者減少金融危機(jī)帶來(lái)的經(jīng)濟(jì)損失。而國(guó)內(nèi)研究主要通過(guò)整合歷史文獻(xiàn)中的指標(biāo)構(gòu)建預(yù)警指標(biāo)體系,指標(biāo)往往缺乏時(shí)效性和針對(duì)性。另一方面,我國(guó)金融市場(chǎng)化程度以及金融創(chuàng)新程度并不高,自身爆發(fā)危機(jī)的幾率較小,卻深受國(guó)際金融危機(jī)的影響,國(guó)內(nèi)研究對(duì)國(guó)際金融危機(jī)的傳染效應(yīng)并沒(méi)有給予足夠的關(guān)注。對(duì)此,本文從國(guó)際金融危機(jī)傳染渠道出發(fā)構(gòu)建我國(guó)金融風(fēng)險(xiǎn)預(yù)警指標(biāo)體系,同時(shí)考慮了當(dāng)前國(guó)內(nèi)外的潛在金融風(fēng)險(xiǎn)。 本文主要回答三個(gè)問(wèn)題：在歐洲債務(wù)危機(jī)和國(guó)內(nèi)金融改革交織的背景下,2012年下半年我國(guó)金融風(fēng)險(xiǎn)狀況會(huì)是怎樣?過(guò)去十多年我國(guó)金融風(fēng)險(xiǎn)又發(fā)生了哪些變化?我國(guó)金融風(fēng)險(xiǎn)主要來(lái)源于哪些方面?本文總結(jié)歷史文獻(xiàn)中金融預(yù)警指標(biāo)的局限性,基于我國(guó)實(shí)際金融狀況,從國(guó)際金融危機(jī)傳染渠道出發(fā),構(gòu)造具有實(shí)時(shí)性、針對(duì)性和國(guó)際視野的預(yù)警指標(biāo)體系,并通過(guò)馬爾科夫轉(zhuǎn)移模型描述近年來(lái)我國(guó)金融風(fēng)險(xiǎn)的變化,最后結(jié)合ARMA模型預(yù)測(cè)我國(guó)2012年下半年的金融風(fēng)險(xiǎn)。研究表明,2012年下半年我國(guó)將處于低金融風(fēng)險(xiǎn)狀態(tài),過(guò)去十多年我國(guó)的金融風(fēng)險(xiǎn)主要來(lái)源于銀行業(yè)和股票市場(chǎng)。全文共分為六章： 第一章,導(dǎo)言。主要介紹本文的選題背景以及選題意義,定義文章中核心概念,并給出論文的簡(jiǎn)要架構(gòu)。 第二章,文獻(xiàn)綜述。該部分主要回顧金融危機(jī)理論,總結(jié)金融危機(jī)預(yù)警指標(biāo)體系的構(gòu)建方法、介紹常用的金融危機(jī)預(yù)警模型,并給予評(píng)述。 第三章,我國(guó)金融風(fēng)險(xiǎn)預(yù)警指標(biāo)體系的構(gòu)建。該章總結(jié)國(guó)際金融危機(jī)傳染渠道,分析不同渠道內(nèi)危機(jī)傳染的原理；解析當(dāng)前國(guó)內(nèi)外潛在金融風(fēng)險(xiǎn),包括歐債危機(jī)給我國(guó)帶來(lái)的風(fēng)險(xiǎn)和全面金融改革時(shí)期我國(guó)銀行業(yè)的潛在風(fēng)險(xiǎn)。最后從金融危機(jī)傳染渠道和國(guó)內(nèi)外金融風(fēng)險(xiǎn)出發(fā)構(gòu)造我國(guó)金融風(fēng)險(xiǎn)預(yù)警指標(biāo)體系。 第四章,金融壓力指數(shù)的構(gòu)建與測(cè)度。借鑒IMF出版的《世界經(jīng)濟(jì)展望報(bào)告2009》中提出的針對(duì)新興市場(chǎng)國(guó)家的金融壓力指數(shù)(EM-FSI)的構(gòu)建方法,并結(jié)合我國(guó)實(shí)際金融狀況予以改進(jìn),從外匯市場(chǎng)、銀行業(yè)、股票市場(chǎng)三個(gè)層面構(gòu)造我國(guó)金融壓力指數(shù),并測(cè)算我國(guó)近十多年的金融壓力狀況。 第五章,金融風(fēng)險(xiǎn)預(yù)警的實(shí)證研究。在簡(jiǎn)要介紹馬爾科夫轉(zhuǎn)移模型和預(yù)警指標(biāo)檢驗(yàn)的基礎(chǔ)上,通過(guò)馬爾科夫轉(zhuǎn)移模型測(cè)度我國(guó)近年來(lái)金融風(fēng)險(xiǎn)的變化,并通過(guò)ARMA模型預(yù)測(cè)2012年下半年預(yù)警指標(biāo)的數(shù)值,進(jìn)一步利用馬爾科夫模型預(yù)測(cè)2012年下半年我國(guó)金融風(fēng)險(xiǎn)狀況。 第六章,結(jié)論與政策建議�？偨Y(jié)實(shí)證部分的結(jié)論,據(jù)此提出政策建議,并提煉出論文的創(chuàng)新點(diǎn)和不足。 本文主要?jiǎng)?chuàng)新點(diǎn)在于：首先,構(gòu)建我國(guó)金融風(fēng)險(xiǎn)預(yù)警指標(biāo)體系時(shí),從國(guó)際金融危機(jī)的傳染渠道出發(fā),充分考慮了我國(guó)的具體金融現(xiàn)狀,即受國(guó)際金融風(fēng)險(xiǎn)傳染的可能性較大；其次,充分考慮當(dāng)前國(guó)內(nèi)外金融背景,即歐洲債務(wù)危機(jī)的不確定性和國(guó)內(nèi)金融改革的復(fù)雜性,使預(yù)警指標(biāo)的設(shè)計(jì)更具時(shí)效性。 本文不足之處在于：首先,預(yù)警指標(biāo)的選擇不可避免的存在一定主觀性,部分反映我國(guó)經(jīng)濟(jì)結(jié)構(gòu)、金融發(fā)展階段、政治環(huán)境狀況等重要指標(biāo)并沒(méi)有考慮,主要是受論文的側(cè)重點(diǎn)以及數(shù)據(jù)可得性的限制。其次,對(duì)缺失數(shù)據(jù)的補(bǔ)齊方法以及季度數(shù)據(jù)的頻率轉(zhuǎn)換方法并沒(méi)有做深入的考量。這兩方面的不足都可能影響最終的預(yù)警結(jié)果。
[Abstract]:Since 1990s, the financial crisis, the global financial market liberalization and market to accelerate the financial crisis spread, expand the depth and breadth of the impact of the crisis. The European debt crisis presents a long-term trend, the slowdown in economic growth has spread worldwide.2012 years of financial reform in China began to accelerate, most signs the event is at the beginning of June this year, the central bank cut interest rates also announced the floating range of deposit and loan interest rates slightly open, which means that banks will have more freedom in the deposit and loan interest rate, the interest rate market to speed up the pace. But, in recent years, corporate bond issuance approval process is accelerated, the bank asset securitization restart capital the control of the account began to relax, this series of changes that China is entering a comprehensive financial reform period.
The increase in international financial risk, the special period of domestic financial reform accelerated, the necessity to study the financial risk early warning is the timely and effective financial early warning can avoid or reduce the economic losses caused by financial crisis. But the domestic research mainly through the integration of historical literature index early-warning index system is constructed, the index is lack of timeliness and pertinence. On the other hand, the degree of China's financial markets and financial innovation level is not high, its crisis less likely, but by the impact of the international financial crisis, the contagion effect of the domestic research on the international financial crisis has not been given enough attention. In this regard, the international financial crisis contagion of financial warning index system the risk of China, considering the potential financial risks at home and abroad.
This paper mainly answers three questions: in the interweaving of the European debt crisis and domestic financial reform under the background of the second half of 2012, China's financial risk status will be how? In the past more than 10 years, China's financial risk and what has changed? China's financial risk mainly from what aspects? This paper summarizes the limitations of the financial early-warning index of history in the literature, based on China's actual financial situation, starting from the transmission channels of the international financial crisis, constructing early-warning index system with real-time, targeted and international vision, and through the Markoff transfer model to describe the change of financial risk in our country in recent years, combining with ARMA model prediction in China in the second half of 2012 financial risks. The research shows that the second half of 2012, China will be in a state of low financial risk, in the past more than 10 years, China's financial risks mainly from the banking and stock market. This paper is divided into The six chapter:
The first chapter, introduction, mainly introduces the background and significance of this paper, defines the core concepts in the article, and gives a brief framework of the paper.
The second chapter is literature review. This part mainly reviews the theory of financial crisis, summarizes the construction methods of financial crisis early warning index system, and introduces the commonly used financial crisis early warning models, and gives comments.
The third chapter constructs the risk early-warning index system of Finance in China. This chapter summarizes the international financial crisis contagion channels, analysis of different channels in the principle of contagion; analyzes the potential financial risks, including the European debt crisis to the potential risks of China's banking industry risks and comprehensive financial reform finally from the period. The financial crisis contagion channels and the domestic and foreign financial risk early warning index system of construction of financial risk in our country.
The fourth chapter, the construction and measurement of financial stress index. According to IMF published "world economic outlook for emerging market countries financial pressure index report in 2009> (EM-FSI) construction method, combined with China's actual financial situation be improved, from the foreign exchange market, the banking industry, the stock market in three aspects of constructing financial pressure China's financial condition index, pressure and measure in China in the past more than 10 years.
The fifth chapter, the empirical research of financial risk early warning. After a brief introduction of Markoff base model and early warning index test, through the Markoff transfer model to measure the change of our financial risk in recent years, and through the ARMA model to forecast the number of the first half of 2012 the value of early warning indicators, then uses the Markoff model to predict the second half of 2012 China's financial risk situation.
The sixth chapter, conclusion and policy recommendations, summarize the conclusions of the empirical part, put forward the policy recommendations, and refine the innovation and deficiency of the paper.
The main innovation of this paper is: firstly, construct the warning index system of financial risk in our country, starting from the international financial crisis transmission channels, give full consideration to the specific financial situation in our country, namely the possibility of international financial contagion greatly; secondly, considering the background of the current domestic and international finance, the complexity of the European debt crisis is not the uncertainty and the domestic financial reform, make the design of early warning indicators more timely.
The inadequacies of this article lies in: first, there are some inevitable subjectivity of the choice of early warning indicators, partly reflects China's economic structure, financial development stage, an important indicator of political environment and are not considered, mainly due to the emphasis and the availability of data. Secondly, filling method of missing data and quarterly data the frequency conversion method did not do in-depth consideration. These two problems are likely to affect the final warning results.

【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 王信;金融危機(jī)擴(kuò)散:現(xiàn)象、理論及政策啟示[J];國(guó)際經(jīng)濟(jì)評(píng)論;2000年Z3期

2 唐旭,張偉;論建立中國(guó)金融危機(jī)預(yù)警系統(tǒng)[J];經(jīng)濟(jì)學(xué)動(dòng)態(tài);2002年06期

3 張偉;體制轉(zhuǎn)換模型能預(yù)測(cè)貨幣危機(jī)嗎?[J];經(jīng)濟(jì)研究;2004年07期

4 陳守東;馬輝;穆春舟;;中國(guó)金融風(fēng)險(xiǎn)預(yù)警的MS-VAR模型與區(qū)制狀態(tài)研究[J];吉林大學(xué)社會(huì)科學(xué)學(xué)報(bào);2009年01期

5 沈中華,陸符玲;銀行危機(jī)與貨幣危機(jī)真是共生的嗎?[J];金融研究;2000年06期

6 吳成頌;;我國(guó)金融風(fēng)險(xiǎn)預(yù)警指標(biāo)體系研究[J];技術(shù)經(jīng)濟(jì)與管理研究;2011年01期

7 曾康霖;;試析金融風(fēng)險(xiǎn)、金融危機(jī)與金融安全[J];金融發(fā)展研究;2008年02期

8 范愛軍;金融危機(jī)的國(guó)際傳導(dǎo)機(jī)制探析[J];世界經(jīng)濟(jì);2001年06期

9 張瀛,王浣塵;貨幣危機(jī)預(yù)警綜合評(píng)價(jià)方法研究[J];統(tǒng)計(jì)研究;2004年07期

10 嚴(yán)丹屏,徐長(zhǎng)生;金融危機(jī)傳染渠道研究[J];武漢金融;2003年06期

相關(guān)碩士學(xué)位論文 前1條

1 王鵬;國(guó)際金融危機(jī)傳導(dǎo)機(jī)制研究[D];四川大學(xué);2007年

，

本文編號(hào)：1643245