本文選題：金融系統(tǒng) + 金融穩(wěn)定�。� 參考：《統(tǒng)計與決策》2017年02期

【摘要】：文章基于美國的金融市場數(shù)據(jù),對歐洲央行提出的系統(tǒng)性壓力綜合指數(shù)(CISS)的應(yīng)用效果進(jìn)行了實(shí)證分析。所構(gòu)建的CISS綜合了四個子市場的12個金融指標(biāo),借鑒標(biāo)準(zhǔn)組合理論的思路,基于指標(biāo)間交叉相關(guān)性計算,用于反映美國系統(tǒng)性風(fēng)險狀況。實(shí)證結(jié)果表明,CISS對壓力事件具備較強(qiáng)的識別能力,且構(gòu)建的TVAR模型表明,CISS具有顯著的門限效應(yīng),能夠區(qū)分高壓力和低壓力區(qū)制,并且對經(jīng)濟(jì)活動有較好的前瞻作用。CISS和堪薩斯州金融壓力指數(shù)(KCFSI)、國家金融狀態(tài)指數(shù)(NFCI)的賽馬結(jié)果顯示,NFCI排名第一,而CISS排名最后,表明CISS尚具有改進(jìn)的空間。
[Abstract]:Based on the financial market data of the United States, this paper makes an empirical analysis of the application effect of the European Central Bank's systematic pressure composite index (CISS). The constructed CISS synthesizes 12 financial indicators of four sub-markets, and uses the idea of standard combination theory for reference, based on the calculation of cross-correlation between indicators, to reflect the situation of systemic risk in the United States. The empirical results show that Ciss has a strong ability to identify stress events, and the constructed TVAR model shows that it has a significant threshold effect and can distinguish between high and low pressure zones. And it has a good foresight for economic activity. CISS and Kansas financial stress index KCFSI, the national financial state index shows that the NFCIs rank first, while the CISS ranks last, indicating that there is still room for improvement in CISS.
【作者單位】： 中國人民大學(xué)財政金融學(xué)院;
【基金】：中國人民大學(xué)科學(xué)研究基金(中央高�；究蒲袠I(yè)務(wù)費(fèi)專項資金資助)項目(16XNH006)
【分類號】：F831
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本文編號：1893352