金融壓力指數(shù)的構(gòu)建及其對(duì)實(shí)體經(jīng)濟(jì)的影響分析
發(fā)布時(shí)間：2018-08-26 12:28
【摘要】：上世紀(jì)90年代是一個(gè)危機(jī)頻發(fā)的時(shí)期,這些金融或經(jīng)濟(jì)危機(jī)給危機(jī)發(fā)生國(guó)家?guī)?lái)了巨大的災(zāi)難,其中包括1998年的俄羅斯金融危機(jī)、1999年的巴西危機(jī)、阿根廷危機(jī)、2007年的美國(guó)次貸危機(jī)、最近發(fā)生的歐洲債務(wù)危機(jī)等全球性、區(qū)域性的金融危機(jī)無(wú)疑給當(dāng)事國(guó)都帶來(lái)了嚴(yán)重的經(jīng)濟(jì)損失,也間接影響到我國(guó)的經(jīng)濟(jì)發(fā)展。維護(hù)金融系統(tǒng)穩(wěn)定、防患金融危機(jī)的發(fā)生,對(duì)于一國(guó)的經(jīng)濟(jì)安全具有重要意義,而正確地測(cè)度系統(tǒng)性金融風(fēng)險(xiǎn)則是基本前提。因此,國(guó)內(nèi)外學(xué)者越來(lái)越重視對(duì)系統(tǒng)性金融風(fēng)險(xiǎn)的定量研究。以國(guó)際貨幣基金組織為代表的眾多國(guó)際機(jī)構(gòu)和一些國(guó)家的監(jiān)管部門,圍繞金融體系的脆弱性這一重大問題,進(jìn)行了深入的研究,并取得了一些成果。歐洲中央銀行的研究員在2014年的一篇研究報(bào)告中,利用面板向量自回歸及脈沖響應(yīng)函數(shù)的方法,去估計(jì)實(shí)際產(chǎn)出,得出如下結(jié)論:銀行危機(jī)和債務(wù)危機(jī)是相關(guān)的,比較典型的是兩者都領(lǐng)先于貨幣危機(jī),但是反過來(lái)卻不成立。從整體產(chǎn)出損失的角度來(lái)說(shuō),銀行危機(jī)是代價(jià)最大的危機(jī)。產(chǎn)出的恢復(fù)需要大約六年的時(shí)間。銀行危機(jī)的持久性較強(qiáng)。特別是,銀行危機(jī)自他發(fā)生以來(lái)在接下來(lái)的六個(gè)季度內(nèi)仍會(huì)持續(xù)的概率高達(dá)50%。銀行危機(jī)的平均累積損失在危機(jī)發(fā)生六年后達(dá)到了 GDP總量的6%。本文主要依據(jù)Kaminsky、Lizondo和Reinhart三人提出的信號(hào)分析法(1998)以及Mark Illing和Liu Ying(2003)提出的金融壓力概念及其構(gòu)造方法,結(jié)合我國(guó)金融體系和金融中介機(jī)構(gòu)現(xiàn)階段的情況,選擇變量,構(gòu)造我國(guó)的金融壓力指數(shù)(Financial Stress Index)。FSI的建立,為金融系統(tǒng)運(yùn)行狀況提供了一個(gè)可以量化的指標(biāo),作為一個(gè)連續(xù)的變量,極端值的出現(xiàn)被稱為金融危機(jī),FSI數(shù)值的變化可以刻畫壓力是在上升還是下降,還可以用來(lái)刻畫極端事件的持續(xù)時(shí)間。本文在參考現(xiàn)有的國(guó)內(nèi)外文獻(xiàn)的基礎(chǔ)上,對(duì)已有的金融壓力的測(cè)度方法及應(yīng)用進(jìn)行了梳理,鑒于數(shù)據(jù)可得性和連貫性,選擇2007年7月到2015年12月的月度數(shù)據(jù)進(jìn)行分析,選取的指標(biāo)來(lái)自銀行部門、股票市場(chǎng)、證券市場(chǎng)和外匯市場(chǎng),采用三種不同的加權(quán)方法,合成中國(guó)的金融壓力指數(shù)。本文的結(jié)構(gòu)如下:第一部分是導(dǎo)言,主要闡述的是本文的寫作背景、國(guó)內(nèi)外文獻(xiàn)綜述、研究意義;第二部分為金融壓力指數(shù)的理論分析及計(jì)量方法介紹;第三部分是中國(guó)金融壓力指數(shù)的構(gòu)建,包括變量選取的依據(jù)、數(shù)據(jù)來(lái)源、數(shù)據(jù)處理方法、綜合指標(biāo)FSI的構(gòu)造方法;第四部分是金融壓力對(duì)實(shí)體經(jīng)濟(jì)的影響分析,選擇物價(jià)、GDP增長(zhǎng)率和制造業(yè)采購(gòu)經(jīng)理人指數(shù)做為衡量宏觀經(jīng)濟(jì)形勢(shì)的變量,利用VAR模型的脈沖響應(yīng)函數(shù)進(jìn)行定量分析;第五部分是本文的結(jié)論、相關(guān)的政策建議,以及創(chuàng)新與不足。本文實(shí)證分析表明,2007年12月到2008年10月,受到美國(guó)次貸危機(jī)的影響,中國(guó)的系統(tǒng)性金融壓力處于較高值;2009年開始,金融壓力出現(xiàn)回落,但是隨著利率市場(chǎng)化改革進(jìn)程的加速,從2013年6月起,金融壓力處于上升趨勢(shì),銀行間拆借市場(chǎng)上"錢荒"現(xiàn)象的出現(xiàn),體現(xiàn)了銀行體系內(nèi)短期流動(dòng)性緊張的問題。2015年以來(lái),我國(guó)經(jīng)濟(jì)下行壓力比較明顯,鋼鐵、水泥等行業(yè)出現(xiàn)嚴(yán)重的產(chǎn)能過剩,需要政府以更大的力度去調(diào)整經(jīng)濟(jì)結(jié)構(gòu)。本文研究表明,銀行部門是我國(guó)金融壓力的主要來(lái)源,其次是股票市場(chǎng),自2005年7月我國(guó)啟動(dòng)匯率制度改革以來(lái),外匯市場(chǎng)上的壓力也在不斷的增加,波動(dòng)性也值得加以關(guān)注;選用物價(jià)、GDP增長(zhǎng)率、制造業(yè)采購(gòu)經(jīng)理人指數(shù)作為實(shí)體經(jīng)濟(jì)的代理變量,利用格蘭杰因果關(guān)系分析金融壓力與實(shí)體經(jīng)濟(jì)之間的因果關(guān)系,結(jié)果表明金融壓力是實(shí)體經(jīng)濟(jì)變化的格蘭杰原因,反之則不成立。并利用VAR模型的脈沖響應(yīng)函數(shù),進(jìn)行定量分析,結(jié)果表明,當(dāng)金融壓力上升時(shí),對(duì)實(shí)體經(jīng)濟(jì)的影響就會(huì)特別明顯,PMI的值在壓力上升后的第二個(gè)月變化量比較大,這種負(fù)沖擊一直持續(xù)到第五個(gè)月。當(dāng)金融壓力上升時(shí),GDP增長(zhǎng)率在滯后第一個(gè)季度內(nèi)會(huì)迅速下降,滯后四個(gè)季度時(shí)達(dá)到最大值-0.43,隨著政策的調(diào)整,大約在三年后回到?jīng)_擊前的系統(tǒng)狀態(tài)。通貨膨脹在前兩期受到的沖擊最大,而且是正向的沖擊,在滯后一期即達(dá)到最大值0.13,分析表明,系統(tǒng)性金融壓力與通貨膨脹的近期相關(guān)性比較高,在通貨膨脹的短期預(yù)測(cè)中,是一個(gè)有用的工具。最后,針對(duì)目前中國(guó)的金融體系運(yùn)行情況,提出了相應(yīng)的政策建議。
[Abstract]:The 1990s was a period of frequent crises, and these financial or economic crises brought great disaster to countries in crisis, including the Russian financial crisis in 1998, the Brazilian crisis in 1999, the Argentine crisis, the American subprime mortgage crisis in 2007, the recent European debt crisis and other global and regional financial crisis. The crisis has undoubtedly brought serious economic losses to all the countries concerned, and indirectly affected the economic development of our country. It is of great significance for a country's economic security to maintain the stability of the financial system and prevent the occurrence of financial crises. Quantitative research on unified financial risks. Many international institutions represented by the International Monetary Fund and the regulatory authorities of some countries have conducted in-depth studies on the major issue of financial system vulnerability, and have achieved some results. Researchers at the European Central Bank used panels in a 2014 study Vector Autoregression and Impulse Response Function are used to estimate the actual output, and the following conclusions are drawn: the banking crisis and debt crisis are related, typically both are ahead of the monetary crisis, but the reverse is not true. About six years. The banking crisis is more persistent. In particular, the probability that the banking crisis will continue in the next six quarters since it happened is as high as 50%. The average cumulative losses from the banking crisis reached 6% of GDP six years after the crisis. This paper is based on the letters from Kaminsky, Lizondo and Reinhart. The concept of financial pressure and its construction method proposed by Mark Illing and Liu Ying (1998) and Mark Illing (2003) are combined with the current situation of China's financial system and financial intermediaries. Variables are selected to construct China's financial stress index. The establishment of FSI provides a measurable quantity for the operation of the financial system. As a continuous variable, the emergence of extreme value is called financial crisis. The change of FSI value can describe whether the pressure is rising or falling, and can also be used to describe the duration of extreme events. In view of the availability and consistency of the data, this paper selects the monthly data from July 2007 to December 2015 for analysis. The selected indicators come from the banking sector, the stock market, the securities market and the foreign exchange market. Three different weighting methods are used to synthesize China's financial pressure index. The second part is the theoretical analysis and measurement methods of financial stress index; the third part is the construction of China's financial stress index, including the basis of variable selection, data sources, data processing methods, comprehensive index FSI construction method; the fourth part is gold The impact of financial pressure on the real economy is analyzed by choosing price, GDP growth rate and purchasing managers index as variables to measure the macroeconomic situation, and using the impulse response function of VAR model to make quantitative analysis; the fifth part is the conclusion of this paper, relevant policy recommendations, and innovation and deficiencies. From December to October 2008, China's systemic financial pressure was at a high level because of the subprime mortgage crisis in the United States. Since 2009, financial pressure has fallen, but with the acceleration of the reform process of interest rate marketization, financial pressure has been on the rise since June 2013. The appearance of "money shortage" in the interbank lending market reflects the phenomenon. Short-term liquidity shortage in the banking system. Since 2015, China's economic downward pressure is more obvious, iron and steel, cement and other industries have serious overcapacity, the need for greater efforts to adjust the economic structure of the government. This study shows that the banking sector is the main source of financial pressure in China, followed by the stock market, since 2005. Since our country started the exchange rate system reform in July, the pressure in the foreign exchange market is also increasing, and the volatility is also worth paying attention to; choose price, GDP growth rate, Manufacturing Purchasing Managers Index as the proxy variables of the real economy, use Granger causality to analyze the causality between financial pressure and the real economy, the result table The results show that when the financial pressure rises, the impact on the real economy will be particularly obvious. The value of PMI changes greatly in the second month after the pressure rises, and this negative impact has been maintained. When financial pressures rise, GDP growth falls sharply in the first quarter, lagging by four quarters to a maximum of - 0.43. With the adjustment of policy, it returns to the pre-shock system in about three years. The analysis shows that systemic financial pressure is highly correlated with inflation in the near future, and it is a useful tool in the short-term forecast of inflation. Finally, according to the current operation of China's financial system, the corresponding policy recommendations are put forward.
【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】：2016
【分類號(hào)】：F832
[Abstract]:The 1990s was a period of frequent crises, and these financial or economic crises brought great disaster to countries in crisis, including the Russian financial crisis in 1998, the Brazilian crisis in 1999, the Argentine crisis, the American subprime mortgage crisis in 2007, the recent European debt crisis and other global and regional financial crisis. The crisis has undoubtedly brought serious economic losses to all the countries concerned, and indirectly affected the economic development of our country. It is of great significance for a country's economic security to maintain the stability of the financial system and prevent the occurrence of financial crises. Quantitative research on unified financial risks. Many international institutions represented by the International Monetary Fund and the regulatory authorities of some countries have conducted in-depth studies on the major issue of financial system vulnerability, and have achieved some results. Researchers at the European Central Bank used panels in a 2014 study Vector Autoregression and Impulse Response Function are used to estimate the actual output, and the following conclusions are drawn: the banking crisis and debt crisis are related, typically both are ahead of the monetary crisis, but the reverse is not true. About six years. The banking crisis is more persistent. In particular, the probability that the banking crisis will continue in the next six quarters since it happened is as high as 50%. The average cumulative losses from the banking crisis reached 6% of GDP six years after the crisis. This paper is based on the letters from Kaminsky, Lizondo and Reinhart. The concept of financial pressure and its construction method proposed by Mark Illing and Liu Ying (1998) and Mark Illing (2003) are combined with the current situation of China's financial system and financial intermediaries. Variables are selected to construct China's financial stress index. The establishment of FSI provides a measurable quantity for the operation of the financial system. As a continuous variable, the emergence of extreme value is called financial crisis. The change of FSI value can describe whether the pressure is rising or falling, and can also be used to describe the duration of extreme events. In view of the availability and consistency of the data, this paper selects the monthly data from July 2007 to December 2015 for analysis. The selected indicators come from the banking sector, the stock market, the securities market and the foreign exchange market. Three different weighting methods are used to synthesize China's financial pressure index. The second part is the theoretical analysis and measurement methods of financial stress index; the third part is the construction of China's financial stress index, including the basis of variable selection, data sources, data processing methods, comprehensive index FSI construction method; the fourth part is gold The impact of financial pressure on the real economy is analyzed by choosing price, GDP growth rate and purchasing managers index as variables to measure the macroeconomic situation, and using the impulse response function of VAR model to make quantitative analysis; the fifth part is the conclusion of this paper, relevant policy recommendations, and innovation and deficiencies. From December to October 2008, China's systemic financial pressure was at a high level because of the subprime mortgage crisis in the United States. Since 2009, financial pressure has fallen, but with the acceleration of the reform process of interest rate marketization, financial pressure has been on the rise since June 2013. The appearance of "money shortage" in the interbank lending market reflects the phenomenon. Short-term liquidity shortage in the banking system. Since 2015, China's economic downward pressure is more obvious, iron and steel, cement and other industries have serious overcapacity, the need for greater efforts to adjust the economic structure of the government. This study shows that the banking sector is the main source of financial pressure in China, followed by the stock market, since 2005. Since our country started the exchange rate system reform in July, the pressure in the foreign exchange market is also increasing, and the volatility is also worth paying attention to; choose price, GDP growth rate, Manufacturing Purchasing Managers Index as the proxy variables of the real economy, use Granger causality to analyze the causality between financial pressure and the real economy, the result table The results show that when the financial pressure rises, the impact on the real economy will be particularly obvious. The value of PMI changes greatly in the second month after the pressure rises, and this negative impact has been maintained. When financial pressures rise, GDP growth falls sharply in the first quarter, lagging by four quarters to a maximum of - 0.43. With the adjustment of policy, it returns to the pre-shock system in about three years. The analysis shows that systemic financial pressure is highly correlated with inflation in the near future, and it is a useful tool in the short-term forecast of inflation. Finally, according to the current operation of China's financial system, the corresponding policy recommendations are put forward.
【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】：2016
【分類號(hào)】：F832
【參考文獻(xiàn)】
相關(guān)期刊論文 前9條
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