發(fā)布時(shí)間：2018-01-16 02:18

  本文關(guān)鍵詞：關(guān)于金融壓力及其對(duì)實(shí)體經(jīng)濟(jì)影響的研究述評(píng)　出處：《吉林大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 系統(tǒng)性金融風(fēng)險(xiǎn) 金融壓力指數(shù) 實(shí)體經(jīng)濟(jì)發(fā)展 壓力傳導(dǎo)

【摘要】：對(duì)于金融系統(tǒng)性風(fēng)險(xiǎn)的測(cè)度，學(xué)者們的研究從由單一市場(chǎng)指標(biāo)逐漸趨向于構(gòu)建多市場(chǎng)綜合指數(shù)。本文是對(duì)受廣泛認(rèn)可的測(cè)度金融系統(tǒng)性風(fēng)險(xiǎn)的新興方法——金融壓力指數(shù)的一個(gè)綜合述評(píng)。 本文通過對(duì)以往文獻(xiàn)的梳理，介紹了金融壓力的經(jīng)典定義和為學(xué)者所廣泛接受的特征。金融壓力是金融市場(chǎng)運(yùn)行中可能承受的一種負(fù)能量，它使金融市場(chǎng)內(nèi)部結(jié)構(gòu)變得脆弱，或者容易受到外部沖擊的影響，從而導(dǎo)致其正常的功能被破壞，甚至影響實(shí)體經(jīng)濟(jì)運(yùn)行。金融壓力發(fā)展到極端情況，就是“金融危機(jī)”。而金融壓力的產(chǎn)生，，往往都伴隨著資產(chǎn)基礎(chǔ)價(jià)值、投資者行為的不確定性以及信息不對(duì)稱的增加。同時(shí)，“安全性投資轉(zhuǎn)移”、“流動(dòng)性投資轉(zhuǎn)移”也是金融壓力發(fā)生的主要特征。 在具體的指數(shù)構(gòu)建方面，學(xué)者們用來構(gòu)建指數(shù)的指標(biāo)，多是從銀行、債券、股票、外匯市場(chǎng)中選取的，也有學(xué)者采用了創(chuàng)新性的指標(biāo)，例如經(jīng)濟(jì)基本面、外債等。在選取指標(biāo)之后，如何將各指標(biāo)整合成一個(gè)綜合的指數(shù)，學(xué)者們采用的方法也不盡相同，等方差權(quán)重法、主成分分析法、CDF轉(zhuǎn)換法、以及CDF-信用權(quán)重法是最常使用的。金融壓力指數(shù)是否真的能識(shí)別金融系統(tǒng)的非健康狀態(tài)，甚至擬合危機(jī)時(shí)期？學(xué)者們利用FSI與壓力時(shí)期的對(duì)比、馬爾科夫轉(zhuǎn)移自回歸模型、門限模型，從不同角度評(píng)估了金融壓力指數(shù)的擬合及預(yù)測(cè)能力。 金融壓力通過增加金融資產(chǎn)價(jià)格和未來經(jīng)濟(jì)前景的不確定性、提高企業(yè)融資與家庭金融消費(fèi)的成本，以及提高銀行提高信用標(biāo)準(zhǔn)等渠道影響擾亂實(shí)體經(jīng)濟(jì)的發(fā)展。學(xué)者們利用二元分析、格蘭杰因果檢驗(yàn)、脈沖反應(yīng)分析等工具，具體研究了金融壓力對(duì)實(shí)體經(jīng)濟(jì)的影響。 金融壓力的一大特質(zhì)，就是其傳染性很強(qiáng)。學(xué)者們最后分析了金融壓力在不同國(guó)別以及國(guó)內(nèi)各市場(chǎng)間的傳導(dǎo)。一個(gè)金融子系統(tǒng)內(nèi)產(chǎn)生的金融壓力會(huì)擴(kuò)散到整個(gè)金融市場(chǎng)，甚至擾亂整個(gè)經(jīng)濟(jì)的正常運(yùn)行；某一經(jīng)濟(jì)產(chǎn)生的壓力會(huì)通過政治、貿(mào)易、資產(chǎn)重組及共同沖擊等渠道傳導(dǎo)到其他經(jīng)濟(jì)體，嚴(yán)重時(shí)會(huì)爆發(fā)全球性的金融危機(jī)。如何制定風(fēng)險(xiǎn)隔離制度，目前尚未有詳盡的研究。
[Abstract]:The measurement of financial systemic risk. From single market index to multi-market comprehensive index, this paper is a comprehensive review of widely accepted financial pressure index, which is a new method to measure financial systemic risk. This paper introduces the classical definition of financial pressure and the characteristics widely accepted by scholars by combing the previous literature. Financial pressure is a possible negative energy in the operation of financial markets. It makes the internal structure of the financial market become fragile or vulnerable to external shocks, resulting in its normal function is destroyed, and even affects the real economy operation. The emergence of financial pressure is often accompanied by the value of the asset base, the uncertainty of investors' behavior and the increase of information asymmetry. At the same time, the "safe investment transfer" is the same. Liquidity investment transfer is also the main characteristic of financial pressure. In the specific index construction, scholars used to construct the index, mostly from the banks, bonds, stocks, foreign exchange market selected, but also some scholars used innovative indicators, such as economic fundamentals. Foreign debt and so on. After selecting indicators, how to integrate each index into a comprehensive index, scholars adopt different methods, equal variance weight method, principal component analysis method CDF conversion method. And the CDF- credit weighting method is the most commonly used. Does the financial stress index really recognize the unhealthy state of the financial system or even fit into a crisis? Using the comparison between FSI and stress period, Markov shift autoregressive model and threshold model, the authors evaluate the ability of fitting and predicting financial pressure index from different angles. Financial pressure increases the cost of corporate financing and household financial consumption by increasing the uncertainty of financial asset prices and future economic prospects. And improve the credit standards of banks and other channels to disrupt the development of the real economy. Scholars use dual analysis, Granger causality test, impulse response analysis and other tools. The impact of financial pressure on the real economy is studied in detail. A major feature of financial stress. It is very contagious. Finally, scholars analyze the transmission of financial pressure in different countries and domestic markets. The financial pressure in a financial subsystem will spread to the entire financial market. Even disrupt the normal operation of the entire economy; The pressure generated by an economy will be transmitted to other economies through the channels of politics, trade, asset restructuring and joint shocks. In severe cases, there will be a global financial crisis. How to establish a risk isolation system. No detailed study has yet been conducted.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832;F124

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