金融稳定边界与系统性金融风险指数测度研究

Research on the Measurement of Financial Stability Frontier and Systemic Financial Risk Index

基于我国资金存量表明细数据,本文构建了五部门金融资产负债关联网络,使用网络模型方法,对五部门间金融风险传染效应进行了分析,并测度了我国系统性金融风险指数(SRI指数)。研究发现:(1)2017年以来,我国部门间资产负债关联网络的风险抵御能力整体明显增强,1单位风险冲击引发的风险传染总损失效应逐渐减弱。(2)从金融稳定边界看,金融部门最低,为年均24.4%;政府部门和国外部门则高达70%以上。(3)2017年以来,我国SRI指数平均为0.61%,表明金融系统总体较为稳健;但受疫情影响,2020年第一季度末SRI指数阶段性有所上升。未来,为防范系统性风险大幅波动,应保持宏观调控政策的连续稳定及灵活前瞻性,使各类风险防控政策适度走在市场曲线之前。

Based on the sub-sectoral data of China’s Flow of Funds Statement,this paper constructed a financial asset-liability correlation network of five sectors.Using the network model method of risk contagion,this paper analyzed the multiplier effect of financial risk contagion among the five sectors about China,and then measured China’s systemic financial risk index(SRI index).We found that:(1)the risk resistance capability of China’s financial network has been significantly enhanced as a whole and the resulting risk contagion multiplier effect of one unit of initial loss has weakened gradually since 2017;(2)from the perspective of financial stability frontier,the financial sector stability frontier was the lowest,with an annual average of 24.4%,and the financial stability frontier of the government and foreign sectors reached as high as 70%;(3)China’s average SRI index has been 0.61%since 2017,it showed that the financial system is relatively stable in general,and it was relatively high at the end of the first quarter of 2020 due to the impact of the epidemic.In the future,in order to prevent large fluctuations in systemic risks,we should maintain the continuity,stability,flexibility and foresight of macroeconomic regulation and control policies,and make all kinds of risk prevention and control policies as appropriate ahead of the market curve as possible.