基于脆弱性指标的金融危机预警研究

Research on Financial Crisis Early Warning Based on Vulnerability Index

2008年全球金融危机后,金融危机早期预警成为必要且紧迫的问题。系统分析影响金融危机发生的因素,厘清信贷增长、房价波动、经常账户赤字与金融风险之间的关系,对于客观准确预测金融风险的影响程度具有重要意义。本文以1980—2019年包括发达经济体、新兴经济体在内的全球41个经济体为研究对象,通过面板Logit模型在统一框架中分析信贷增长、房价及经常账户赤字等反映金融脆弱性的指标对金融危机的预警能力。研究发现,信贷不是预测危机的唯一重要指标:当房价、经常账户赤字与信贷在同一研究框架下时,房价和经常账户赤字拥有大量领先信息,可以预测金融危机的发生;但随着房价和经常账户赤字加入模型,信贷的预警能力显著降低,且低于房价的预警能力。关注房价波动和经常账户赤字对未来政策制定有一定的启示作用。鉴此,应做好跨周期政策调节,坚持遏制房地产金融化、泡沫化,密切关注经常账户的调整方向与程度,审慎管理相关金融风险。

Following the global financial crisis of 2008,early financial crisis warning has become a crucial and pressing issue.For objectively and accurately predicting the impact of financial risks,systematic analyses of the factors affecting the occurrence of the financial crisis and clarification of the relationship between credit growth,real estate fluctuation,long-term current account deficit,and financial risk is critical.This paper uses a panel logit model to examine the early warning ability of indicators reflecting financial vulnerability,including credit growth,real estate price,and current account deficit,taking the financial crisis in 41 economies around the world from 1980 to 2019 as the research objects,including developed and emerging economies.According to the study,credits are not the only relevant indicator for predicting the crisis.When they are studied alongside credits,real estate price and current account deficits have a lot of leading information that can anticipate the emergence of financial crises.Whereas credit has a substantially lower early warning capability than real estate price with the addition of house price and current account deficits into the model.Paying attention to asset prices and current account deficits will have some implications for future policy making.Given the foregoing circumstances,we need to undertake cross-cyclical policy adjustments,continue to contain financial bubbles in the real estate sector,pay careful attention to the direction and amount of current account adjustments,and manage relevant financial risks wisely.