中国1987～2006年金融体系脆弱性的判断与测度

An Empirical Assessment of China's Financial Fragility in 1987-2006

关于金融系统性风险状况的判断,一直是研究的难点和热点。本文在前人研究的基础上,利用动态因子分析的方法,构建了季度的金融脆弱性指数,对我国1987—2006年的金融系统脆弱性进行评估与判断,并对主要风险来源和演变过程给出分析。主要得到如下几点结论:一、在过去二十年中,约有20%的时间是极度脆弱的,主要表现在1994年以前。二、金融脆弱性总体呈现下降趋势,但在1999—2002年表现出上升趋势。三、不同风险演变路径不同。1987—2006二十年里,流动性风险是主要风险来源,但其呈显著下降趋势,而信贷风险和市场风险并没有下降趋势,相反自2005年开始呈现不断上升的态势。这些结论也与定性分析的结果相一致。

The assessment of financial fragility has always been a hot topic not only in academia but also in government institutions. However, it is also difficult to obtain an accurate and scientific result. Based on the previous research, the paper constructs a quarterly financial fragility index by using dynamic factor analysis method, and applies it with China＇s data from 1987 to 2006. The main findings can be summarized into three points. Firstly, China＇s financial system was assessed as extremely fragile at approximately twenty percent of the period in the past twenty yeas before 1994. Secondly, the general financial risk presented a decreasing tendency based on the whole sample period while an obvious increasing tendency during 1999 - 2002. Finally, different risk has different pattern. From 1987 to 2006, financial risk was mainly sourced from liquidity risk, but it decreased notablely, and credit risk and market risk have been increasing since the first quarter of 2005. These conclusions are consistent with the points of qualitative analysis.