构建中国金融压力指数探析

On the Construction of China's Financial Stress Index

加强宏观审慎管理,维护金融体系稳定,要求中央银行能够及时地监测金融市场总体状况,而现有指标多数局限于分析单个金融市场。2008金融危机后,美国圣路易斯联邦储备银行等机构开发出金融市场压力指数监测整个金融市场压力情况,从而更好地来评估货币政策效率和金融市场稳定状况。本文通过分析国际金融市场3种常用的金融压力指数,采用6个指标分别描述影响我国金融市场投资者信心和流动性状况的因素,并据此编制中国金融市场压力指数。实证研究结果表明,该指数与芝加哥期货交易所波动率指数存在长期协整关系,能够较好地刻划我国金融市场压力变动情况。

In order to strengthen macro-prudential management and maintain the stability of financial system,central banks should monitor the overall performance of financial markets timely and accurately.However,most of the current indicators just focus on single financial markets.After the financial crisis in 2008,Federal Reserve Bank of St.Louis and some other institutions developed financial stress indexes to monitor the stress situation of financial markets as a whole,so as to better assess the efficiency of monetary policy and the stability of financial market.The article analyzes 3 popular financial stress indexes in international financial markets,and develops China＇s financial stress index based on 6 indicators,which describe factors that affect the investor＇s confidence and market liquidity of China＇s financial market.Empirical results indicate that the index can describe the stress changes of China＇s financial market;and there is a long-term co-integration relation between the index and CBOT volatility index.