构建中国的“金融失衡指数”：方法及在宏观审慎中的应用

Building China's Financial Imbalances Index: Methods and its Application in Macroprudential Policy

基于金融危机和系统性风险形成过程中的典型事实,从经济主体行为和市场动态过程的角度构造新的"金融失衡指数"。对"金融失衡指数"在中国宏观审慎政策框架下的实践进行模拟分析的结果表明,该指数不仅可以有效描述中国经济周期中的金融失衡现象,而且比传统的CPI、FCI、PMI等指数更为准确,也更为领先。实证分析和大量对比数据表明,"金融失衡指数"可以作为衡量系统性金融风险的良好指示器,并为宏观审慎政策的实施提供有效的决策和参考信息。

Based on the stylized facts of financial crisis and systemic risk accumulation, this paper built a new ＂Financial Imbalances Index＂ （HI） from the perspective of market participants＇ behavior and dy- namic process, and simulated its practice in China＇s macro-prudential policy framework. The results show that, FII is not only an effective index to detect the financial imbalances in China＇s economic cy- cles, but also more accurate and more leading than the traditional CPI, FCI and PMI indexes. Empiri- cal analysis and comparative data show that FII can be used as a good indicator to measure systemic fi- nancial risk, thus providing policy makers with useful and effective reference information for the imple- mentation of macro orudential oolicv.