基于KLR模型的我国股市系统性风险预警研究

The Early Warning of Systematic Risks of Chinese Stock Market based on KLR Model

本文以我国股市的系统性风险为研究对象,应用货币危机研究的经典模型——KLR模型对影响我国股市系统性风险的宏观、中观、微观等因素进行了分析,得到了一系列敏感的预警指标(包括CPI、PPI、道琼斯指数、市场整体市盈率等9个指标),构建了NSR综合预警指数,并通过实证分析验证了其可靠性。

With the systematic risks of China's stock market as the research subject,the article applies KLR model,the classic model in researches of currency crisis,to study the macroscopic,mesoscopic and microscopic factors that influence the systematic risks of China's stock market.It acquires a series of sensitive early warning indicators(mainly 9 indictors including CPI,PPI,the Dow Jones Index,the overall market earnings) and builds an NSR comprehensive warning index verified through empirical analysis.