中国金融稳定测度、预测及对策

The Measure and Forecast of China's Financial Stability and the Countermeasures

基于一个维护金融稳定的框架,本文利用2000Q1-2012Q3的季度数据为中国金融体系构建了一个金融稳定综合指数(AFSI),涵盖金融体系发展、金融脆弱性、金融稳健性和世界经济形势等四个维度的32个指标。结果显示该AFSI能够较好地捕捉到9.11恐怖袭击、中国"入世"、中国"汇改"、美国次贷危机和欧债危机等国内外重大事件对我国金融体系稳定水平的冲击和影响。计量验证表明,我们构建的AFSI敏感性较好,能够正确测度我国金融体系的稳定性。进一步对AFSI进行随机模拟动态预测,结果显示我国金融体系在2012Q4-2014Q4将经历不稳定转向稳定。本文提出了相应的对策。

Based on a framework of maintaining financial stabili ty, this paper constructs an aggregate financial stability index(AFSI) for China's financial system using the quarterly data of 2000Q1-2012Q3, which covers 32 indicators of the four dimensions including the development of financial system, financial vulnerability, financial robustness and the world economic climate. The results show that the AFSI can capture well the impact and influence of major events at home and abroad such as the 9.11 terrorist attack, China's accession to the WTO, China's exchange rate reform, U.S. subprime crisis and the European debt crisis on China's financial system's stable level. The econometric validation shows that our AFSI has good sensitivity, being able to correctly measure the stability of the financial system in China. We further perform a stochastic simulation dynamic prediction for the AFSI and the results show that China's financial system will undergo a change from instability to stability during 2012Q4-2014Q4. This paper puts forward the corresponding countermeasures.