货币、银行与资产市场风险状况的识别——基于金融压力指数与MSIH-VAR模型的实证研究

Financial Risk Identification in China: Empirical Study Based on FSI and MSIH-VAR Model

本文基于金融压力指数法分别构建了货币危机、银行危机、资产价格波动压力指数,并通过MSIH-VAR模型,分别识别三类金融风险及其风险等级。模型结果表明,三类金融风险划分情况与现实较为吻合,针对2000-2015年初的金融大事件有比较准确的判断。货币危机模型中,货币风险的变化与M2乘数有密切联系,且央行对存款准备金率的调整能够及时地改变货币风险等级,二者存在反向变动关系。银行风险增加的主要因素为信贷的扩张,过快的扩张速度会明显提升银行的风险等级。资产泡沫风险主要表现在资产价格的波动,这与我国的政策变化密不可分。

This paper, in light of FSI, separately constructs Financial Index to currency, banking ＆ fluctuation of prices assets, whose risk levels are distinguished by MSIH-VAR model. The results show that assortments of three financial risks well match the reality and precisely discern financial events from January 2000 to March 2015. According to the currency model, currency risk closely varies with M2 multiplier and its levels response immediately and reversely to the deposit reserve ratio adjusted by the Central Bank. The credit expansion and its overspeed increase the banking risk and risk level separately. Sharp property prices fluctuation, however, intimately associating with policies leads to the asset bubbles.