基于MSBVAR模型的中国金融风险预警研究

Study on Precaution of Systematic Financial Risk in China via MSBVAR

金融风险作为一个不可观测的变量,往往给现实的风险预警带来困难。以中国2007年1月至2015年12月的月度数据为基础,把不可观测的金融风险转化为连续的金融压力指数;进而基于MSBVAR模型考察金融风险的区制变换及与宏观经济变量之间的关系。研究发现,金融压力指数值较大时期对应高风险区制;金融风险与CPI、M2/GDP、出口/进口、国房开发指数呈同向变化,与工业增加值增长率呈反向变化;状态转移平滑概率图提示,未来一段时期中国有较大概率出现高金融风险。

As financial risk is an unpredictable variable, it may create great difficulties for early warning in practice. Based on the monthly data from January, 2007 to December, 2015 in China, the present study transforms this unpredictable variable into continuous financial stress indexes and then with MSBVAR mode, the relationship between macro economic variables and financial risks is analyzed. The results show that： high risk corresponds to high financial stress index; financial risk fluctuates in the same way with CPI, M2/GDP, Export/Import, and state- owned property development indexes while in the opposite way with industrial added value growth rate. The smoothed probability graph of state transition also shows there is a high probability of high financial risk in future in China.