中国系统性金融风险与安全预警实证研究

An Empirical Study on China’s Systematic Financial Risk and Security Early Warning

本文以中国系统性金融风险为研究对象，构建系统性金融风险指标体系并进行实证分析，研究系统性金融风险的现状并构建风险预警系统。文章利用熵值法结合临界点与风险安全区间对1995年到2014年中国的系统性金融风险进行评分，在此基础上利用GARCH—VaR方法对金融风险进行测量，最后通过输出预警信号指示灯构建中国金融安全预警系统。研究发现，中国系统性金融风险主要来源于宏观经济运行风险，其主要原因是经济增长过快，但近年来风险得到了较为有效的控制，系统性金融风险基本处于安全区间。通过纯金融指标的进一步研究，发现金融风险主要来自于股票市场和基金市场。因子分析的结果显示反映股票和基金市场的金融指标因子能解释45．03％的综合因子。

In this paper, financial risk as the research China＇ s systemic object, we build a system of financial risk index system and empirical analysis of China＇ s systemic financial risk status quo and build risk early warning system. In this paper, we use the entropy method to combine the critical point and the risk safety interval to evaluate the systematic financial risk in China from 1995 to 2014, and then use the GARCH -VaR method to measure the financial risk in China. Finally, con- strnct financial risk early warning system through the outcome of early warning signal lights. The study finds that China＇ s systemic financial risk mainly comes from the macroeconomic operational risk, which is mainly caused by the rapid economic growth. However, the risks have been more effec- tively controlled in recent years, and the systemic financial risks are basically in a safe range. Further research by pure financial indicators shows that the financial risks come mainly from the stock market and the fund market. The result of the factor analy- sis shows that the financial indicator that reflects the stock and fund markets can explain a composite factor of 45.03 %.