中国金融压力的测度、识别和预测

Financial Stress Measurement, Identification and Prediction in China

金融压力反映的是整个金融体系所承受的系统性风险状况,因此,构建适用于中国的金融压力指数,是防范和化解金融风险的一个重要环节。基于CRITIC法,从外汇市场、银行部门和资产价格泡沫三个方面选取了8个代表性变量作为原指标,引入动态权重构建了中国金融压力指数。结果发现,2007年至2019年,我国金融压力水平经历了三个阶段的变化,呈现周期性特征。建立的识别指数表明,我国金融体系虽然经历了两次高危时期,但系统性风险总体可控。马尔科夫转换模型验证了我国金融压力水平的周期性转换特征,并且高压力水平持续期高于低压力水平持续期。采用ARMA模型进行拟合与预测的结果表明,我国未来金融压力虽然有缓慢下降趋势,但仍然处在较高水平。因此,应进一步提高金融市场透明度、完善宏观审慎监管机制,为实现金融体系的稳定创造有利条件。

Financial stress reflects the systemic risk conditions to which the entire financial system is subject.Therefore,constructing a financial stress index suitable for China is an important link to prevent and defuse financial risks.Based on the CRITIC method,we select eight representative variables from the three aspects of the foreign exchange market,the banking sector and the asset price bubble as the original indicators,and introduce dynamic weights to construct China's financial stress index.It is found that from 2007 to 2019,China's financial stress level experienced three stages of changes,showing cyclical characteristics.The identification index we have established shows that although China's financial system has experienced two high-risk periods,China's systemic risk is generally controllable.The Markov transformation model verifies the cyclical transformation characteristics of China's financial stress level,and the duration of high stress level is higher than that of low stress level.The results of fitting and forecasting the financial stress in China based on the ARMA model show that China's financial stress is still at a high level although it has a slow downward trend in the future.Therefore,we should further enhance the transparency of the financial market and improve the macro-prudential supervision mechanism to create favorable conditions for the stability of the financial system.