中国金融系统脆弱性指数的构建与区制状态分析

The Financial System Vulnerability Index Construction and Regimes Analysis in China

本文首先构建了中国金融系统脆弱性指标体系并采用因子分析法对金融系统脆弱性指数进行趋势分析,然后利用马尔可夫区制转换模型对其进行区制状态分析,从而识别出金融系统脆弱性状态的变化。实证结果表明,在样本研究区间内中国金融系统脆弱性整体呈现上升趋势且波动幅度较大,但在2014年以后,脆弱性指数有所回落且处于可控范围内;中国在"低脆弱性"区制的时间要少于"高脆弱性"区制的时间,且向"高脆弱性"区制转移的概率较高,金融体系容易产生脆弱性集聚的风险。因此,中国需要将以前粗放式的金融增长转变为注重质量和效率的高效金融增长,完善金融机构风险控制和风险指标体系,加大对金融产品、组织和制度的监管力度。

This paper firstly constructs the financial system vulnerability index system and analyzes the trend of the financial system vulnerability index by factor analysis method. Then, using Markov Zone System Conversion Model to conduct detailed and specific regime analysis to identify changes in the state of financial system vulnerability. The empirical results show that the overall vulnerability of China’s financial system presents an upward trend and a large fluctuation in the sample study interval but after 14 years, the vulnerability index declines and is under control. China spends less time in the system of "low vulnerability" than in the system of "high vulnerability" and the probability of transferring to the system of "high vulnerability" is high, so the financial system is easy to generate the risk of vulnerability aggregation. The conclusion of this paper has important policy implications for preventing and resolving systemic financial risks and maintaining macroeconomic stability in China.