金融市场系统性风险的动态测度与演化分析--基于时效性视角

Dynamic Measurement and Evolution Analysis of Systemic Risk in Financial Markets in China:A "Timeliness" Perspective

为及时、有效地准确测度金融市场系统性风险,有针对性地做出风险防控决策,从时效性视角,根据金融压力转移状态建立时变参数状态空间模型,研究中国金融市场系统性风险的动态演化及其现状。研究发现,相近时间点间的金融压力转移状态为递归形式,基于此结果的风险测度方法具有良好的"时效性"与风险信息提取能力;近几年,我国金融市场的系统性风险水平明显上升,振幅略有增强,自2013年以来,风险波动主要来源于债券市场、股票市场和外汇市场,银行市场和房地产市场则一直较为稳定。因此,金融监管部门在未来的工作中应更加注重对债券市场、股票市场和外汇市场的风险防控。

In order to measure the systemic risk of the financial market in a timely and effective manner and make targeted decisions on risk prevention and control,a time-varying parameter state space model was established from the perspective of "timeliness".The state of financial stress transfer,and the dynamic evolution and status quo of the systemic risk in China’s financial market were studied.The study found that the financial pressure transfer state between similar time points was in a recursive form,and the risk measurement method based on this result had good "timeliness" and the ability to extract risk information.In recent years,the level of systemic risk in China’s financial market has increased significantly with a slight increase in amplitude.Since 2013,risk fluctuations have mainly come from the bond market,the stock market and the foreign exchange market,while the banking market and the real estate market have been relatively stable.Therefore,financial regulators should pay more attention to risk prevention and control of bond market,stock market and foreign exchange market in the future.