我国系统性金融风险监测与度量研究——基于ESRB-CISS研究方法

Research on Systemic Financial Risk Monitoring and Measurement in China:Based on ESRB-CISS Research Method

系统性金融风险应被视为由金融体系内部风险累积、内外风险冲击联动共振所引起的局部金融机构破产倒闭事件,在金融体系内部和宏观经济体制内渗透和传染,最终因金融系统部分或全部功能受损、金融服务中断而导致实体经济遭受巨大损失的风险。中国系统性金融风险主要分为金融杠杆率和流动性风险、影子银行风险、房地产市场风险、债务风险和外部冲击风险。基于中国目前金融发展水平现状,借鉴ESRB-CISS研究方法对中国系统性金融风险进行监测,并构建中国系统性风险综合指数(CSFRI)。通过对2007年至2017年十年数据的统计运算,研究发现中国系统性金融风险总体可控、水平较低,基本在0.3水平线以下,但仍存在风险缓慢上升的趋势,因此需要时刻保持警惕,牢牢守住不发生系统性金融风险的底线。

Based on the research need,this paper defines the systemic financial risk from a comprehensive perspective:the collapse of local financial institutions caused by the internal risk accumulation in the financial system and the internal and external risk shocks,and then within the financial system and within the macroeconomic system.Infiltration and contagion ultimately result in a substantial loss of the real economy due to the impairment of some or all functions of the financial system and the interruption of financial services.Chinas systematic financial risk is mainly divided into financial leverage ratios and liquidity risk,shadow banking risk,real estate market risk,debt risk,and external shock risk.According to the current status of Chinas financial development,the ESRB-CISS research method is used to monitor China's systemic financial risk,and to construct the China's systemic financial risk index(CSFRI).Based on the statistical calculation of ten years'data from 2007 to 2017,it is found that Chinas systemic financial risk is generally controllable and of a low level,below 0.3 on the whole,but the risk is still on a slow rise.Therefore,it is necessary to stay vigilant at all times and resolutely guard against systemic financial risks.