系统性金融风险指标的比较分析——基于实体经济风险预测的视角

Comparison analysis of systemic risk measures——A study based on real economic risk forecasting

本文归纳总结了常见的四大类系统性金融风险指标,从实体经济风险预测的视角,使用分位数回归模型和自助式(Bootstrap)分位数t检验方法,结合样本外分位数拟合优度,以"是否对未来实体经济风险具有放大效应"和"是否对实体经济风险具有预测能力"两个方面对上述指标进行了比较分析.研究结果发现:首先,反映机构个体风险,波动性和不稳定性,以及流动性和信贷情况的指标均对未来实体经济下行风险具有放大效应,即系统性金融风险的升高会显著增加未来实体经济的下行风险;其次,在短期,反映机构个体风险和流动性的指标能够很好地预测未来实体经济风险,而代表金融市场波动率水平的指标则在中期和长期有着较好的预测效果.最后,结合中国具体国情,本文也对进一步完善我国宏观经济风险防范体系提出了若干建议.

This paper summarizes four kinds of systemic risk indicators.Based on the perspective of real economic risk prediction,we use quantile regression model and Bootstrap quantile t test method,combined with the out-of-sample quantile forecast R square,to compare and analyze the above indicators in terms of"whether it has the amplification effects on real economic risk"and"whether it has the prediction ability of real economic risk".The results show that:First,the indicators reflecting the individual risk of institutions,volatility and instability,as well as liquidity and credit conditions have the amplification effects on the downside risk of the real economy in the future,that is,the increased of systemic risk will lead to the amplification of future real economic downturn risk;Secondly,in the short term,the indicators reflecting the individual risk of institutions and liquidity can effectively predict the future real economic risk,while the indicators representing the level of financial market volatility have good prediction ability in the medium and long term.Finally,we also put forward some suggestions for improving China’s macroeconomic risk prevention system.