人民币国际化背景下的中国宏观金融风险测度

China’s Macro-Financial Risk Measurement under the Background of RMB Internationalization

中国宏观金融不稳定事件时有发生,人民币国际化进程也给中国宏观金融带来新的挑战。文章选取银行业、股票市场、债券市场、外汇市场和房地产市场等部门相关指标,采用主成分分析法测度表征宏观金融风险的金融压力指数。同时,依据人民币国际化进程中的宏观金融风险来源,测算宏观经济政策风险、经常账户失衡风险、资产价格波动风险、资本流动风险以及货币替代风险等五大子系统宏观金融压力指数。结果表明,中国金融压力指数及子系统压力指数的变动与国内外金融事件密切相关,具有良好的宏观金融风险识别功能。

Events leading to macro-financial instability have often occurred in China, and the process of RMB internationalization has also brought new challenges to China’s macro finance. This paper selects related variables from banking, stock market,bond market, foreign exchange market and real estate market, and uses principal component analysis method to construct the financial stress index. Furthermore, based on the sources of macro-financial risk in the process of RMB internationalization, this paper calculates macro-financial stress indices of five subsystems, which include macroeconomic policy risk, current account imbalance risk, asset price fluctuation risk, capital flow risk related to capital account opening, and currency substitution risk. The results show that China’s financial stress index and subsystem stress indices are closely related to domestic and foreign financial events, and can identify China’s macro-financial risks effectively.