纳入宏观经济因素的中国系统性金融风险预警研究——基于马尔科夫区制转移模型

Research on Early Warning of China’s Systemic Financial Risks Incorporating Macroeconomic Factors——Based on Markov Regime Switching Model

宏观经济冲击是金融体系不稳定并导致系统性金融风险积聚和爆发的重要诱因。为充分考虑宏观经济冲击对系统性金融风险的影响,本文从系统性风险成因出发,建立涵盖宏观经济、政策变化等外部因素和金融体系脆弱性、传染性等内部因素的系统性金融风险指标体系,运用主成分分析法分别合成了8项系统性风险维度指数,在此基础上以时变相关系数法构建2007年4月—2021年6月的系统性金融风险综合指数,并通过马尔科夫区制转移模型对系统性风险状态进行识别与预测。研究表明:(1)充分考虑内、外部因素的系统性金融风险综合指数能够较好地反映系统性风险的总体动态变化,各维度指数对于风险来源也具有较好的识别能力。(2)当前中国系统性金融风险总体处于中度风险状态,且在短期内保持这一状态的概率较大,这对于提早甄别和主动防范化解系统性金融风险具有重要作用。

Macroeconomic shocks are an important incentive for the instability of the financial system and the accumulation and outbreak of systemic financial risks.To fully consider the impact of macroeconomic shocks on systemic financial risks,this article starts from the causes of systemic risks and establishes a systemic financial risk indicator system that covers external factors such as macroeconomics and policy changes,and internal factors such as financial system fragility and contagion.Using the principal component analysis method to synthesize 8 systemic risk dimension indexes,on which,we adopt the time-varying correlation coefficient method to construct the systemic financial risk comprehensive index from April 2007 to June 2021,and pass Markov regime switching model identifies and predicts the systemic risk status.Research shows that:(1)The comprehensive index of systemic financial risks that fully considers internal and external factors can better reflect the overall dynamic changes of systemic risks,and each dimension index also has a good ability to identify risk sources.(2)Currently,China’s systemic financial risks are generally in a state of moderate risk,and the probability of maintaining this state in the short term is relatively high.This plays an important role in early identification and proactive prevention of systemic financial risks.