系统性金融风险预警指标重构及有效性研究——基于金融创新的视角

Research on Reconstruction and Effectiveness of Systematic Financial Risk Early Warning Indicators——From the Perspective of Financial Innovation

本文基于金融创新的视角从宏观经济金融环境、微观金融机构内部稳定性和国际金融环境三个方面构建涵盖金融科技等创新因素的系统性金融风险预警指标体系,采用PCA方法和动态logit模型等进行筛选、检验、信号还原和对比。结果显示:与不含有金融创新因素的预警指标体系相比,将金融创新因素纳入系统性金融风险预警指标中可以完全体现金融市场的现实状况,即重构后的指标是有效的,还原得到的预警信号拐点出现得更早且更高,说明更具前瞻性和警示性。

Based on the perspective of financial innovation,this paper constructs a systematic financial risk early warning indicator system covering innovative factors such as financial technology from three aspects of macroeconomic and financial environment,internal stability of micro financial institutions and international financial environment.PCA method and dy-namic logit model are used for screening,testing,signal restoration and comparison.The results show that:compared with the early-warning indicator system without financial innovation factors,the indicator system which incorporates financial innovation factors can fully reflect the reality of the financial market,that is,the reconstructed indicators are effective,and the inflction point of the restored early-warning signal appears earlier and higher,indicating that it is more forward-looking and warning.