我国债券市场系统性风险形成机理与测度研究

Research on the Mechanism and Measurement of Systemic Risk Formation in China's Bond Market

在剖析我国债券市场系统性风险产生机理的基础上,基于宏观审慎管理视角,从宏观经济风险、顺周期风险、价格风险、信用风险和流动性风险等五个层面选取指标,采用主成分分析法,测算了我国2018—2021年债券市场系统性风险水平。结果显示,我国债券市场系统性风险水平总体呈现上升趋势,根据局部变动特点,可细分为逐步上升、平滑震荡和急剧上涨三个阶段。下一步,应强化对相关指标的监测,摸清债券市场系统性风险来源,完善债券市场系统性风险测度和预警机制,适时、适度地采取措施,防范风险蔓延和传染。

Based on the analysis of the mechanism of systemic risk generation in China's bond market,the level of systemic risk in China's bond market from 2018 to 2021 is measured by selecting indicators from five levels,including macroeconomic risk,pro-cyclical risk,price risk,credit risk and liquidity risk,and using principal component analysis based on a macro-prudential management perspective.The results show that the overall level of systematic risk in China's bond market shows an upward trend,which can be subdivided into three stages:gradual rise,smooth shock and sharp rise according to the characteristics of local changes.In the next step,the monitoring of relevant indicators should be strengthened,the sources of systemic risk in the bond market should be identified,the systemic risk measurement and early warning mechanism in the bond market should be improved,and timely and appropriate measures should be taken to prevent the spread and contagion of risk.