我国逆周期缓冲资本锚定指标研究

Research on China’s Counter-Cyclical Buffer Capital Anchoring Index from the Perspective of Financial Cycle

本文基于季度GDP及月度金融指标等信息构建了马尔科夫区制转移动态因子模型以实现我国金融周期的混频测度,使用KLR信号提取法和ROC曲线法对指标的预警性能进行考察,进而选取适合我国逆周期缓冲资本监管锚定指标。研究表明:在高危临界值下,2002Q4、2004Q1、2007Q3、2008Q4和2009Q3是我国金融体系不稳定的时期;国债收益率利差、外汇储备和房地产价格能够捕捉金融系统潜在风险,具有较好的预警性能,可作为我国逆周期缓冲资本监管锚定指标使用;信贷、广义货币和股票价格指标可作为组合锚定指标使用。本文从金融周期角度提出的锚定指标,可为我国逆周期资本计提、金融风险预警和前瞻性政策制定等提供参考.

The financial cycle plays an important role in financial risk early warning and forward-looking policy formulation.Based on quarterly GDP and monthly financial indicators,this paper constructs a dynamic factor model of Markov zone system transfer to realize the mixing measurement of China’s financial cycle,uses KLR Signal extraction method and ROC curve method to inspect the early warning performance of indicators,and then selects an anchor indicator suitable for China’s counter cyclical buffer capital supervision.The research shows that under the high-risk threshold,2002 Q4,2004 Q1,2007 Q3,2008 Q4 and 2009 Q3 are the unstable periods of China’s financial system.Treasury bond yield spreads,foreign exchange reserves and real estate prices can capture the potential risks of the financial system and have good early warning performance.They can be used as anchor indicators for China’s countercyclical buffer capital regulation.Credit,broad money and stock price indicators can be used as portfolio anchor indicators.The paper puts forward more suitable anchor indicators from the perspective of financial cycle and provides reference for promoting the implementation of regulatory policies on counter cyclical capital accounting in China.