宏观经济压力对系统性金融风险的冲击研究

Research on the Impact of Macroeconomic Pressure on Systemic Financial Risk

本文以中国2003年10月-2016年9月的数据为样本构建了金融压力指数(FSI)用以衡量系统性金融风险,并采用自回归模型研究了宏观经济压力对系统性金融风险的影响。研究结果表明,各金融子市场的风险变化存在有一定的趋同性。单一市场的突然性波动会导致系统性金融风险上升。此外,宏观经济压力对系统性金融风险存在正向的促进作用,这会增大系统性金融风险发生的可能性。本文认为,系统性金融风险的发生与宏观经济的表现高度相关,而宏观经济运行取决于经济主体的预期。因此,政策层面应对市场预期进行有效管理,防止宏观层面出现过度波动。同时,应合理确定政府监管边界并加强部门协调,防止由于监管空转导致风险扩张。

This paper takes China's data as the study sample to build a financial pressure index( FSI). At the same time,using the model of auto regression to study the influence of macroeconomic fluctuation on the systemic financial risk. The results show that there is a certain convergence of risk in the financial markets. Sudden fluctuations in a single market can lead to a rise in the probability of systemic financial risk. According to the results of the autoregressive model,the macroeconomic volatility has a positive effect on the systematic financial risk,which will increase the possibility of systemic financial risk. This paper argues that the occurrence of systemic financial risk is highly related to the performance of the macro economy. Therefore,the policy should manage the market expectations effectively in order to prevent excessive fluctuations. The government should reasonably determine the regulatory boundaries,and to strengthen the coordination and supervision to prevent the risk of idle expansion.