金融危机的预警、传染与政策干预

Early Warning,Contagion and Policy Intervention of Financial Crisis

我国面临的许多金融风险带有'灰犀牛'的特征。为了避免在危机事件爆发后手忙脚乱、匆忙决策,监管层需要建立金融危机的预警和监测系统,充分理解金融风险的传染机制,并准备好应对危机事件的预案。本文是'金融危机的预警、传染和政策干预'课题的阶段性成果。首先,我们构建了一组以宏观指标为基础的金融危机预警模型,并开发了以高频数据为基础的,用于监测金融市场系统性风险的'中国金融压力指数'(中国CISS)。其次,我们从理论和实证模拟两个层面研究了金融风险传染机制,对我国的风险传染路径进行了沙盘推演,并用两种创新的方法来识别我国的系统重要性金融机构。最后,我们在梳理了国际上五次重大金融危机的经验教训和本课题沙盘推演模型的基础上,就如何准备应对系统性金融风险的干预政策提出了若干建议。

The'grey rhino'financial risks facing China may resurface,and some of the root causes of these risks are hard to eliminate in the near and medium term.It is thus necessary to consider early warning systems and indicators of financial risks,their contagion within the financial system,and intervention policies during crises.This paper is a summary of our study entitled'Financial Crises:Early Warning System,Financial Contagion and Policy Interventions'.Firstly,we present a set of crisis probability models based on macro indicators,and a composite financial stress indictor(China CISS)that can be used to monitor short-term changes in systemic risks in the financial markets.Secondly,we present a macro-financial stress test model that incorporates the key financial contagion channels in China.This model can be used to simulate the'spread'of bank failures.We also adopt two novel approaches to identify Systemically Important Financial Institutions in China.Finally,based on a case study of five major financial crises in the recent history and the simulation results of the macro stress test,we develop a number of proposals on policy intervention in response to financial crises.