金融壓力指數(shù)的構(gòu)建及其對實體經(jīng)濟的影響分析
發(fā)布時間：2018-08-26 12:28
【摘要】：上世紀90年代是一個危機頻發(fā)的時期,這些金融或經(jīng)濟危機給危機發(fā)生國家?guī)砹司薮蟮臑碾y,其中包括1998年的俄羅斯金融危機、1999年的巴西危機、阿根廷危機、2007年的美國次貸危機、最近發(fā)生的歐洲債務危機等全球性、區(qū)域性的金融危機無疑給當事國都帶來了嚴重的經(jīng)濟損失,也間接影響到我國的經(jīng)濟發(fā)展。維護金融系統(tǒng)穩(wěn)定、防患金融危機的發(fā)生,對于一國的經(jīng)濟安全具有重要意義,而正確地測度系統(tǒng)性金融風險則是基本前提。因此,國內(nèi)外學者越來越重視對系統(tǒng)性金融風險的定量研究。以國際貨幣基金組織為代表的眾多國際機構(gòu)和一些國家的監(jiān)管部門,圍繞金融體系的脆弱性這一重大問題,進行了深入的研究,并取得了一些成果。歐洲中央銀行的研究員在2014年的一篇研究報告中,利用面板向量自回歸及脈沖響應函數(shù)的方法,去估計實際產(chǎn)出,得出如下結(jié)論:銀行危機和債務危機是相關(guān)的,比較典型的是兩者都領先于貨幣危機,但是反過來卻不成立。從整體產(chǎn)出損失的角度來說,銀行危機是代價最大的危機。產(chǎn)出的恢復需要大約六年的時間。銀行危機的持久性較強。特別是,銀行危機自他發(fā)生以來在接下來的六個季度內(nèi)仍會持續(xù)的概率高達50%。銀行危機的平均累積損失在危機發(fā)生六年后達到了 GDP總量的6%。本文主要依據(jù)Kaminsky、Lizondo和Reinhart三人提出的信號分析法(1998)以及Mark Illing和Liu Ying(2003)提出的金融壓力概念及其構(gòu)造方法,結(jié)合我國金融體系和金融中介機構(gòu)現(xiàn)階段的情況,選擇變量,構(gòu)造我國的金融壓力指數(shù)(Financial Stress Index)。FSI的建立,為金融系統(tǒng)運行狀況提供了一個可以量化的指標,作為一個連續(xù)的變量,極端值的出現(xiàn)被稱為金融危機,FSI數(shù)值的變化可以刻畫壓力是在上升還是下降,還可以用來刻畫極端事件的持續(xù)時間。本文在參考現(xiàn)有的國內(nèi)外文獻的基礎上,對已有的金融壓力的測度方法及應用進行了梳理,鑒于數(shù)據(jù)可得性和連貫性,選擇2007年7月到2015年12月的月度數(shù)據(jù)進行分析,選取的指標來自銀行部門、股票市場、證券市場和外匯市場,采用三種不同的加權(quán)方法,合成中國的金融壓力指數(shù)。本文的結(jié)構(gòu)如下:第一部分是導言,主要闡述的是本文的寫作背景、國內(nèi)外文獻綜述、研究意義;第二部分為金融壓力指數(shù)的理論分析及計量方法介紹;第三部分是中國金融壓力指數(shù)的構(gòu)建,包括變量選取的依據(jù)、數(shù)據(jù)來源、數(shù)據(jù)處理方法、綜合指標FSI的構(gòu)造方法;第四部分是金融壓力對實體經(jīng)濟的影響分析,選擇物價、GDP增長率和制造業(yè)采購經(jīng)理人指數(shù)做為衡量宏觀經(jīng)濟形勢的變量,利用VAR模型的脈沖響應函數(shù)進行定量分析;第五部分是本文的結(jié)論、相關(guān)的政策建議,以及創(chuàng)新與不足。本文實證分析表明,2007年12月到2008年10月,受到美國次貸危機的影響,中國的系統(tǒng)性金融壓力處于較高值;2009年開始,金融壓力出現(xiàn)回落,但是隨著利率市場化改革進程的加速,從2013年6月起,金融壓力處于上升趨勢,銀行間拆借市場上"錢荒"現(xiàn)象的出現(xiàn),體現(xiàn)了銀行體系內(nèi)短期流動性緊張的問題。2015年以來,我國經(jīng)濟下行壓力比較明顯,鋼鐵、水泥等行業(yè)出現(xiàn)嚴重的產(chǎn)能過剩,需要政府以更大的力度去調(diào)整經(jīng)濟結(jié)構(gòu)。本文研究表明,銀行部門是我國金融壓力的主要來源,其次是股票市場,自2005年7月我國啟動匯率制度改革以來,外匯市場上的壓力也在不斷的增加,波動性也值得加以關(guān)注;選用物價、GDP增長率、制造業(yè)采購經(jīng)理人指數(shù)作為實體經(jīng)濟的代理變量,利用格蘭杰因果關(guān)系分析金融壓力與實體經(jīng)濟之間的因果關(guān)系,結(jié)果表明金融壓力是實體經(jīng)濟變化的格蘭杰原因,反之則不成立。并利用VAR模型的脈沖響應函數(shù),進行定量分析,結(jié)果表明,當金融壓力上升時,對實體經(jīng)濟的影響就會特別明顯,PMI的值在壓力上升后的第二個月變化量比較大,這種負沖擊一直持續(xù)到第五個月。當金融壓力上升時,GDP增長率在滯后第一個季度內(nèi)會迅速下降,滯后四個季度時達到最大值-0.43,隨著政策的調(diào)整,大約在三年后回到?jīng)_擊前的系統(tǒng)狀態(tài)。通貨膨脹在前兩期受到的沖擊最大,而且是正向的沖擊,在滯后一期即達到最大值0.13,分析表明,系統(tǒng)性金融壓力與通貨膨脹的近期相關(guān)性比較高,在通貨膨脹的短期預測中,是一個有用的工具。最后,針對目前中國的金融體系運行情況,提出了相應的政策建議。
[Abstract]:The 1990s was a period of frequent crises, and these financial or economic crises brought great disaster to countries in crisis, including the Russian financial crisis in 1998, the Brazilian crisis in 1999, the Argentine crisis, the American subprime mortgage crisis in 2007, the recent European debt crisis and other global and regional financial crisis. The crisis has undoubtedly brought serious economic losses to all the countries concerned, and indirectly affected the economic development of our country. It is of great significance for a country's economic security to maintain the stability of the financial system and prevent the occurrence of financial crises. Quantitative research on unified financial risks. Many international institutions represented by the International Monetary Fund and the regulatory authorities of some countries have conducted in-depth studies on the major issue of financial system vulnerability, and have achieved some results. Researchers at the European Central Bank used panels in a 2014 study Vector Autoregression and Impulse Response Function are used to estimate the actual output, and the following conclusions are drawn: the banking crisis and debt crisis are related, typically both are ahead of the monetary crisis, but the reverse is not true. About six years. The banking crisis is more persistent. In particular, the probability that the banking crisis will continue in the next six quarters since it happened is as high as 50%. The average cumulative losses from the banking crisis reached 6% of GDP six years after the crisis. This paper is based on the letters from Kaminsky, Lizondo and Reinhart. The concept of financial pressure and its construction method proposed by Mark Illing and Liu Ying (1998) and Mark Illing (2003) are combined with the current situation of China's financial system and financial intermediaries. Variables are selected to construct China's financial stress index. The establishment of FSI provides a measurable quantity for the operation of the financial system. As a continuous variable, the emergence of extreme value is called financial crisis. The change of FSI value can describe whether the pressure is rising or falling, and can also be used to describe the duration of extreme events. In view of the availability and consistency of the data, this paper selects the monthly data from July 2007 to December 2015 for analysis. The selected indicators come from the banking sector, the stock market, the securities market and the foreign exchange market. Three different weighting methods are used to synthesize China's financial pressure index. The second part is the theoretical analysis and measurement methods of financial stress index; the third part is the construction of China's financial stress index, including the basis of variable selection, data sources, data processing methods, comprehensive index FSI construction method; the fourth part is gold The impact of financial pressure on the real economy is analyzed by choosing price, GDP growth rate and purchasing managers index as variables to measure the macroeconomic situation, and using the impulse response function of VAR model to make quantitative analysis; the fifth part is the conclusion of this paper, relevant policy recommendations, and innovation and deficiencies. From December to October 2008, China's systemic financial pressure was at a high level because of the subprime mortgage crisis in the United States. Since 2009, financial pressure has fallen, but with the acceleration of the reform process of interest rate marketization, financial pressure has been on the rise since June 2013. The appearance of "money shortage" in the interbank lending market reflects the phenomenon. Short-term liquidity shortage in the banking system. Since 2015, China's economic downward pressure is more obvious, iron and steel, cement and other industries have serious overcapacity, the need for greater efforts to adjust the economic structure of the government. This study shows that the banking sector is the main source of financial pressure in China, followed by the stock market, since 2005. Since our country started the exchange rate system reform in July, the pressure in the foreign exchange market is also increasing, and the volatility is also worth paying attention to; choose price, GDP growth rate, Manufacturing Purchasing Managers Index as the proxy variables of the real economy, use Granger causality to analyze the causality between financial pressure and the real economy, the result table The results show that when the financial pressure rises, the impact on the real economy will be particularly obvious. The value of PMI changes greatly in the second month after the pressure rises, and this negative impact has been maintained. When financial pressures rise, GDP growth falls sharply in the first quarter, lagging by four quarters to a maximum of - 0.43. With the adjustment of policy, it returns to the pre-shock system in about three years. The analysis shows that systemic financial pressure is highly correlated with inflation in the near future, and it is a useful tool in the short-term forecast of inflation. Finally, according to the current operation of China's financial system, the corresponding policy recommendations are put forward.
【學位授予單位】：東北財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F832
[Abstract]:The 1990s was a period of frequent crises, and these financial or economic crises brought great disaster to countries in crisis, including the Russian financial crisis in 1998, the Brazilian crisis in 1999, the Argentine crisis, the American subprime mortgage crisis in 2007, the recent European debt crisis and other global and regional financial crisis. The crisis has undoubtedly brought serious economic losses to all the countries concerned, and indirectly affected the economic development of our country. It is of great significance for a country's economic security to maintain the stability of the financial system and prevent the occurrence of financial crises. Quantitative research on unified financial risks. Many international institutions represented by the International Monetary Fund and the regulatory authorities of some countries have conducted in-depth studies on the major issue of financial system vulnerability, and have achieved some results. Researchers at the European Central Bank used panels in a 2014 study Vector Autoregression and Impulse Response Function are used to estimate the actual output, and the following conclusions are drawn: the banking crisis and debt crisis are related, typically both are ahead of the monetary crisis, but the reverse is not true. About six years. The banking crisis is more persistent. In particular, the probability that the banking crisis will continue in the next six quarters since it happened is as high as 50%. The average cumulative losses from the banking crisis reached 6% of GDP six years after the crisis. This paper is based on the letters from Kaminsky, Lizondo and Reinhart. The concept of financial pressure and its construction method proposed by Mark Illing and Liu Ying (1998) and Mark Illing (2003) are combined with the current situation of China's financial system and financial intermediaries. Variables are selected to construct China's financial stress index. The establishment of FSI provides a measurable quantity for the operation of the financial system. As a continuous variable, the emergence of extreme value is called financial crisis. The change of FSI value can describe whether the pressure is rising or falling, and can also be used to describe the duration of extreme events. In view of the availability and consistency of the data, this paper selects the monthly data from July 2007 to December 2015 for analysis. The selected indicators come from the banking sector, the stock market, the securities market and the foreign exchange market. Three different weighting methods are used to synthesize China's financial pressure index. The second part is the theoretical analysis and measurement methods of financial stress index; the third part is the construction of China's financial stress index, including the basis of variable selection, data sources, data processing methods, comprehensive index FSI construction method; the fourth part is gold The impact of financial pressure on the real economy is analyzed by choosing price, GDP growth rate and purchasing managers index as variables to measure the macroeconomic situation, and using the impulse response function of VAR model to make quantitative analysis; the fifth part is the conclusion of this paper, relevant policy recommendations, and innovation and deficiencies. From December to October 2008, China's systemic financial pressure was at a high level because of the subprime mortgage crisis in the United States. Since 2009, financial pressure has fallen, but with the acceleration of the reform process of interest rate marketization, financial pressure has been on the rise since June 2013. The appearance of "money shortage" in the interbank lending market reflects the phenomenon. Short-term liquidity shortage in the banking system. Since 2015, China's economic downward pressure is more obvious, iron and steel, cement and other industries have serious overcapacity, the need for greater efforts to adjust the economic structure of the government. This study shows that the banking sector is the main source of financial pressure in China, followed by the stock market, since 2005. Since our country started the exchange rate system reform in July, the pressure in the foreign exchange market is also increasing, and the volatility is also worth paying attention to; choose price, GDP growth rate, Manufacturing Purchasing Managers Index as the proxy variables of the real economy, use Granger causality to analyze the causality between financial pressure and the real economy, the result table The results show that when the financial pressure rises, the impact on the real economy will be particularly obvious. The value of PMI changes greatly in the second month after the pressure rises, and this negative impact has been maintained. When financial pressures rise, GDP growth falls sharply in the first quarter, lagging by four quarters to a maximum of - 0.43. With the adjustment of policy, it returns to the pre-shock system in about three years. The analysis shows that systemic financial pressure is highly correlated with inflation in the near future, and it is a useful tool in the short-term forecast of inflation. Finally, according to the current operation of China's financial system, the corresponding policy recommendations are put forward.
【學位授予單位】：東北財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F832
【參考文獻】
相關(guān)期刊論文 前9條
1 劉瑞興;;金融壓力對中國實體經(jīng)濟沖擊研究[J];數(shù)量經(jīng)濟技術(shù)經(jīng)濟研究;2015年06期
2 許滌龍;陳雙蓮;;基于金融壓力指數(shù)的系統(tǒng)性金融風險測度研究[J];經(jīng)濟學動態(tài);2015年04期
3 欒惠德;侯曉霞;;中國實時金融狀況指數(shù)的構(gòu)建[J];數(shù)量經(jīng)濟技術(shù)經(jīng)濟研究;2015年04期
4 鄭桂環(huán);徐紅芬;劉小輝;;金融壓力指數(shù)的構(gòu)建及應用[J];金融發(fā)展評論;2014年08期
5 陳守東;易曉n，
本文編號：2204872
本文鏈接：http://www.sikaile.net/jingjilunwen/jiliangjingjilunwen/2204872.html
最近更新
教材專著
