系统性金融风险再认识：演化、测量与检验*

经济理论与经济管理

系统性金融风险再认识：演化、测量与检验*

方芳,林海涛

中国人民大学经济学院

出版日期:2017-11-16 发布日期:2017-11-21
基金资助:
本文得到中国人民大学研究生科研基金项目“金融结构演进、系统性风险与宏观审慎监管体系优化”（16XNH052）的资助。

THE RETHINKING OF SYSTEMIC FINANCIAL RISK：EVOLUTION, MEASUREMENT AND TEST

FANG Fang,LIN Hai-tao

School of Economics, Renmin University of China

Online:2017-11-16 Published:2017-11-21

摘要/Abstract

摘要：

本文提供了系统性金融风险的演化机制，提出了优化后的系统性金融风险测量体系，并实证检验了测量体系的功能，旨在从理论和操作上为准确、全面地测量系统性金融风险提供新的认识。研究结果表明：在系统性金融风险演化过程中，资产价格与商品价格作为演化载体可以实时监测风险的大小，而国民经济各部门的杠杆率作为演化载体可以先行预测风险的大小。因而，从价格与杠杆率两个维度提出的测量体系，能够反映系统性金融风险的变化。在对测量体系实证检验后，监测指标识别出了金融系统压力较大的时期，预测指标识别出了国民经济杠杆率较高的时期，印证了价格型变量的监测功能与杠杆率型变量的预测功能。

关键词: 系统性金融风险 , 演化机制 , 监测指标 , 预测指标

Abstract:

This paper provides the evolution mechanism of systemic financial risk, puts forward the optimized systemic financial risk measurement system, and tests empirically the functioning of the measurement system, in order to provide new standpoints for accurate and comprehensive measurement of systemic financial risk in theory and operation. The results show that in the process of evolution of systemic financial risk, asset prices and commodity prices, as the evolution carrier, can realtime monitor the size of the risk. The leverage of national economic sectors, as the evolution carrier, can forecast the size of the risk in advance. Therefore, the optimized measurement system by two dimensions of price and leverage can reflect the changes of systemic financial risk. After the empirical test of measurement system, monitoring index system identifies the period of high financial system pressure, forecasting index system identifies the period of high of national economy leverage. As a result, the monitoring function of price variables and the forecasting function of leverage variables can be confirmed.

Key words: systemic financial risk , evolution mechanism , monitoring index , forecasting index

方芳,林海涛. 系统性金融风险再认识：演化、测量与检验*[J]. 经济理论与经济管理.

FANG Fang,LIN Hai-tao. THE RETHINKING OF SYSTEMIC FINANCIAL RISK：EVOLUTION, MEASUREMENT AND TEST[J]. Economic Theory and Business Management.

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