【摘要】 立足于国际金融危机传染渠道的新视角,构建具有实时性、针对性和国际视野的金融风险预警指标体系,并从外汇市场、银行业以及股票市场三个维度合成符合我国国情的金融压力指数。基于马尔科夫区制转移模型的中国金融风险预警的实证表明,M2/G-DP增长率、股市波动率和外贸依存度与当前我国金融风险呈正向关系;股市收益率和外汇储备/GDP则与金融风险成反向关系;我国金融风险主要来源于应对危机时过度宽松的货币政策、股票市场及其监管体系的不完善。预测显示,2014~2015年我国将处于低金融风险状态。更多还原

【Abstract】 Based on the new perspective of transmission channels of global financial crisis,this paper builds an early- warning system of financial risk,and synthesizes the financial pressure index which suited to China’s national conditions in three levels-the foreign exchange market,the banking sector and the stock market.Based on the Markov regime- switching model which is used to describe the changes of financial risk and forecast the financial risk,the results indicate that M2/GDP growth rate,stock volatility and the degree of dependence on foreign trade have positive relationship with China’s financial risk;while stock yields and foreign exchange reserves/GDP have negative relationship with the financial risk;the main source of financial risk in China is excessively loose monetary policy which was used to deal with the crisis,and the imperfection of stock market and its supervision system;we predict that China will be in a state of low financial risk in 2014 ~2015.更多还原