论建立中国金融危机预警系统

【作者】 唐旭； 张伟；

【机构】 中国人民银行研究生部； 中国人民银行研究生部教研处；

【摘要】 目前我国经济、金融基本层面比较健康,然而依然存在金融隐患。特别是加入WTO后,金融隐患如果显现化,将对我国经济、金融产生不可估量的损失。因此迫切需要采取措施,化解我国金融隐患。对此,一种较为理想的办法是建立符合我国国情的金融危机预警系统,预先度量金融隐患并采取相应措施,防患于未然。本文首先给出了金融危机预警系统的定义。然后通过比较分析,认为KLR信号分析法较FR概率模型和STV横界面回归模型更完善、操作性更强以及预警准确性更高,故笔者建议我国在建立金融危机预警系统时应该优先考虑采用KLR信号分析法。一个完整的金融危机预警系统应该由预警方法、指标体系、预警模型、制度安排以及信息管理系统等因素构成。根据KLR信号分析法的预警原理,本文针对货币危机、银行危机与股市崩溃各自特点,在比较前人研究成果的基础上,采用比较法和计数法分别为这三类危机分别挑选了十余个预警基本指标。此外,本文还分析了预警模型固有的局限性,指出可以通过良好的制度安排来克服预警模型的局限性,以提高预警准确性。更多还原

【Abstract】 Although China’s economy is basically sound, there still exists some financial hidden trouble. After China’s Entry to WTO, it is more urgent that measures should be taken to keep away financial crises. One way is to construct Early Warning System (EWS) for financial crises according to China’s economic and financial situations. The paper is organized as follows. Section 1 defines EWS for financial crises. Section 2 evaluates three econometric models for predicting financial crises that are FR Probit Model, STV Cross-Country Model and KLR Signals Approach. And KLR Signals Approach is better than the two other models. Accordingly, we suggest that we should adopt KLR Signals Approach. Section 3 indicates a whole EWS for financial crises composes methods, indicators, models and information management system and so on. Considering differences between currency crisis, banking crisis and stock collapse, we select respectively over 10 base indicators for them. Moreover, it indicates that early-warning models have their shortcomings and it is necessary to make rules and establish an organization in order to overcome the shortcomings of early-warning models.更多还原