统计研究

本文选取2007年1月4日至2015年9月30日银行、股票、债券和外汇市场相关指标的日度数据,采用因子分析法首次构建了日度的中国金融压力指数(CFSI),该指数不仅可以准确测度我国金融系统的风险压力情况,为实时监测金融风险提供量化工具,还能用于研究金融压力对宏观经济的动态传导效应,为政策制定者有针对性地制定不同金融压力时期的宏观经济政策提供参考。通过对CFSI建立MS-VAR模型发现,我国金融压力有明显的两区制特征,样本区间内CFSI大多时间处于平稳下降区制,而处于上升区制的时间段则与国内外的一些重大金融压力事件相吻合,说明CFSI的走势能够准确地反映我国的金融压力情况。随后本文选取2007年1月至2015年9月CFSI、CPI、工业增加值增长率和银行间同业拆借利率的月度数据,首次建立TVP-VAR模型研究了CFSI对物价水平、经济增长和利率水平的动态传导效应。模型通过了稳定性检验,结果表明:(1)CFSI对物价水平的影响以负向为主,并且不同区制下的影响程度有所不同,CFSI在上升区制内对CPI负向影响的强度较高,在平稳下降区制内负向影响的强度较低。(2)CFSI在不同区制内对经济增长均有明显的负向影响,但影响程度有所不同,CFSI在上升区制内对经济增长负向影响的强度较高,在平稳下降区制内负向影响的强度较低。(3)CFSI在不同区制内对利率水平会产生不同的影响,CFSI在平稳下降区制内对利率会产生持续的正向影响,短期内影响较强,中长期内影响不断减弱;而在上升区制内,CFSI短期会对利率产生正向影响,中长期内则转变为持续的负向影响。

In this paper,indicators of bank,stock,bond and foreign exchange markets between January 4,2007 and September 30,2015 are selected to construct the daily China financial stress index( CFSI) for the first time using factor analysis method. The index not only can measure China's financial stress and provide a quantitative tool for real-time monitoring of the financial risk,but also can be used to explore the dynamic transmission effect of financial stress on macroeconomic,and provide reference for policy makers. By using the MS-VAR model,we find that China' s financial stress has two distinct regimes,most of the time CFSI was steady or decline,only when important financial stress events happened,CFSI was rising,so the trend of CFSIcan accurately reflect the situation of China's financial stress. Then this paper selects CFSI,CPI,industrial added value growth rate and SHIBOR in the monthly data from January 2007 to September 2015,establishes the TVP-VAR model to study the dynamic transmission effect of financial stress to the price level,the economic growth and the interest rate for the first time. Statistical test is adopted in the model and finds that:( 1) CFSI has a negative effect on the price level( CPI) in the most of time,and the degree of this negative effect is different,when CFSI was rising,this negative effect is stronger; when CFSI was steady or decline,this negative effect is weaker.( 2) CFSI has negative effect on the economic growth in both distinct regimes,when CFSI was rising,this negative effect is stronger; when CFSI was steady or decline,this negative effect is weaker.( 3)CFSI has different effects on interest rates,when CFSI was steady or decline,the financial stress has a positive impact on interest rates,short-term shocks strong,in the long term will continue to weaken; when CFSI was rising,the financial stress in the short term will have a positive effect on interest rates,long-term changes to negative.