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本文依据有代表性的金融指标的结构化特点,构建具有时效性的金融压力指数以识别中国金融体系的压力,运用马尔可夫区制转移模型(MS-VAR)研究中国金融体系压力的区制特征,并利用Granger线性与非线性因果关系检验验证了金融压力与工业增加值的增长关系。研究表明,2008年以来,中国金融压力较高;2010年一季度后金融压力有所降低但是波动较大;金融压力指数对工业增加值有显著地线性和非线性Granger影响;对金融压力指数进行预测的结果表明,中国金融系统压力在2011年下半年以后处于低压力区制的高位置波动,并有转向高压力区制的趋势,金融系统表现为不稳定。
Based on the structural characteristics of representative financial indicators, this paper constructs a time-sensitive financial stress index to identify the pressure on China’s financial system and uses the Markov Regime Transfer Model (MS-VAR) to study the pressure regime in China’s financial system Characteristics, and use Granger linear and non-linear causality test to verify the growth of financial growth and industrial added value. The research shows that China’s financial pressure has been relatively high since 2008; the financial pressure has been reduced but fluctuated greatly after the first quarter of 2010; the financial stress index has a significant linear and nonlinear Granger effect on the industrial added value; the financial stress index has been conducted The forecast results show that the pressure on the financial system in China is in a high position in the low-pressure zone after the second half of 2011 and has shifted to the high-pressure zone. The financial system has shown instability.