我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)預(yù)警指標(biāo)體系構(gòu)建及實(shí)證研究.pdf

1、分類(lèi)號(hào)：F832.59 密級(jí)： UDC：336 學(xué)校代碼：11065 碩士學(xué)位論文 我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)預(yù)警指標(biāo)體系構(gòu)建及實(shí)證研究 我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)預(yù)警指標(biāo)體系構(gòu)建及實(shí)證研究 孫曉寧 指 導(dǎo) 教 師 劉喜華 教授 學(xué)科專(zhuān)業(yè)名稱(chēng) 金 融 學(xué)論文答辯日期 2016 年 5 月 28 日 Abstrac

2、t The financial crisis have occurred in many countries frequently since the 1990s. It has been deteriorating into the regional or global financial crisis with the development of economic globalization and financial liber

3、alization. Because of the contagion effects, the financial crisis made the national economy even the global downturn. The capital account in China will further open as the RMB had been put into the currency basket of SDR

4、. International capital flows, the complex environment of interest rate and the exchange rate increase the uncertainty of our country's economy. It is significant to build a set of effective early warning indicators

5、system of the systematic financial risk. First of all, the research status at home and abroad are reviewed, and the article expounds the modern theories of the financial crisis. Secondly, the article analyzes the contag

6、ion effect of the financial crisis. It treats the financial crisis in the United States as an example to research our country's financial crisis and its contagion effects. Then, this paper constructed early warning i

7、ndicators system of the systematic financial crisis from the respects of macroscopic, microscopic and foreign primary indicators system. Finally, based on the above research, the thesis constructs the systematic financia

8、l risk index in our country to measure and analyze the impending systematic financial risks in China. Based on the stationary test, seven warning indicators are selected into early warning indicators system by Granger ca

9、usality test. The article extracts two common factors from warning indicators by using factor analysis method to build systematic financial risk index and divide financial risk warning interval. The results show that two

10、 common factors can well reflect and measure the systematic financial risk in our country. The current our country systematic finance risk index is low, which is located in the low risk area. Finally, the thesis uses ARI

11、MA model to filter out the seven warning indicators to fit and predict, gets the predicted values of the warning indicators in the next three years, and it also estimates the systematic financial risk index in our countr

12、y in the next three years. Results show that the systematic overall financial risk will be in low level in the next three years, the systematic financial risk index declines in 2015, in contrary, the systematic financial

13、 risk index of 2016 and 2017 increase, but they all locate in the low risk areas because of they just have small rise, which are less likely to be a massive financial crisis. Key words: systematic financial risk；contagio