基于关键性风险因素的中国金融状况指标体系构建研究

文章从系统性风险冲击来源的角度拓展并构建了包含关键性风险因素的FCI，并以FCI作为同步指标构建了金融景气指标体系，包括金融一致指数、金融先行指数以及金融滞后指数，在此基础上对我国金融状况进行了预测分析。结果显示：关键性风险因素中，房价波动风险与银行业不良贷款风险惯性特征明显，但也受其他因素的冲击影响，需对其进行风险监控，去产能风险则受其他因素的影响显著，需辅以经济政策与调控措施来保证产能过剩行业的稳定；2018年中国经济增长面临较大不确定性，尽管中国金融状况长期向好的趋势性特征没有改变，但当前以及未来一段时间内中国均以较高的转移概率处于风险积聚区制，且存在着影响中国金融状况稳定的其他因素，应更多关注系统性风险的防控。

The Analysis and Forecast of China's FCI and Financial Prosperity Index System: In View of the Key-Risk Factors

Due to the shackles of traditional systemic risk definition, the existing research is not concerned enough about the key risk areas, and the key risk factors are also not considered enough, so that in the process of synthesizing FCI, there is no clear key risk area and key risk factors, and the existing research rarely has a systematic classification of the index system for the synthesis of FCI from the perspective of the risk source. From the perspective of systemic risk impacting source, this article expands and constructs the FCI, which includes key risk factors, and drawing lessons from the construction thought of macroeconomic climate index system, takes FCI as the synchronization indicator to construct financial prosperity index system, that consists of the financial consistency index, the financial leading index and the financial lagging index. In the process of describing the key risk factors, a IMS-AR model with infinite regime and time-varying characteristics is constructed and programmed. Besides, this paper uses K-L Distance to examine the main research issues surrounding FCI, that is the relationship among FCI and inflation, monetary policy, output, and so on, which is a useful supplement to existing research. Finally, we use rolling prediction method to predict the future 12 periods of FCI, to provide operational basis for the formulation and implementation of follow-up economic policies. The study found that, among the key risk factors, the inertial characteristic of the volatility of housing prices and the risk of bad loans in banks, that also affect by other factors, is obvious, which means risk monitoring should be carried out, but the risk of production capacity is significantly affected by other factors, so the economic policies and regulatory measures are needed to ensure the stability of the industry with excess capacity; China's Financial Supply-side Structural Reform has achieved initial results, and the financial structure has been optimized; through factor loading analysis, we find that the stock market is a barometer of the financial situation and is closely related to the financial leading index; The prediction shows that China's economic growth will face greater uncertainty in 2018, but it is important to note that China is in a risk accumulation system with higher transfer probability at present and for some time to come, and there are other factors that affect the stability of China's financial situation, so more attention should be paid to the prevention and control of systemic risk, although the characteristics of the positive long-term development trend have not changed; at present and in the near future, China is in the risk accumulation zone with higher transition probability, but there are other factors affecting the inertial characteristics of China's financial situation, attention should be paid to preventing and dealing with the possibility of conversion from risk accumulation area to risk release zone under unexpected impact. The robustness test results show that the synthesized FCI is effective and robust in identifying the historical evolution of China's financial situation and predicting future trend changes.