中国宏观审慎监管预警指标选取及模型构建——基于对国外指标的比较和实证检验

2011年9月国际货币基金组织提议各国构建宏观审慎监管预警系统。在此背景下,本文对中国宏观审慎监管预警指标的选取和模型构建进行了研究。本文首先对亚洲开发银行、欧洲中央银行、国际货币基金组织提出的宏观审慎监管预警指标集进行比较分析,并通过实证检验得出对国外金融危机起到良好预警作用的指标在中国的适用性进行考察。在此基础上,本文选取中国经济体系中反映银行业内部、外部各方面风险来源的指标作为预警指标集,建立线性概率模型,用历史数据进行实证检验,并采用脉冲响应函数对宏观审慎监管指标集中的指标传导机制进行了分析,提出了建立中国监管当局宏观审慎监管预警模型的基本设想。

The Choice of Indicators and Buildup of Chinese Macro - prudential Forecasting Model——Based on Comparisons of Foreign Indicator Sets and Empirical Test

IMF made a suggestion on building a set of robust systemic risk indicators for macro - prudential supervision. Under this background,this essay makes a research on the choice of the indicators and building of a forecasting model. The essay begins with making comparison between the indicator sets forwarded by ADB,ECU and IMF.With the approach of Granger Casualty Test,the essay reaches the conclusion that the existed indicator sets could not fit with Chinese financial market.Then the essay chooses the forecasting indicators and build a linear probability model which could highly explain Chinese financial system crisis in the empirical test.Besides,the essay uses the impulse response function in explaining the mechanism of how these indicators work.In the end,the essay sheds light upon how China should build up its macro - prudential systemic risk forecasting model.