| 基于金融压力指数的金融系统性风险测度及影响因素 |
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| 引用本文： | 胡宗义,刘砚伊. 基于金融压力指数的金融系统性风险测度及影响因素[J]. 财经理论与实践, 2017, 38(4): 28-31. DOI: 10.3969/j.issn.1003-7217.2017.04.005 |
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| 作者姓名： | 胡宗义 刘砚伊 |
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| 作者单位： | 1. 湖南大学 金融与统计学院,湖南 长沙,410079;2. 湖南大学 数学与计量经济学院,湖南 长沙,410082 |
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| 基金项目： | 教育部人文社会科学青年基金项目 |
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| 摘 要： | 基于CRITIC赋权法构建中国金融压力指数,以此衡量中国金融系统性风险,并对其影响因素进行分析.研究结果显示:样本期间内,中国金融压力指数呈阶段性变化特征,其中2007-2010年是中国金融压力指数最大时期.国内生产总值指数对中国金融压力指数产生负影响,抑制中国金融压力指数上升;银行信贷余额、信贷膨胀率等其它变量对中国金融压力指数产生显著正影响,促使中国金融压力指数的上升.
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| 关 键 词： | 金融压力指数 金融系统性风险 CRITIC赋权 风险测度 影响因素 |
Research of Systemic Financial Risk Measurement and Influencing Factors Based on Financial Pressure Index |
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| HU Zongyi,LIU Yanyi. Research of Systemic Financial Risk Measurement and Influencing Factors Based on Financial Pressure Index[J]. The Theory and Practice of Finance and Economics, 2017, 38(4): 28-31. DOI: 10.3969/j.issn.1003-7217.2017.04.005 |
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| Authors: | HU Zongyi LIU Yanyi |
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| Abstract: | Based on the method of CRITIC,this paper builds China''s financial pressure index to measure financial systemic risk,and then analyses its influencing factors.The results show that the change of financial pressure index has obvious periodicity,and the financial pressure index reaches a maximum during 2007 to 2010.The index of GDP has significant negative impact on financial pressure index,and is a main cause of restraining its rise.Other variables such as bank credit balances,credit expansion rate and others have a siginificant positive influence on financial pressure index,and promote the rise of financial pressure index. |
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| Keywords: | financial pressure index financial systemic risk CRITIC weighting method risk measure influencing factor |
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