管理评论

›› 2019, Vol. 31 ›› Issue (4): 34-41.

• 经济与金融管理 • 上一篇    下一篇

考虑市场相关性的中国金融压力指数构建方法与实证

姚晓阳1, 孙晓蕾2,3, 李建平2,3   

  1. 1. 中国计量大学经济与管理学院, 杭州 310018;
    2. 中国科学院科技战略咨询研究院, 北京 100190;
    3. 中国科学院大学, 北京 100049
  • 收稿日期:2016-11-30 出版日期:2019-04-28 发布日期:2019-04-26
  • 作者简介:姚晓阳,中国计量大学经济与管理学院讲师,博士;孙晓蕾,中国科学院科技战略咨询研究院副研究员,博士;李建平,中国科学院科技战略咨询研究院研究员,博士生导师,博士。
  • 基金资助:

    国家自然科学基金项目（71425002；71373009；71133005）。

China Financial Stress Index under Correlations between Markets

Yao Xiaoyang1, Sun Xiaolei2,3, Li Jianping2,3   

  1. 1. College of Economics & Management, China Jiliang University, Hangzhou 310018;
    2. Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190;
    3. University of Chinese Academy of Sciences, Beijing 100049
  • Received:2016-11-30 Online:2019-04-28 Published:2019-04-26

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摘要：

金融系统处于高压力状态会影响其正常的资源配置功能，极端情况下可能引发金融危机。目前金融压力指数已经成为评估金融市场稳定性及货币政策效率的重要工具，但国内研究大多利用月度数据进行压力指数构建，时效性不足，无法为监管者或市场参与者提供及时有效的信息。本文从货币、债券、股票、外汇四个子市场选取11个日度市场指标分别构建子市场压力指数。在集成整体金融压力指数时，依据子市场压力对经济增长的影响确定子市场的"基础权重"，并进一步借鉴资产投资组合理论考虑子市场间的时变相关结构对整体压力指数的即时影响。通过中国金融市场典型事件验证了本文构建的金融压力指数的有效性，为进一步研究中国金融市场提供了理论和数据基础。

关键词: 金融压力, 相关性, 时变结构, 投资组合

Abstract:

High tension in the financial system will affect its resource allocation function and further lead to economic downturns. An extreme state of financial stress is the financial crisis. Financial stress index has become an important instrument and reference index to evaluate the efficiency of monetary policy and instability of the financial system. However, in the construction process of index, selection of indicators, data frequency and aggregation methods, there does not exist a unified standard. Financial stress index in existing studies is generally constructed based on monthly data, which leads to some limits in timeliness. As a result, it cannot provide enough immediate and effective information to assist the decision-making. Eleven daily indicators of money, bond, equity and exchange markets are chosen to construct financial stress index in China after investigating the existing literature. When aggregating these indicators, basic weights of four sub-markets are determined according to their influence on economy. Further, similar to portfolio theory, a time-varying correlation between different sub-markets is introduced to ensure time-varying characteristic of weight. Validity of the constructed index is verified through an analysis of stress events in the financial system of China, so this finding lays a foundation for further studies.

Key words: financial stress, high-frequency data, time-varying structure, portfolio theory