党印,苗子清,张涛

• 1:中国劳动关系学院
• 2:东方证券股份有限公司博士后工作站
• 3:中国社会科学院大学经济学院

摘要(Abstract)：

防范化解系统性金融风险是维护金融安全和经济安全的内在要求，关键要对风险进行准确度量和实时监测。本文运用混频动态因子模型，构建基于传统金融统计数据和网络搜索大数据的日度频率中国金融压力指数(FSI),度量并监测中国的系统性金融风险。研究表明：所构建的FSI能度量并监测中国系统性金融风险，指数的阶段性变化特征和区制状态识别结果与系统性金融风险的现实演进情况高度吻合；经济主体的预期不确定性和风险感知是金融压力的主要来源，并且金融压力有较强的持续性；引入大数据指标对FSI模型的估计具有明显改善作用，并能提高FSI对产出、通胀等宏观经济变量的预测效果；“高压力”区制下的FSI对月同比CPI增速的预测效果较好，“低压力”区制下的FSI对GDP增速的预测效果较好。监管部门未来需继续优化金融风险监测预警体系，提升监测能力，合理引导市场预期。

关键词(KeyWords)： 金融压力;实时监测;大数据;混频动态因子模型

Abstract:

Keywords:

基金项目(Foundation): 研究阐释党的十九届五中全会精神国家社科基金重大项目“中央银行的逻辑与现代中央银行制度的建设”(项目编号:21ZDA045)的阶段性成果

作者(Author): 党印,苗子清,张涛

DOI: 10.16513/j.cnki.cje.20220923.001

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• (1)货币市场、债券市场、资本市场、金融中介和外汇市场。
• (2)经济主体对预期损失的风险感知提高,在金融行为上会表现为追逐高质量和高流动性资产,将导致资产利差上升;经济主体对经济前景和资产基本价值预期的不确定性提高,将导致资产价格的波动率上升(Hakkio and Keeton,2009;Bloom,2009)。
• (3)主观选词法指根据研究者的经验进行主观判断确定关键词的方法;模型选词法包括百度搜索引擎的长尾关键词拓展法、需求图谱拓展法和网页链接搜索拓展法;参考文献法指参考借鉴经典文献确定关键词的方法。