金融巨灾风险与宏观金融不确定性Financial Catastrophic Risk and Macro-Financial Uncertainty
陈湘鹏,何碧清
摘要(Abstract)：
现有关于宏观层面系统性金融风险的研究存在以下不足:(1)未能从"宏观经济活动的预测能力"的角度检验指标的有效性;(2)未能进一步研究指标的经济含义。本文改进Allen et al.(2012)、Kelly and Jiang(2014)的思路构建得到中国市场的金融巨灾风险指标,并探讨了该指标的宏观经济预测能力及其经济意义。研究结果显示:(1)在控制信用利差、期限利差、市场组合收益率、货币供给增速、全社会消费增速等变量的条件下,金融巨灾风险指标对未来宏观经济活动具有显著的预测能力;(2)金融巨灾风险的横截面定价结果显示该指标表征的并非宏观市场风险而是宏观金融不确定性。
关键词(KeyWords)： 金融巨灾风险;宏观金融不确定性;宏观经济预测能力
基金项目(Foundation):
作者(Author): 陈湘鹏,何碧清
DOI: 10.16513/j.cnki.cje.2019.01.003
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- (1)截至2017年12月,我国非金融部门和非金融企业的杠杆率已迅速增长至255%和160%。
- (1)FCR的全称为financial catastrophic risk。
- (1)由于A股市场上金融企业数量少且上市较晚,直到2011年,已上市金融机构才超过50家。若仅以金融机构为样本,那么设定左尾5%或10%阈值计算VaR值就会面临样本数量较少的问题,同时考虑到房地产企业存在较强的金融属性,本文采用金融与房地产企业为样本。
- (1)对应于式(2),我们只需取x=r u,xm=1。
- (1)具体可参考Bali T G,Brown S J,Tang Y.(2015).Macroeconomic uncertainty and expected stock returns[R].Georgetown McDonough School of Business Research Paper,(2407279)。