中国宏观金融稳定性指标体系研究

[]2009-08-25[]2006年人文社会科学重点研究基地重大项目转型时期中国金融体系稳定性研究(06JJD790001);中国博士后科学基金资助项目(20080440263)[]霍德明(1955-),男,台湾人,北京大学中国经济研究中心教授,研究方向是宏观经济学;刘思甸(1982-),男,四川眉山人,北京大学中国经济研究中心博士研究生,研究方向是宏观经济学中国宏观金融稳定性指标体系研究霍德明,刘思甸(北京大学中国经济研究中心,北京100871)[]选取20个有代表性的宏观金融指标构成中国的宏观金融稳定性指标体系,利用主成分分析方法分别对中国的数据进行了研究,构建了中国宏观金融稳定指数MSI(Macro-financialStabilityIndex)实证结果表明,指数表现与中国的金融运行情况有很高的匹配度[]宏观金融稳定性;主成分分析;宏观金融稳定指数[]F833.59;F037.1[]A[]1007-9556(2009)10-0015-07OnMacro-FinanceStabilityIndexConstructionforChinaHUODe-ming,LIUSi-dian(ChinaCenterforEconomicResearch,PekingUniversity,Beijing100871,China)Abstract:Ithasbeendifficulttomeasuretheriskofmacrofinance.Thispapersetsupasystemofmacro-financialstabilityindicatorscomposedof20macro-financialvariables.Thenamacro-financialstabilityindexforChinaisconstructedwithprincipalcomponentanalysis.Theindexisthensetagainsteconomicfactstoshowthatitmatchestherealitywell.KeyWords:Macro-financialStabilityAssessment;PrincipalComponentAnalysis;Macro-financialStabilityIndex,,,,(financialdisturbance)(stability:thestrengthtostandorendure,),,,,,,,FrankelRose(1996)probitmodel1051971~1992,(25%,10%)BergPattillo(1999),,,:,,,!15!2009103110山西财经大学学报JournalofShanXiFinanceandEconomicsUniversityOct.,2009Vol.31No.10;,;,,,,,,Kaminsky(1998)KaminskyReinhart(1999),(2002)(2005),,,,,,,,,,,,,,,,,IMFKaminsky(19981999),20,1985~200619872006,MSI(Macro-financialStabilityIndex),MSI,MSI,,,,,,,,,,,,,,,,,,∀,,,,,,,,(),X=(X1#Xp)∃p,,=E(X),%=Var(X):Y1=L1∃X=l11X1+#+Lp1XpYp=Lp∃X=l1pX1+#+LppXp(1),Var(Yi)=Li∃%Li,Cov(Yi,Yj)=Li∃%Lj,,i,j=1,2,#pY1X,Y1,L1,,L1∃L1=1YiX,Y1,#,Yi-1,Cov(Yi,Yj)=0(j=1,#,i-1),LiLi∃Li=1,Var(Yi)%12#p0,a1,a2,#,ap(),XiYi=ai∃X(i=1,#,p),Var(Yi)=i!16!2009103110山西财经大学学报JournalofShanXiFinanceandEconomicsUniversityOct.,2009Vol.31No.10A=(a1#ap),=diag(1,2,#,p),Y=(Y1#Yp),A,Y=A∃X,Var(Y)=,%1pi=%1p!ii,!ii%YkXi∀(Yk,Xi)(FactorLoading),,∀(Yk,Xi)=kaik!ii,k,i=1,#,p,%i=1p!ii∀2(Yk,Xi)=k,%pk=1∀2(Yk,Xi)=%pk=1kaik2!ii=1,YiXk%pi=1iYk,%mi=11%pi=1iY1,#,Ym,m65%~85%:,;,,,,,,,,,IMF,Kaminsky(1998)KaminskyReinhart(1999)16IMFKaminsky,20,11REERKaminsky&IMF2OUTPUT(1978=100)Kaminsky&IMF3CREDITKaminsky&IMF4RESKaminsky&IMF5M2+Kaminsky&IMF6RDEPRAT=-CPIKaminsky&IMF7TERTRAKaminsky&IMF8GDP1995Kaminsky&IMF9CGLOANIMF10RLOANGROIMF11GDPGIMF12FDGROIMF13CPIIMF14FCAPIMF15RIDIFF,Kaminsky16IMPKaminsky17EXPKaminsky18RESERMOKaminsky19DEPRKaminsky20LENRKaminsky(IFS,InternationalFinancialStatistics)&∋(EIU,EconomistIntelligenceUnit)&55∋&∋,19852006,19872006,,,,(,19852006,20,22,20,2,20!17!2009103110山西财经大学学报JournalofShanXiFinanceandEconomicsUniversityOct.,2009Vol.31No.10,12,,,,I(1),8))),,,I(0),2REERI(1)RESERMOI(2)CREDITI(2)CGLOANI(2)M2+I(2)RDEPRAT-CPI)I(1)FCAPI(1)RIDIFF,)I(0)GDP1995I(1)OUTPUT(1978=100)I(1)RLOANGRO)I(0)GDPG)I(0)FDGRO)I(0)RESI(1)IMPI(1)EXPI(1)TERTRAI(1)DEPR)I(0)LENR)I(0)CPI)I(0)19872006,,15,80,,,,CensusX12,MSI,,,,MSI,MSI,2012,8SPSS14.020,,2020,33619.94049.70049.70023.73918.69468.39432.03010.14878.54241.5007.50086.04250.8984.49090.53160.7113.55794.088H.Kaiser1(ScreeTest),65%,,68.394%,49.7%,18.694%,,,,,4SPSS14.0!18!2009103110山西财经大学学报JournalofShanXiFinanceandEconomicsUniversityOct.,2009Vol.31No.104:,M2,1995,,,49.7%;,CPI,,18.694%412REER0.2070.294RESMON0.8140.369CREDIT0.8960.025CGLOAN0.206-0.410M2+0.9650.150EXP0.8990.266IMP0.9030.210INV0.9270.300GDP19950.9630.200RES0.8950.257TRA-0.2790.382OUTPUT(1978=100)0.9530.270RRATE=-CPI0.307-0.866RIDIFF,-0.4880.755FDG-0.308-0.151CPI-0.5770.794RLOANG-0.482-0.057GDPG0.1500.506DRATE-0.8130.501LRATE-0.7560.546,,(1))))M219959,565:18.11590.16290.16220.4264.72994.8916:RESMON0.902CREDIT0.879M20.978EXP0.955IMP0.929INV0.979GDP0.981RES0.955OUTPUT0.982(2))))CPI,787:12.87295.72095.72020.0762.54398.2638:RRATE0.980RIDIFF0.981CPI0.974,,,(Scores),∗,20,,)))MSI(Macro-financialStabilityindex)=(49.7*+18.694*)68.394,!19!2009103110山西财经大学学报JournalofShanXiFinanceandEconomicsUniversityOct.,2009Vol.31No.10MSI,2,1MSI2MSIMSIMSIMSI,1986200621,,2002,19871989,19931994,2002,MSIMSI,2004,2005,,,1987,MSI,19871989,,,,GDP53%19871983174%,1988,,198818.5%,,198919901992,,,,,,,,;,,,,,,1994,,,,,3,1996,,,,2003,,,,,2004,2005,,2006,MSI,,2007,2008,,19971998,,:19931994,,,,,,;,,,,,,!20!2009103110山西财经大学学报JournalofShanXiFinanceandEconomicsUniversityOct.,2009Vol.31No.10,,IMFKaminsky,20,201985200619872006,(MSI),,,198819891993199420032006,2006,2007,,:∀,,,,,(:(1)CPI,,IFS;(2)IFS,10;(3)IFS,10;(4)IFS,10;(5)IFS,10,;(6)IFS,10;(7)IFS,;(8)IFS,;(9)1995IFS,10;(10)&55∋,10,CEIC,10;(11)&∋,,;(12)IFS,1978100;(13)IFS,;(14),IFS;(15)&∋,CPI,,CEIC,;(16)CPI1987&55∋,,1987IFS,IFS;(17)&55∋,20052006,CPI,,CEIC,;(18)&∋,;(19)IFS,;(20)IFS,∗,,,,XiYj:∀(Xi,Yj)=aijj!ii,aijaji,!ii=1,,,[][1],.:[J].,2005,(1).[2].(1991~2000):[J].,2002,(5).[3]BergA,CPattillo.AreCurrencyCrisesPredictable?ATest[J].IMFStaffPapers,1999,46:107-138.[4]FrankelJA,AKRose.CurrencyCrashesinEmergingMarkets:AnEmpiricalTreatment[J].JournalofInternationalEconomics,1996,41:351-366.[5]KaminskyGL,SLizondo,CMReinhart.LeadingIndicatorsofCurrencyCrises[J].IMFStaffPapers,1998,45:1-48.[6]KaminskyGL,CMReinhart.TheTwinCrises:TheCausesofBankingandBalance-of-PaymentsProblems[J].T