【作者】 马守荣；

【导师】 许鹏；

【作者基本信息】 湖南大学 ， 应用经济学， 2014， 博士

【摘要】 宏观金融运行的稳健性是宏观经济金融运行的重要监测对象,宏观金融运行稳健与否关系到国家经济金融的健康平稳发展。宏观金融运行过程中的异常情况不断,特别是近些年来频发状况,如美国的次贷危机和欧洲的债务危机。这些现象表明,宏观金融运行中的异常情况有必要开展监测,以有效减少金融风险的累积,防范金融危机的爆发。第一,在对国内外宏观金融运行异常研究进行梳理的基础上,系统界定宏观金融运行的相关概念,分析金融机构部门内部、金融系统、金融机构部门与实体经济部门间的资金流动关系,分层次论述宏观金融运行功能的有效性,在此基础上定义金融运行异常的概念,并确定其统计标准、构建其基于资金流的金融运行异常统计监测框架体系。第二,对已有金融运行异常监测方法及测量模型进行全面比较,从金融机构部门和金融系统运行以及金融机构部门与实体经济部门运行的关联性3个方面初选金融运行异常统计监测指标,并利用结构方程模型对监测指标进一步筛选。第三,利用单指标和多指标异常点检测方法对金融机构部门运行的异常进行统计监测。选取反映流动性、信用违约、市场适应性和证券市场、保险市场、境内外资金融机构运行的指标,利用联合估计法对反映金融机构部门运行的单个指标时间序列数据进行单指标异常监测；在指标重新组合的基础上,利用主成分分析法进行多指标异常监测。测算结果显示：重大事件对金融机构部门运行的冲击而产生的异常种类有所差异,其中,存款性金融机构运行异常与监管改革具有耦合性,而非存款性金融机构运行异常与其自身业务有较强的关联性。此外,在各单独指标所反映因素的共同作用下,主成分分析法监测到的异常点与重大金融事件之间存在一定的对应关系,金融机构部门整体运行异常出现频率较存款性金融机构和非存款性金融机构更高。第四,将金融系统运行异常情况分为结构性异常和周期协动性异常两个方面,利用2002年1月至2013年10月的数据,分别采用联合估计法和谱分析法对此两方面进行监测。结果表明,基础货币结构变化主要与中央银行法定存款准备金率的变化密切相关,广义货币M2结构变化主要与银行的存款利率紧密相关,而国内信贷结构变化主要是受中央银行出台的货币政策影响。此外,基础货币与M2和国内信贷间均存在周期协动性,且表现在主周期上,这在一定程度上说明中国货币创造过程较为稳定,不存在周期协动性异常。第五,基于资金流对金融机构部门与实体经济的运行进行关联性异常监测,将其分为金融机构部门与实体经济各子部门间、总体间的关联性异常两个方面,分别研究两者间的关联性是否产生异常,并通过DCC-GARCH模型测算金融机构部门与实体经济各子部门间的动态相关系数、SDS模型测算金融机构部门与实体经济总体间的协调度,以此反映金融机构部门对实体经济服务功能的运行状况。结果显示,金融机构部门与实体经济各子部门之间的关联性异常出现较少,说明资金在金融机构部门与实体经济各子部门间的流动较为顺畅；但是从实体经济总体运行来看,金融机构部门与实体经济的关联性异常多于正常,这说明金融机构部门对实体经济部门的服务功能不具有协调可持续性。最后,分层次利用因子分析对中国宏观金融运行进行综合评价,并结合中国目前金融运行现状,提出监测金融机构部门和金融系统运行的政策调整建议,给出基于资金流的金融机构部门与实体经济运行关联性异常的相应对策,并对研究内容进行总结和展望。更多还原

【Abstract】 Robustness of macro financial operation is one of important monitoring objects of the macroeconomic and financial operations, and the macro financial robustness running is related to healthy and stable development of the national economy and finance. Macro financial operation process anomalies frequently break out, especially in recent years, such as the U.S. subprime mortgage crisis and the debt crisis in Europe. These phenomena show that it is necessary to monitor the abnormal situation of the macro financial operation, in order to effectively reduce the accumulation of financial risks and prevent the outbreak of the financial crisis.First, based on the extensive study on the abnormal situation of the financial operation in domestic and foreign, this paper systematically defines the concepts of financial operations, analyzes liquidity between financial internal institutions, financial systems, financial institutions sector and the real economy departments, and then discusses the effectiveness of macro financial operations functions, and finally defines the concept of financial operation abnormality, determines its statistical standards and builds financial operations abnormality statistical monitoring system framework based of fund flow.Second, this paper carries out a comprehensive comparison on the existing anomaly detection methods and measurement models, primarily financial operation anomalies statistical monitoring indicators from the three related aspects of financial institutions running, namely, financial systems running and financial institutions sector and the real economy departments running, and further screens indicators using structural equation model.Third, this paper uses single index and multi-index anomaly detection method to monitoring outliers in financial institutions operation, and selects the indicators, such as liquidity, credit default, market adaptability and securities markets, insurance markets, international financial institutions and other indicators to reflect the financial institutions operation, and uses joint estimation method to detect the outliers in a single time series of them. On the basis of recombination, this paper uses principal component analysis method to detect outliers in a multi-index time series. The results show that the types of influence of significant events on financial institutions operating differ significantly, in which the abnormal deposits of financial institutions and regulatory reform has coupling, and the abnormal deposits of financial institutions has a strong relationship to their own business. In addition, under the combined effect of factors reflected by the individual indicators, the anomalies detected by the principal component analysis have strong correspondence with significant financial events, and with the increasing anomalies of financial institutions, their overall operating frequency of outliers will become higher.Fourth, this paper distinguishes the structural abnormalities from the abnormalities of periodic consistency. Using data from January2002to October2013, the joint estimation methods and spectral analysis were used to monitor the above abnormalities. The results showed that the major structural changes in the monetary base is closely related to changes in the central bank’s statutory deposit reserve ratio, the major structural changes in broad money and bank deposit rates are closely related, and structural changes in domestic credit is mainly affected by the monetary policy of the central bank. In addition, both the existence and the monetary base and the cycle of domestic credit agreement between mobility, and reflected on the primary cycle, indicating that Chinese money creation process is more stable to a certain extent and there is no cycle co-movement abnormalities.Fifth, in this paper, the current study monitors the correlation abnormalities of macro-financial and the real economy based on capital flows. The correlation abnormalities will be divided into two aspects, one is between the financial institutions and sub-sector of the real economy, the other is the overall relevance of the real economy. This paper uses the DCC-GARCH model to estimate the dynamic correlation coefficient of the financial institutions and the sub-sectors of the real economy, and uses the SDS model to estimate the degree of coordination of financial institutions and the real economy. The results show that the association of financial institutions and the real economy sector is less abnormal, and it indicates that flow of funds between financial institutions and the sub-sectors of the real economy is smooth. But the association of financial institutions and the real economy is abnormal rather than normal, and it indicates that the sustainable service of financial institutions to the economy is not persistentFinally, based on the conclusion after the factor analysis, combined with China’s current status of financial operations, and make recommendations to monitor financial institutions and the financial system and the macro-financial operation based association of abnormal capital flow countermeasures, and summarize the current research and outlook.更多还原