未定权益分析方法与中国宏观金融风险的测度与研究
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| Title | Measuring and Analyzing China’s Macro-Financial Risk with CCA Approach
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| 作者 | 宫晓琳 |
| Author | Gong Xiaolin |
| 作者单位 | 山东大学经济学院 |
| Organization | Shandong University |
| 作者Email | gcaelyn@gmail.com |
| 中文关键词 | 宏观金融风险 系统性金融风险 系统风险 CCA方法 宏观金融资产负债 |
| Key Words | Contingent Claims Analysis; Systemic Risk; Macro-financial Risk; Flow of Funds Accounts; Risk Transmission. |
| 内容提要 | 本文利用未定权益分析方法（CCA），在汇集、处理与整合编制多方数据的基础上，通过建立国民经济机构部门 层面的风险财务报表，测度了2000—2008年我国的宏观金融风险，并直观展示和分析了该期间国民经济各机构部门风险敞口的动态演变情况。本文在我国特殊的数据背景下、基于我国金融市场发展的现状，探索了测度和监控我国系统性金融风险的具体理论与方法。 |
| Abstract | To measure the risk exporues in China’s macro-financial system, we first used contingent claims approach to calculate the risk-adjusted balance sheets of the main sectors of the economy. We then illustrated how the value of implied assets, implied asset volatiltiy and risk indicator, like DD, had evolved from 2000 to 2008. The CCA approach was further applied to analyzing and quantifying the strong non-linearities that are characteristic for the accumulation and transmission of risk in macro-financial system. And Sector-level market leverage and implied asset volatility were highlighted as key interacting factors that play an important role in the increase of a sector’s vulnerability to shocks and contagion.
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| 文章编号 | WP235 |
| 登载时间 | 2012-02-29 |
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